Empirical Evidence of Conditional Heteroskedasticity in Vietnam’s Stock Returns Time Series

This paper confirms presence of GARCH(1,1) 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.

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Year of publication:	2002
Authors:	Vuong, Quan Hoang
Institutions:	Centre Emile Bernheim, Solvay Brussels School of Economics and Management

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Extent:	application/pdf
Series:	Working Papers CEB.
Type of publication:	Book / Working Paper
Notes:	Published by: The text is part of a series Working papers CEB Number 02-001.RS 8 pages long
Classification:	C12 - Hypothesis Testing ; C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005146713