Evaluating Impacts of Reduction in Fluctuation Limit on Stock Price Risks in Vietnam

  • LÊ ĐÌNH NGHI

Abstract

Vietnam?s stock market in late 2007 experienced a sharp fall. Since March 2008, the State Security Commission of Vietnam (SSC) has from time to time adjusted the fluctuation limit on stock price in the hope of precluding the panic among investors and reducing the market risks. Theoretically, risks can be quantified by the volatility which can be measured by the conditional variance of the chain of rates of returns. A model that has been widely employed to measure the volatility is GARCH (General Autoregressive Conditional Heteroskedasticity). In this paper, GARCH will be employed to evaluate impacts of measure to narrow the fluctuation limit on risks in Vietnam?s stock market.http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=3cb4722e-229b-4155-a759-5334b2d5dddc
điểm /   đánh giá
Published
2018-05-25
Section
Bài viết