A good news or bad news has greater impact on the Vietnamese stock market?

Nguyen Van, Phuong (2015): A good news or bad news has greater impact on the Vietnamese stock market?

Abstract

The arrival of news plays an extremely important role in the stock market because it mainly drives the movement of the stock market. In this paper, therefore, we would like to investigate how the Vietnamese stock market responses to the arrival of news via applying the AR – EGARCH in Mean model. Our research result indicates that the arrival of bad news has a greater impact on the conditional volatility than the arrival of good news does. We also found that there exists a positive tradeoff between the stock market returns and conditional volatility in the Vietnamese stock market.

• Item Type: MPRA Paper
• Language: English
• Keywords: The Vietnamese stock market, unit root, ARCH effect, volatility.
• Subjects: G - Financial Economics > G0 - General > G00 - General; G - Financial Economics > G1 - General Financial Markets > G10 - General

References

Engle, R.F. (1982). “Autoregressive conditional heteroscedasticity with estimates of the variance of U.K. inflation.” Econometrica, Vol 50, 987– 1008.

Bollerslev, T. (1986). “Generalized autoregressive conditional heteroskedasticity”. Journal of Econometrics, Vol.31, p.307 – 327.

Nelson, D. (1991). “Conditional heteroscedasticity in asset returns: a new approach.” Econometrica , Vol 59, p. 347–370.

Campbell, J. and Hentschel, L (1992). “No news is good news: an asymmetric model of changing volatility and stock returns”. Journal of financial economics, Vol. 31, p.281 – 318.

Engle and Ng. (1993). “Measuring and Testing the impact of news on volatility”. Journal of finance, Vol 48, No.5, pp 1749-1778.

Tsay, Ruey S. (2010). “Analysis of financial time series”, third edition, p.29 – 54 & p109 – 147, Johnson Willey & Sons.