(LUẬN văn THẠC sĩ) management of market risk, case study of modelling volatility in vietnam stock market

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY    MASTER OF BUSINESS ADMINISTRATION MANAGEMENT OF MARKET RISK: CASE STUDY OF MODELLING VOLATILITY IN VIETNAM STOCK MARKET    BY LAM VAN BAO DAN HO CHI MINH CITY – 2012 TIEU LUAN MOI download : skknchat@gmail.com MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HO CHI MINH CITY FALCULTY OF BUSINESS ADMINISTRATION    MASTER OF BUSINESS ADMINISTRATION MANAGEMENT OF MARKET RISK: CASE STUDY OF MODELLING VOLATILITY IN VIETNAM STOCK MARKET    BY LAM VAN BAO DAN SUPERVISOR VO XUAN VINH 2012 A thesis submitted in partial fulfillment of the requirements for the degree of Master of Business Administration TIEU LUAN MOI download : skknchat@gmail.com Master of Business Administration Lam Van Bao Dan CERTIFICATION “I certify that the substance of this thesis has not already been submitted for any degree and is not being currently submitted for any other degree I certify that, to the best of my knowledge, any help received in preparing this thesis, and all sources used have been acknowledged in this thesis” LAM VAN BAO DAN Date: 25th April, 2012 K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com Master of Business Administration Lam Van Bao Dan Abstract The thesis concerns with market risk management It has implications for businesses and investors, especially those hold investment in stocks In particular, the thesis investigates the technique to model stock volatility in Vietnam stock market The rapid growth of Vietnam stock market recently has received a great attraction of local and global investors However, like other emerging stock markets, this growth has accompanied with high risk Over the past thirty years, a huge number of articles have discussed the volatility of stock returns in developed and emerging capital markets Unfortunately, even though Vietnam stock market has started trading from 2000, there has been relatively little work done on modelling and forecasting the return volatility in Vietnam stock market This thesis employ the GARCH type models, both symmetric and asymmetric including ARCH (1), GARCH (1,1), GARCH-M (1,1), EGARCH (1,1) and TGARCH (1,1) to examine the sufficient models for capturing the characteristics of the return volatility in Vietnam stock market The data set of VN-Index over nine year period from March, 2002 to December, 2011 which divided into four periods including before crisis, crisis, recovering and whole period The findings suggest the sufficiency of ARCH (1), GARCH (1,1) and GARCH-M (1,1) models in capturing properties of conditional variance in Vietnam stock market The results also provide the indicator of the risk-reward relationship and show the weak evidence of asymmetry in the return series in Vietnam stock market K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com Master of Business Administration Lam Van Bao Dan Table of Contents Page I INTRODUCTION 1.1 Background of the Thesis 1.2 Research Questions and Objectives 11 1.3 1.2.1 Research Questions 11 1.2.2 Research Objectives and Implications 11 Vietnam Stock Market Overview 11 1.3.1 Introduction 11 1.3.2 VN-Index 16 1.4 Outline of the Thesis 20 II LITERATURE REVIEW 21 2.1 Volatility Definition 21 2.2 The Characteristics of Volatility in Financial Market 22 2.3 Literature Review 23 III DATA AND METHODOLOGY 35 3.1 Data 35 3.2 Descriptive Statistics 37 3.3 3.2.1 Histogram and Statistics Definition 37 3.2.2 Descriptive Statistics of Return Series for the Period before Crisis 39 3.2.3 Descriptive Statistics of Return Series for Crisis Period 40 3.2.4 Descriptive Statistics of Return Series for Recovering Period 41 3.2.5 Descriptive Statistics of Return Series for the Whole Period 42 3.2.6 Conclusions 43 Methodology 44 3.3.2 Testing for ARCH Effects 45 3.3.3 GARCH Models 46 K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com Master of Business Administration Lam Van Bao Dan IV EMPIRICAL RESULTS 53 4.1 Testing for ARCH Effect 53 4.2 Empirical Results of Different Periods 54 4.2.1 Empirical Results of the Period before Crisis 54 4.2.2 Empirical Results of the Crisis Period 57 4.2.3 Empirical Results of the Recovering Period 58 4.2.4 Empirical Results of the Whole Period of Vietnam Stock Market 59 V SUMMARY AND IMPLICATIONS 62 5.1 Summary and Implications 62 5.2 Limitations and Recommendations for Further Research 63 VI APPENDIX 65 6.1 Appendix-1: Testing for ARCH Effect 65 6.2 6.1.1 Before Crisis Period (From March, 2002 to December, 2007) 65 6.1.2 Crisis Period (From January, 2008 to December, 2009) 66 6.1.3 Recovering Period (From January, 2010 to December, 2011) 67 6.1.4 Whole Period (From March, 2002 to December, 2011) 68 Appendix-2: GARCH Models Analysis 69 6.2.1 Before Crisis Period (From March, 2002 to December, 2007) 69 6.2.2 Crisis Period (From January, 2008 to December, 2009) 74 6.2.3 Recovering Period (From January, 2010 to December, 2011) 79 6.2.4 Whole Period (From March, 2002 to December, 2011) 84 REFERENCES 89 K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan List of Tables Table No Description Page Table Price limitations in HOSE over different periods 16 Table Summary for estimation results of before crisis period 60 Table Summary for estimation results of crisis period 60 Table Summary for estimation results of recovering period 61 Table Summary for estimation results of whole period 61 List of Figures Figure No Description Page Figure Number of listed company from 2000 to 2011 14 Figure Market capitalization from 2000 to 2011 14 Figure Number of securities companies from 2000 to 2011 15 Figure Number of trading accounts from 2000 to 2011 15 Figure Performance of VN-Index from 2000 to 2011 17 Figure Performance of VN-Index in 2007 18 Figure Performance of VN-Index in 2009 18 Figure Figure Figure 10 Figure 11 K17-EMBA Histogram of daily return series of VN-Index (01/03/2002 – 28/12/2007) Histogram of daily return series of VN-Index (02/01/2008 – 31/12/2009) Histogram of daily return series of VN-Index (04/01/2010 – 30/12/2011) Histogram of daily return series of VN-Index (01/03/2002 – 30/12/2011) Page 40 41 42 43 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan Acknowledgement I would like to say special thanks to my supervisor, Dr Vo Xuan Vinh for his helpful directions, encouragements and valuable comments in preparing this thesis I would like to thank all lecturers in EMBA program, especially to Dr Tran Ha Minh Quan for his help I would also like to thank all my friends in the program for supporting and encouraging me to finish this thesis Finally, special thanks also go to my wife and my family for their love and staying beside me during my study K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan GARCH-M (1,1) Dependent Variable: RETURN Method: ML - ARCH (Marquardt) - Normal distribution Date: 04/01/12 Time: 11:27 Sample (adjusted): 2447 Included observations: 2446 after adjustments Convergence achieved after 22 iterations Presample variance: backcast (parameter = 0.7) GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1) Variable Coefficient Std Error z-Statistic Prob GARCH C -0.737502 0.000394 1.219511 0.000149 -0.604752 2.641202 0.5453 0.0083 6.732490 14.15068 60.68160 0.0000 0.0000 0.0000 Variance Equation C RESID(-1)^2 GARCH(-1) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood Durbin-Watson stat K17-EMBA 2.38E-06 0.275082 0.754135 -0.002107 -0.002517 0.015963 0.622792 7285.901 1.421251 3.53E-07 0.019440 0.012428 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Page 88 -0.000244 0.015943 -5.953312 -5.941452 -5.949002 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan REFERENCES Abdalla S Z S (2012), Modelling stock returns volatility: Empirical evidence from Saudi stock exchange, International Research Journal of Finance and Economics, Issue 85 Abidin S and Zhang C (2011), Price and volatility spillover effects in selected Asia Pacific stock markets, International Review of Business Research Paper, Vol 7, No 2, 83-97 Aggarwal R., Carla I., and Ricardo L (1999), Volatility in emerging stock markets, Journal of Financial and Quantitative Analysis, Vol 34, No 1, 33-55 Akgiray V (1989), Conditional heteroskedasticity in time series of stock returns: evidence and forecasts, Journal of Business, Issue 62, 55-80 Asgharian H and Hansson B (2000), Cross-sectional analysis of Swedish stock returns with time-varying beta: The Swedish stock market 1983-96, European Financial Management, Vol 6, No 2, 213-233 Baillie T and DeGennaro P (1990), Stock returns and volatility, Journal of Financial and Quantitative Analysis, Vol 25, No Baillie T., Bollerslev T and Mikkelsen H (1996), Fractionally integrated generalized 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case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan Braun, P., Nelson, D and Sunier, A (1995), Good news, bad news, volatility and betas, Journal of Finance, 1(5), 1575-1603 Brook C (2002), Introductory econometrics for finance, 2nd Ed., Cambridge University Press, Cambridge Brooks C., Burke S and Persand G (2003), Multivariate GARCH models: software choice and estimation issues, Journal of Applied Econometrics, 18, 725-734 Campbell J and Hentschel L (1992), No news is good news: an asymmetric model of changing volatility in 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structure: The GARCH-M model, Econometrica, 55, 391-408 Engle R (1990), Discussion of "Stock Volatility and the Crash of '87," by Schwert (1990), Review of Financial Studies, Vol 3, Issue 1, 103-106 Engle R and Ng V (1993), Measuring and testing the impact of news on volatility, Journal of Finance, 48, 1749-1778 Engle R and Patton A J (2001), What good is a volatility model, working paper K17-EMBA Page 90 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan Fama E (1965), The behaviour of stock price, Journal of Business, 37, 34-105 Floros C (2008), Modelling volatility using GARCH models: evidence from Egypt and Israel, Middle Eastern Finance and Economics, Issue Franses P and Dijk D van (1996), Forecasting stock market volatility using (nonlinear) GARCH models, Journal of Forecasting, 15, 229-35 Glosten L., Jagannathan R and Runkle D (1993), Relationship between the expected value and volatility of the nominal excess returns on stocks, Journal of Finance, 48, 1779-802 Hsieh D (1988), The statistical properties of daily foreign exchange rates: 1974–1983, Journal of International Economics, 24, 129-145 Hsieh D (1989), Modelling 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heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347-70 K17-EMBA Page 91 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan Pagan A and Schwert G.W (1990), Alternative models for conditional stock volatilities, Journal of Econometrics, 45, 267-290 Pan M.S., Liu Y.A and Roth H.J (1999), Common stochastic trends and volatility in Asian-Pacific equity markets, Global Finance Journal, Vol 10, Issue 2, 161-172 Siourounis G.D (2002), Modelling volatility and testing for efficiency in emerging capital markets: the case of the Athens stock exchange, Applied Financial Economics, 12, 47-55 Song H., Liu X and Romilly P (1998), Stock returns and volatility: An empirical study of Chinese stock markets, International Review of Applied Economics, 12, 129139 Su C (2010), Application of EGARCH model to estimate financial volatility of daily returns: The empirical case of China, Master Degree Project No 2010:142 Schwert G W (1989), Why does stock market volatility change over time, The Journal of Finance, Vol XLIV, No Taylor S (1994), Modelling stochastic volatility: A review and comparative study, Mathematical Finance, Issue 4, 183-204 Tran M T (2011), Modelling volatility using GARCH models: Evidence from Vietnam, Economics Bulletin, Vol 31, Issue Tsay L (2005), Analysis of financial time series, nd Ed., John Wiley and Sons, Hoboken, N.J Xuan Vinh Vo and Kevin Daly (2010), Volatility amongst firms in the Dow Jones Eurostoxx50 Index, Applied Financial Economics, 18(7), 569-582 Yakob N A and Delpachitra S (2006), On risk-return relationship: an application of GARCH (p,q)-M model to Asia Pacific region, International Journal of Science and Research, Vol 2(1), 33-40 Zakoian J.M (1994), Threshold autoregressive models, Journal of Economic Dynamic Control, 18, 931-955 K17-EMBA Page 92 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Lam Van Bao Dan Nguyễn Trọng Hồi, Phùng Thanh Bình and Nguyễn Khánh Duy (2009), Dự Báo Phân Tích Dữ Liệu Kinh Tế Tài Chính, University of Economics HCMC, Nhà Xuất Bản Thống Kê Website of State Securities Commission of Vietnam: www.ssc.gov.vn Website of Vietstock Company Ltd.: www.vietstock.vn Website of Vietcombank Securities Company Ltd.: www.vcbs.com.vn K17-EMBA Page 93 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market Master of Business Administration Summary of Findings MANAGEMENT OF MARKET RISK: CASE STUDY OF MODELLING VOLATILITY IN VIETNAM STOCK MARKET SUMMARY OF FINDINGS Volatility modelling is an important contribution to the financial markets analysis of academy, policy making and investment The thesis concerns with market risk management It has implications for businesses and investors, especially those hold investment in stocks In particular, the thesis investigates the technique to model stock volatility in Vietnam stock market The rapid growth of Vietnam stock market recently has received a great attraction of local and global investors However, like other emerging stock markets, this growth has accompanied with high risk The thesis employ five most widely used ARCH/GARCH models, both symmetric and asymmetric including ARCH (1), GARCH (1,1), GARCH-M (1,1), TGARCH (1,1) and EGARCH (1,1) for modelling the VN-Index return series of Ho Chi Minh City Stock Exchange (HOSE) from March, 2002 to December, 2011 The data set is splitted into four periods including before crisis period (from March, 2002 to December, 2007), crisis period (from January, 2008 to December, 2009), recovering period (from January, 2010 to December, 2011) and whole period of Vietnam stock market (from March, 2002 to December, 2011) The Lagrange Multiplier (LM) test using EViews software confirms the ARCH effect on the VN-Index return series in all four periods The preliminary data analysis provide the evidence of non-normality distribution of the return series, except the recovering period that seems to be normal distributed The empirical results show the evidence of sufficiency of the symmetric models ARCH (1), GARCH (1,1) and GARCH-M (1,1) for modelling the VN-Index return series in K17-EMBA Page 2012 TIEU LUAN MOI download : skknchat@gmail.com (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market (LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market(LUAN.van.THAC.si).management.of.market.risk case.study.of.modelling.volatility.in.vietnam.stock.market