臺灣博碩士論文加值系統

本文將探討2006年4月1日至2013年5月28日越南境內胡志明與河內股市領先落後關係。我們更深入的探討2010年9月13日的監管變革是否對上述胡志明與河內股市領先落後關係造成影響。我們對監管變革前後期間進行考慮。我們以線性和非線性因果關係檢定對上述研究目的進行分析。本文結果顯示藉由關係檢定，我們發現河內股市會線性領先胡志明股市，而河內和胡志明股市具有非線性回饋因果關係。意謂資訊傳遞主要以非線性方式在河內和胡志明股市相互影響。在我們研究結果將提供有價值的財務涵義。

This article investigates lead-lag relations among Vietnam’s segment stock markets based on Ho Chi Minh (HOSE) stock index and HaNoi (HNX) stock index from 04/01/2006 to 28/05/2013. We further examine whether lead-lag relations among Vietnam’s segment stock markets are affected before and after regulatory changes on September 13, 2010. Our findings show the unidirectional linear causality from HNX to HOSE but nonlinear feedbacks. It implies information transmission with nonlinear way. However, the evidence of linear and nonlinear causalities fails to be found before and after regulatory changes. Therefore, our findings shed valuable insights on empirical works of lead-lag relations.

摘要........................................................................................... I
ENGLISH ABSTRACT...............................................................................................II
ACKNOWLEDGEMENTS.....................................................................................III
TABLE OF CONTENTS................ IV
LIST OF TABLES.................. V
LIST OF FIGURES.................... V
CHAPTER I: INTRODUCTION........... 1
RESARCH FRAMEWORK.................... VI
CHAPTER II: LITERATURE REVIEW..... 7
1. Lead-lag Relationship…………………………………………………………………………..7
2. A Brief Introduction to the Vietnam’s stock markets………………………………………….14
CHAPTER III: DATA & METHODOLOGY 18
1. DATA………………………………………………………………………………………….18
2. METHODOLOGY…………………………………………………………………………….19
2.1. Unit root tests……………………………………………………………………………20
2.2. Testing procedure for linear Granger causality…………………………………………. 23
2.3. Nonlinear Granger causality……………………………………………………………. 24
2.4. Variance Decomposition Analysis……………………………………………………….26
CHAPTER IV: EMPIRICAL RESULTS..............................28
CHAPTER V: CONCLUSION ...................................47


LIST OF TABLES
TABLE 1 Descriptive statistics............... 29
TABLE 2 ADF-Unit Root Test Results............. 33
TABLE 3 The Vector Autoregressive (VAR) Model Results.......... 35
TABLE 4 VAR Granger Causality/Block Exogeneity Wald Tests......... 37
TABLE 5 Variance Decomposition Analysis............. 42
TABLE 6 Nonlinear Granger Causality Test Results.............45


LIST OF FIGURES
FIGURE 1 CLOSING PRICE AND VOLUME IN HA NOI (HN) AND HO CHI MINH (HCM) STOCK MARKETS........... 31
FIGURE 2 IMPULSE RESPONSES ANALYSIS........................... 40

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