Stock return and volatility

ISBN-13: 9786202265348 / Angielski / Miękka / 2017 / 252 str.

Manh Tuyen Tran

Opis

This book is an empirical research study for the Vietnamese Stock Market. Although the major objective is to focus on investigating the hypothesis of efficient market and the relationship between the stock return and volatility, we also analyze the development and the changes on Vietnamese Stock Market in the period 2000-2011. Moreover, we try to present a qualitative analysis of volatility of some sectors on Vietnamese Stock Market. We also undertake an analysis of volatility on Vietnamese Stock Market through a portfolio of Vietnam holdings in the period 2010-2011 as a case study. This book also seeks evidence whether the Vietnamese Stock Market follows random walk model or the market is weak form efficient. The final objective of this book is to examine time series features of stock returns and volatility, as well as the relation between return and volatility on the Vietnamese Stock Market. We also investigate bull, bear, Friday and low transaction effects on the Vietnamese Stock Market.

O autorze

I am Tran Manh Tuyen, lecturer of HCMA, Vietnam. From 1996 to 2000, i studied economics at National Economics University (NEU). From 2003 to 2005, i studied macro economics (master course) at NEU. From 2008-2012, i studied international finance (master course) and Econometrics of financial market (ph.D course) at Paris Nord University, France.