The Empirical Evidence of GARCH Effects on Return Series: Vietnam Stock Market 2000-2003

Quan Hoang Vuong

No qja5e, OSF Preprints from Center for Open Science

Abstract: The Vietnamese Stock Market was officially born on July 20, 2000, and considered an experiment, in the sense that it would likely accept adjustment and constraints to reflect the contemporaneous national economic settings. This paper is one of the first applied econometric studies investigating an evidence of GARCH effects on return series of 10 individual assets and the VNI, an index devised as the market general price indicator. The results are encouraging: Firstly, we found evidence that the time series exhibit many similar properties as those for other regional markets, such as autoregressive and serial correlation; Secondly, using rather sophisticated empirical models for a newborn market, we succeed in achieving some nontrivial remarks with respect to the use of policy matters. This paper demonstrates the importance of the application of statistical methods, a topic still not received much attention from the economic researchers in Vietnam. (Downloadable paper in Vietnamese, with English abstract.)

Date: 2004-06-14
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Persistent link: https://EconPapers.repec.org/RePEc:osf:osfxxx:qja5e

DOI: 10.31219/osf.io/qja5e

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