Graduate School of International Studies Ajou University
Description
학위논문(석사)--아주대학교 국제대학원--국제경영학과,2006. 8
Alternative Abstract
ABSTRACT
A study on stock returns behaviour
of the emerging Vietnamese stock market
Hien, Nguyen Duc
GSIS, Ajou University
2006
This thesis overviews the historical development and investigates the stock return behavior of the Vietnamese stock market by examining 4 issues regarding stock return behaviour in Vietnam equity market. These issues are: (1) Distributional characteristics of stock return; (2) Market efficiency; (3) Market seasonality and (4) Stock return volatility and trading volume relationship.
The empirical results suggest that there is serial correlation of the stock prices and stock price do not follow a random walk theory. This inefficiency can be traced to restricted supply of socks, a scarcity of information and the thinness and discontinuity in trading that plague the exchange. The thesis also tests for the presence of seasonal anomalies. There are empirical evidences to support the hypothesis of weekend effect in Vietnamese stock market that has been found in many stock markets.
Besides, the empirical results also confirm the well-known volatility clustering in Vietnam daily stock return series and strongly reject the time invariance of the risk return parameter.
