Empirical Evidence of Conditional Heteroskedasticity in Vietnam's Stock Returns Time Series (for its Entire Existence Through August 21, 2002)

Abstract

This paper confirms presence of GARCH effect on stock return time series of Vietnam's newborn stock market. We performed tests on five different time series, namely market returns (VN-Index), and return series of the first four individual stocks listed on the Vietnamese exchange (the Ho Chi Minh City Securities Trading Center) since August 2000. The results have been quite relevant to previously reported empirical studies on different markets despite the short existence of the market, just 25 months and 360 sessional observations.

Keywords: GARCH phenomenon, Vietnam Emerging Market, Financial Time Series

JEL Classification: C12, C22