Volume 1 • No.2 | December, 2017
Asset Price Volatility of Listed Companies in the Vietnam Stock Market
Bui Huu Phuoc, Pham Thi Thu Hong, Ngo Van Toan
Abstract:
This study aims to measure the volatility in asset prices of listed companies in the Vietnam stock market. The authors use models such as AR, MA and ARIMA combined with ARCH and GARCH to estimate value at risk (VaR) and the results generate relatively accurate estimates. In Vietnam, the stock market has been through periods of wild fluctuations in security prices and abnormal fluctuations cause many risks in investment activities. Based on this empirical result, investors can approach the method to determine asset price volatility to make proper investment decisions.
JEL classification: C58 . G12 . G17.
Citation: Bui Huu Phuoc, Pham Thi Thu Hong & Ngo Van Toan (2017). Asset Price Volatility of Listed Companies in the Vietnam Stock Market. Banking Technology Review, vol 2, no. 2, pp. 203-219.