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FPT University|e-Resources > Bài báo khoa học (Scientific Articles) > Articles published by FPT lecturers >
Please use this identifier to cite or link to this item: /handle/123456789/1934

Title: Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series
Authors: Vuong, Quan Hoang
Keywords: GARCH phenomenon
Vietnam Emerging Market
Financial Time Series
Issue Date: Jan-2002
Publisher: Université Libre de Bruxelles
Abstract: Abstract: This paper confirms presence of() 1, 1 GARCH effect on stock return time series of Vietnam's newborn stock market. We performed tests on four different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets.
Description: 8 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/1934
Appears in Collections:Articles published by FPT lecturers

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