(LUẬN văn THẠC sĩ) the impact of macroeconomic factors on conditional stock market volatility in vietnam

1 MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY - oOo - NGUYỄN THÚY VÂN THE IMPACT OF MACROECONOMIC FACTORS ON CONDITIONAL STOCK MARKET VOLATILITY IN VIETNAM MAJOR: BANKING AND FINANCE MAJOR CODE: 60.31.12 MASTER THESIS INSTRUCTOR: Doctor TRƯƠNG QUANG THÔNG Ho Chi Minh City – 2011 TIEU LUAN MOI download : skknchat@gmail.com ACKNOWLEDGEMENT Firstly, I would like to express my sincerest gratitude to my supervisor, Dr Truong Quang Thong for his valuable guidance and helpful comments during the course of my study I also would like to thank all of my lecturers at Faculty of Banking and Finance, University of Economics Hochiminh City for their English program, knowledge and teaching during my master course at school I would like to specially express my thanks to my classmates, my friends for their support and encouragement Special thanks should go to my family for their love and support during my life TIEU LUAN MOI download : skknchat@gmail.com ABSTRACT The study looks at the relationship between macroeconomic factors and and stock market, and determined whether inflation, movements in exchange rate, interst rate have an effect on stock market return volatility in Vietnam The Generalised Autoregressive Conditional Heteroskedascity (GARCH) models are used in establishing the relationship between these variables and stock market volatility The results confirms presence of GARCH (1,1) effect on stock return time series of Vietnam stock market It is also found that there is strong and positive relationship between inflation and stock market return volatility It means that an increase in inflation leads to an increase in stock market return volatility in the long run However, there is no enough proof to conclude that change in interest rate and exchange rate can influence market return volatility Keywords: volatility, leverage, interest rate, inflation, exchange rate, returns, Hochiminh Stock Exchange TIEU LUAN MOI download : skknchat@gmail.com i Table of contents  CHAPTER Introduction 1.1 Introduction 1.2 Research problem 1.3 Research objectives .3 1.4 Research methodology and scope .3 1.5 Structure Of The Study CHAPTER Literature review 2.1 Introduction 2.2 ARCH and GARCH model 2.2.1 Autoregressive Conditional Heteroskedasticity (ARCH) 2.2.2 Generalized (GARCH) Autoregressive Conditional Heteroskedasticity 2.3 The impact of macroeconomic variables on stock market volatility 2.3.1 Inflation .10 2.3.2 Interest rate 11 2.3.3 Exchange rate .13 2.4 Application of Garch model in Vietnam 14 2.5 Conclusion 15 CHAPTER Research Methodology 16 3.1 Introduction .16 3.2 Research data and construction of variables: 16 3.2.1 Research data 16 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam ii 3.2.2 Construction of variables for the models: 23 3.3 DF unit root test: 25 3.4 Hypotheses and empirical models .26 3.4.1 Model 1: The standard GARCH (1,1) model .26 3.4.2 Applying GARCH (1,1) models to find out the impact of macroeconomic variables on stock return volatility 27 3.5 Conclusion 28 CHAPTER Empirical Results of the Research 29 4.1 Introduction .29 4.2 Descriptive statistics 29 4.3 DF unit root test 30 4.4 Correlation Matrix of the variables 30 4.5 Emprical result of model 31 4.5.1 Model 1: Standard GARCH (1,1) .31 4.5.2 Model .32 4.5.3 Model .34 4.5.4 Model .35 4.5.5 Model .37 CHAPTER Conclusions, Limitations and recommendations .39 5.1 Introduction 39 5.2 Conclusions and Implications 39 5.3 Limitations and recommendations: 40 REFERENCES .42 APPENDIX 45 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam iii Descriptive Statistics of variables .45 Monthly CPI from 2000 – 2010 (Source: GSO) .47 Unit root test .48 Data 50 Figures  Figure 3.1 The performance of VN-Index from 07/2000 – 12/2010 .17 Figure 3.2 Inflation in Vietnam and selected countries 2000 - 2009 .19 Figure 3.3 Vietnam‟s nominal exchange rate (VND/USD) and inflation rate 1992-2010 20 Tables  Table 3.1 Vietnam exchange rate arrangement 2000 - 2010 22 Table 4.1 Descriptive statistics of variables (07/2000 – 12/2010) 29 Table 4.2 ADF UNIT ROOT TEST 30 Table 4.3 Correlation Matrix of the variables 31 Table 4.4 Result of model 31 Table 4.5 Result of model 33 Table 4.6 Result of model 34 Table 4.7 Result of model 36 Table 4.8 Result of model 37 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam iv Glossary CPI: consumer price index SBV: State Bank of Vietnam GARCH: Generalized AutoRegressive Conditional Heteroskedasticity ARCH: Autoregressive Conditional Hetroskedasticity GDP: Gross Domestic Product HOSE: Hochiminh Stock Exchange TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 46 80 Series: ER Sample 2000M08 2010M12 Observations 125 70 60 Mean Median Maximum Minimum Std Dev Skewness Kurtosis 50 40 30 20 Jarque-Bera Probability 10 0.236140 0.091948 5.412291 -1.019314 0.715633 4.556076 28.25407 3754.165 0.000000 -1 30 Series: IF Sample 2000M08 2010M12 Observations 125 25 20 15 10 Mean Median Maximum Minimum Std Dev Skewness Kurtosis 0.641619 0.399202 3.825871 -0.803217 0.865995 1.321997 4.982351 Jarque-Bera Probability 56.87720 0.000000 -1 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 47 Monthly CPI from 2000 – 2010 (Source: GSO) 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 January 100.40 100.3 101.1 100.9 101.1 101.1 101.2 101.1 102.400 100.3 101.4 February 101.60 100.4 102.2 102.2 103.0 102.5 102.1 102.2 103.6 101.2 102.0 March 98.90 99.3 99.2 99.4 100.8 100.1 99.5 99.8 103.0 99.8 100.8 April 99.30 99.5 100.0 100.0 100.5 100.6 100.2 100.5 102.2 100.4 100.1 May 99.40 99.8 100.3 99.9 100.9 100.5 100.6 100.8 103.9 100.4 100.3 June 99.50 100.0 100.1 99.7 100.8 100.4 100.4 100.9 102.1 100.6 100.2 July 99.40 99.8 99.9 99.7 100.5 100.4 100.4 100.9 101.1 100.5 100.1 August 100.10 100.0 100.1 99.9 100.6 100.4 100.4 100.6 101.6 100.2 100.2 September 99.80 100.5 100.2 100.1 100.3 100.8 100.3 100.5 100.2 100.6 101.3 October 100.10 100.0 100.3 99.8 100.0 100.4 100.2 100.7 99.8 100.4 101.1 November 100.90 100.2 100.3 100.6 100.2 100.4 100.6 101.2 99.2 100.6 101.9 December 100.10 101.0 100.3 100.8 100.6 100.8 100.5 102.9 99.3 101.4 102.0 Last month = 100% TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 48 Unit root test + STOCK RETURN Null Hypothesis: R has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=12) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -7.047958 0.0000 Test critical values: 1% level -3.483751 5% level -2.884856 10% level -2.579282 *MacKinnon (1996) one-sided p-values + EXCHANGE RATE Null Hypothesis: ER has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=12) tStatistic Augmented Dickey-Fuller test statistic 1% Test critical values: level 5% level 10% level 11.27080 3.483751 2.884856 2.579282 Pro b.* 0.00 00 *MacKinnon (1996) one-sided p-values + INFLATION TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 49 Null Hypothesis: IF has a unit root Exogenous: Constant Lag Length: 12 (Automatic based on SIC, MAXLAG=12) tStatistic Augmented Dickey-Fuller test statistic 1% Test critical values: level 5% level 10% level 2.632604 3.500669 2.892200 2.583192 Pro b.* 0.09 01 *MacKinnon (1996) one-sided p-values + INTEREST RATE: Null Hypothesis: IR has a unit root Exogenous: Constant Lag Length: (Automatic based on SIC, MAXLAG=12) tStatistic Augmented Dickey-Fuller test statistic 1% Test critical values: level 5% level 10% level 6.547614 3.483751 2.884856 2.579282 Pro b.* 0.00 00 *MacKinnon (1996) one-sided p-values TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 50 Data Column1 Official exchange rate (VND/USD) month deposit interest rate (%) VN Index M7 2000 14093 3.540 101.5 M8 2000 14121 3.540 115.2 M9 2000 14215 3.540 120.7 M10 2000 14378 3.720 140.8 M11 2000 14499 3.720 168.7 M12 2000 14514 4.240 206.8 M1 2001 14546 5.400 245.8 M2 2001 14565 5.160 252.4 M3 2001 14545 5.160 269.3 M4 2001 14567 5.400 321.1 M5 2001 14662 4.680 404.3 M6 2001 14845 4.800 500.3 M7 2001 14941 4.800 422.5 M8 2001 14994 5.400 277.4 M9 2001 15003 5.400 244.5 M10 2001 15033 5.900 260.3 M11 2001 15068 5.850 288.5 M12 2001 15084 5.700 235.4 M1 2002 15117 5.850 207.6 M2 2002 15192 5.850 191.1 M3 2002 15250 6.000 200.2 M4 2002 15249 6.390 208.5 M5 2002 15261 6.390 207.1 M6 2002 15321 6.390 202.1 M7 2002 15321 6.540 197.6 M8 2002 15331 6.780 191.7 M9 2002 15347 6.780 182.1 M10 2002 15364 6.780 177.6 M11 2002 15385 6.780 177.9 M12 2002 15403 6.840 183.3 M1 2003 15411 6.780 172.4 M2 2003 15415 6.840 164.6 M3 2003 15443 6.990 145.4 M4 2003 15459 6.990 152.5 M5 2003 15476 6.990 152.2 M6 2003 15499 7.140 152.3 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 51 M7 2003 15517 7.140 146.3 M8 2003 15522 6.560 142.7 M9 2003 15557 6.120 139.3 M10 2003 15645 5.970 136.2 M11 2003 15630 5.970 163.9 M12 2003 15646 5.970 166.9 M1 2004 15696 5.970 214.3 M2 2004 15758 5.970 260.6 M3 2004 15724 5.970 277.4 M4 2004 15721 5.970 264.4 M5 2004 15745 5.970 252 M6 2004 15723 5.970 249.7 M7 2004 15752 5.970 238.4 M8 2004 15764 6.210 232.4 M9 2004 15755 6.480 233.2 M10 2004 15748 6.510 232.6 M11 2004 15762.5 6.525 229.6 M12 2004 15777 6.540 239.3 M1 2005 15832 6.540 233.3 M2 2005 15803 6.540 235.1 M3 2005 15823 6.540 246.5 M4 2005 15832 7.200 246.2 M5 2005 15851 7.200 244.2 M6 2005 15857 7.200 246.8 M7 2005 15884 7.200 245.5 M8 2005 15878 7.200 254.5 M9 2005 15895 7.530 289.3 M10 2005 15905 7.530 307.4 M11 2005 15916 7.530 311.3 M12 2005 15916 7.530 307.5 M1 2006 15922 7.530 312.3 M2 2006 15910 7.650 390.6 M3 2006 15927 7.650 503.6 M4 2006 15934 7.650 595.5 M5 2006 15959 7.530 538.9 M6 2006 15996 7.650 515.6 M7 2006 16007 7.650 422.4 M8 2006 16014 7.650 491.2 M9 2006 16055 7.650 526.7 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam 52 M10 2006 16083 7.650 511.5 M11 2006 16089 7.650 633 M12 2006 16054 7.650 751.8 M1 2007 16036 7.680 1041.3 M2 2007 15990 7.680 1137.7 M3 2007 16024 7.650 1071.3 M4 2007 16047 7.650 923.9 M5 2007 16087 7.650 1081.5 M6 2007 16125 7.440 1024.7 M7 2007 16147 7.440 908 M8 2007 16270 7.440 908.4 M9 2007 16105 7.440 1046.9 M10 2007 16100 7.440 1065.1 M11 2007 16125 7.200 972.4 M12 2007 16114 7.200 927 M1 2008 16091 7.200 844.1 M2 2008 16050 8.970 663.3 M3 2008 15960 11.190 516.9 M4 2008 15967 11.520 522.4 M5 2008 16086 13.250 414.1 M6 2008 16514 16.635 399.4 M7 2008 16495 16.890 451.4 M8 2008 16495 17.160 539.1 M9 2008 16517 16.920 456.7 M10 2008 16511 15.240 347.1 M11 2008 16481 10.020 314.7 M12 2008 16977 7.770 315.6 M1 2009 16978 6.990 303.2 M2 2009 16972 6.540 245.7 M3 2009 16954 7.110 280.7 M4 2009 16937 7.170 321.6 M5 2009 16938 7.320 411.6 M6 2009 16953 7.500 448.3 M7 2009 16967 7.620 466.8 M8 2009 16974 7.950 546.8 M9 2009 16991 8.130 580.9 M10 2009 17010 8.400 587.1 M11 2009 17956 9.960 504.1 M12 2009 17941 10.230 494.8 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam (LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam(LUAN.van.THAC.si).the.impact.of.macroeconomic.factors.on.conditional.stock.market.volatility.in.vietnam