A time-series analysis on the stock markets of Vietnam, Taiwan and the US.
碩士 === 國立政治大學 === 國際經營管理英語碩士學位學程(IMBA) === 107 === This thesis investigates the interdependence relationship between the Vietnam stock market and other advanced equity markets, including Taiwan and US during the period from 2000 to 2019. An ARIMA-GARCH model is used to capture the volatility transmi...
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| Format: | Others |
| Language: | en_US |
| Published: |
2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/arheq4 |
| Summary: | 碩士 === 國立政治大學 === 國際經營管理英語碩士學位學程(IMBA) === 107 === This thesis investigates the interdependence relationship between the Vietnam stock market and other advanced equity markets, including Taiwan and US during the period from 2000 to 2019. An ARIMA-GARCH model is used to capture the volatility transmissions and a VAR model is used to describe the returns linkage. I find statistical evidence that the Vietnam stock market is partially affected by its past performance and strongly affected by performance of US market, while there is little association between Vietnam and Taiwan stock markets.
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