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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2019
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| Online Access: | http://ndltd.ncl.edu.tw/handle/arheq4 |
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ndltd-TW-107NCCU50940542019-08-27T03:42:56Z http://ndltd.ncl.edu.tw/handle/arheq4 A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. 越南，台灣和美國股票市場之時間序列分析 Hoang Thi Thu Hien 黃氏秋賢 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. Tsai, Jason 蔡政憲 2019 學位論文 ; thesis 38 en_US |
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NDLTD |
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en_US |
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Others
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NDLTD |
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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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| author2 |
Tsai, Jason |
| author_facet |
Tsai, Jason Hoang Thi Thu Hien 黃氏秋賢 |
| author |
Hoang Thi Thu Hien 黃氏秋賢 |
| spellingShingle |
Hoang Thi Thu Hien 黃氏秋賢 A time-series analysis on the stock markets of Vietnam, Taiwan and the US. |
| author_sort |
Hoang Thi Thu Hien |
| title |
A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. |
| title_short |
A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. |
| title_full |
A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. |
| title_fullStr |
A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. |
| title_full_unstemmed |
A time-series analysis on the stock markets of Vietnam,
Taiwan and the US. |
| title_sort |
time-series analysis on the stock markets of vietnam,
taiwan and the us. |
| publishDate |
2019 |
| url |
http://ndltd.ncl.edu.tw/handle/arheq4 |
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