A good news or bad news has greater impact on the Vietnamese stock market?

The arrival of news plays an extremely important role in the stock market because it mainly drives the movement of the stock market. In this paper, therefore, we would like to investigate how the Vietnamese stock market responses to the arrival of news via applying the AR – EGARCH in Mean model. Our research result indicates that the arrival of bad news has a greater impact on the conditional volatility than the arrival of good news does. We also found that there exists a positive tradeoff between the stock market returns and conditional volatility in the Vietnamese stock market.