English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 110944/141864 (78%)
Visitors : 48055187      Online Users : 1067
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/124801


    Title: 越南,台灣和美國股票市場之時間序列分析
    A time-series analysis on the stock markets of Vietnam,
 Taiwan and the US.
    Authors: 黃氏秋賢
    Hien, Hoang Thi Thu
    Contributors: 蔡政憲
    Tsai, Jason
    黃氏秋賢
    Hoang Thi Thu Hien
    Keywords: 整合移動平均自回歸模型
    廣義自回歸條件異方差模型
    風險價值
    越南股票市場
    波動性
    ARIMA
    GARCH
    VAR
    Vietnam stock market
    Volatility
    Date: 2019
    Issue Date: 2019-08-07 16:22:00 (UTC+8)
    Abstract: 
    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.
    Reference: Ahmad, N., Ahmed, A. A., Yveinhardt, Y., Streimikienec, D. (2016) “Empirical analysis of stock returns and volatility: Evidence from Asian stock markets”, Technological and Economic Development of Economy, Vol. 22(6): 808–829.
    Chancharoenchai, K. & Dibooglu, S. (2006) “Volatility Spillovers and Contagion During the Asian Crisis. Evidence from Six Southeast Asian Stock Markets”, Emerging Markets Finance and Trade, Vol. 42, No. 2, pp. 4–17.
    Chao, S. W. (2019) “The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility”, Emerging Markets Finance & Trade, 55:1153–1170.
    Coghlan, A. “A Little Book of R for Time Series”. a-little-book-of-r-for-time-series.readthedocs.io/en/latest/. Accessed on February 1st, 2019.
    Elton, E. J. & Gruber, M. J. (1997) “Modern Portfolio Theory, 1950 to Date”, New York University, Stern School of Business, Finance Department, Working paper series.
    Green, S. (2011) "Time Series Analysis of Stock Prices Using the Box-Jenkins Approach", Electronic Theses & Dissertations. Paper 668.
    Hyndman, R.J., & Athanasopoulos, G. (2018) “Forecasting: principles and practice”, 2nd edition, OTexts: Melbourne, Australia. OTexts.com/fpp2. Accessed on December 1st, 2018.
    James, G., Witten, D., Hastie, T. & Tibshirani, R. “An introduction to Statistical Learning with Applications in R”, 2013.
    Koima, J.K, Mwita, P.N & Nassiuma, D.K (2015) “Volatility Estimation of Stock Prices using Garch Method”, European Journal of Business and Management, Vol.7, No.19.
    Kunt, A. D. and Maksimovis, V. (1996) “Stock Market Development and Financing Choices of Firms”, The World Bank Economic Review, Vol. 10, Issue 2, pp. 341–369.
    Lupi, C. (2009) “Unit Root CADF Testing with R”, Journal of Statistical Software, 32(2), 1--19. http://www.jstatsoft.org/v32/i02/
    Luu, T. T. (2011) “The relationship between the United States and Vietnam stock markets”, The International Journal of Business and Finance Research, Vol. 5, No. 1.
    Malik, A., Tran, M. H, Abumustafa, N. I., & Jamal, A. (2018) “Examining the integration between Vietnamese stock market and markets from US, UK, China, Japan and ASEAN”, International Journal of Developing and Emerging Economies, Vol.6, No.2, pp.21-38.
    Nguyen, T. T. D., Rainey, I. D. and Gregoriou, A. (2012) “Financial Development and the Determinants of Capital Structure in Vietnam”. Available at http://dx.doi.org/10.2139/ssrn.2014834.
    Nist/Sematech e-Handbook of Statistical Methods, "Introduction to Time Series Analysis". Accessed on March, 2019.
    Schmidt, Dr. “Autoplot: Graphical Methods with ggplot2”. Wrathematics, my stack runneth over. Accessed on March, 2019.
    Wooldridge, J. M. “Introductory Econometrics. A modern approach”, 6th edition, 2016.
    Vo, X. V. & Ellis, C. (2018) “International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries”, Emerging Markets Review, 36, 19-27.
    Xiao, L. & Dhesi, G. (2010) “Volatility spillover and time-varying conditional correlation between the European and US stock markets”, Global Economy and Finance Journal, Vol.3, No. 2., pp. 148–164.
    Yang, J. & Bessler, D. A (2008) “Contagion around the October 1987 stock market crash”, European Journal of Operational Research, 184, 291–310.
    Description: 碩士
    國立政治大學
    國際經營管理英語碩士學位學程(IMBA)
    106933054
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0106933054
    Data Type: thesis
    DOI: 10.6814/NCCU201900462
    Appears in Collections:[國際經營管理英語碩士學程IMBA] 學位論文

    Files in This Item:

    There are no files associated with this item.



    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本網站維護人員(nccur@nccu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback