tailieunhanh - Sự biến động lợi nhuận cổ phiếu trên thị trường chứng khoán Việt Nam

Bài báo này nghiên cứu các đặc điểm của sự biến động lợi nhuận của VNIndex qua việc sử dụng mô hình GARCH và nghiên cứu sự hiện diện của các điểm gãy cấu trúc trong phương sai của chuỗi lợi nhuận đó thông qua việc sử dụng thuật toán ICSS. Sử dụng dữ liệu trong một khoảng thời gian dài, mô hình GARCH và GARCH-M tỏ ra hiệu quả trong việc mô tả các đặc điểm của lợi nhuận chứng khoán hàng ngày. | TAÏP CHÍ PHAÙT TRIEÅN KH&CN, TAÄP 14, SOÁ Q3- 2011 VOLATILITY IN STOCK RETURN SERIES OF VIETNAM STOCK MARKET Vo Xuan Vinh, Nguyen Thi Kim Ngan University of Economics Ho Chi Minh City (Manuscript Received on April 04th, 2011, Manuscript Revised September 21st, 2011) ABSTRACT: This paper studies the features of the stock return volatility using GARCH models and the presence of structural breaks in return variance of VNIndex in the Vietnam stock market by using the iterated cumulative sums of squares (ICSS) algorithm. Using a long-span data, GARCH and GARCH in mean (GARCH-M) models seems to be effective in describing daily stock returns’ features. About structural breaks, when applying ICSS to standardized residuals filtered from GARCH (1, 1) model, the number of volatility shifts significantly decreases in comparison with the raw return series. Events corresponding to those breaks and altering the volatility pattern of stock return are found to be country-specific. Not any shifts are found during global crisis period. Further evidence also reveals that when sudden shifts are taken into account in the GARCH models, volatility persistence remarkably reduces and that the conditional variance of stock return is much affected by past trend of observed shocks and variance. Our results have important implications regarding advising investors on decisions concerning pricing equity, portfolio investment and management, hedging and forecasting. Moreover, it is also helpful for policy-makers in making and promulgating the financial policies. Keywords: ARCH/ GARCH, ICSS algorithm, break points, sudden changes corporate 1. INTRODUCTION capital investment decisions, Volatility is a fundamental concept in the leverage decisions and other business cycle. discipline of finance. Considerable volatilities Volatility forecasts of stock price are crucial have been found in the past few years in mature inputs for pricing derivatives as well as trading and emerging financial .