Please use this identifier to cite or link to this item: https://digital.lib.ueh.edu.vn/handle/UEH/55254
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dc.contributor.authorTran Phuong Thao-
dc.contributor.otherPhan Chung Thuy-
dc.date.accessioned2017-09-14T11:02:20Z-
dc.date.available2017-09-14T11:02:20Z-
dc.date.issued2015-
dc.identifier.issn1859 -1124-
dc.identifier.urihttp://digital.lib.ueh.edu.vn/handle/UEH/55254-
dc.identifier.urihttp://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=c9203af0-4a3e-44d8-b41c-5a5f83edb60e-
dc.description.abstractVolatility of stock exchange and its determinants always attract the attention of investors, researchers and exchange authorities. The research estimates the volatility of Vietnam stock market by measuring the conditional volatility of VN-Index and HNX-Index, and explores the relationship between the volatility of stock exchanges and the volatility of two instruments of monetary policy (overnight rate and exchange rate). Data are collected on a daily basis from Jan. 5, 2006 to March 31, 2014. The research found evidence of volatility of returns through the two indexes and two instruments, but it detected no relationship between the volatilities of these instruments and the stock indexes. Additionally, the research confirms the role of VN-Index as a market maker over HNX-Index.-
dc.formatPortable Document Format (PDF)-
dc.publisherTrường Đại học Kinh tế Tp. Hồ Chí Minh-
dc.relation.ispartofJournal of Economic Development-
dc.relation.ispartofseriesJED, Vol.22(1)-
dc.subjectStock exchange-
dc.subjectConditional volatility-
dc.subjectExchange rate-
dc.subjectInterest rate-
dc.subjectMonetary policy-
dc.titleRelationship between volatilities of stock market and instruments of monetary policyin Vietnam-
dc.typeJournal Article-
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dc.identifier.doihttp://doi.org/10.24311/jed/2015.22.1.02-
dc.format.firstpage82-
dc.format.lastpage99-
item.fulltextOnly abstracts-
item.grantfulltextnone-
item.openairetypeJournal Article-
item.openairecristypehttp://purl.org/coar/resource_type/c_18cf-
item.cerifentitytypePublications-
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