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

Quan Hoang Vuong

No 02-001.RS, Working Papers CEB from ULB -- Universite Libre de Bruxelles

Abstract: 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.

JEL-codes: C12 C22 (search for similar items in EconPapers)
Pages: 8 p.
Date: 2002
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