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研究生:楊文山
研究生(外文):Van Son Duong
論文名稱:越南股票市場之股價預測
論文名稱(外文):Stock index forecasting for Vietnam’s Stock Market
指導教授:張瑞芳張瑞芳引用關係王嘉男王嘉男引用關係
指導教授(外文):Jui-Fang ChangChia Nan Wang
學位類別:碩士
校院名稱:國立高雄應用科技大學
系所名稱:國際企業管理與製造產研碩外專班
學門:商業及管理學門
學類:企業管理學類
論文種類:學術論文
畢業學年度:100
語文別:英文
中文關鍵詞:迴歸模型
外文關鍵詞:Regression model
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The financial system is always considered the center of economy. It consists of
currency market and capital market. Facing up to the globalization of the world
economy, the development of the capital market is the issue that Viet Nam
Party and Government aim to stably develop in the long-term. After the socalled
global crisis from late 2007 up to early 2009, the economy was shaken,
especially stock market by global increased volatility transmission. The stocks’
price has continuously been going down significantly up to now.
To help the economy in general, the stock market in particular to stably grow, a
big question is how to predict trend of development of stock exchange, from
then to make appropriate decision and control the stock market effectively.
Therefore, in this paper, present author analyze to find main factors which
strongly have influence on fluctuation of Vietnam’s stock index for the period
from 2009 to 2011. Due to the increasing of globalization and liberalization,
international investments and the worldwide circulation of capital results in
close relationships between countries, their respective stock markets and the
actual economy in Viet Nam.The author suggest to analyze the correlations
between Vietnam’s stock index and other indices S&P500 (US), CAC (France),
DAX (Germany), FTSE100 (UK), KOSPI (Korea), STRAITS TIMES (Singapore).
With the significant correlations between Viet Nam’s stock index and other six
indices above, the author go to find the most suitable model to forecast
Vietnam’s stock index based on other six indices above.
Among many choices of models, the author suggest to estimate the regression
model; combines regression model with GARCH and GARCH-M; EGARCH,
EGARCH-M and GJR-GARCH model to generate the equations then use key
criteria MSE, RMSE to compare models.
The experiment result showed that the Regression-EGARCH-M isthe best fit
model to forecast Vietnam’s stock index based on other six indices.
Title.............................................................................................................................. i
Contents ............................................................................................................ ii
List of Tables ..................................................................................................... v
List of Figures .................................................................................................... vi
Abstract.............................................................................................................. viii
Acknowledgements............................................................................................ x
Chapter 1 Introduction
1.1 ...........................................................................................................................O
verview of stock market ..................................................................................... 1
1.1.1 Security ............................................................................................... 1
1.1.2 .............................................................................................................S
ecurity market .................................................................................... 3
1.2 ...........................................................................................................................V
ietnam’s Stock Market........................................................................................ 4
1.3 ...........................................................................................................................O
bjectives of this study......................................................................................... 5
1.4Organisation of the thesis................................................................................... 5
Chapter 2 Analysis of trend and factors
Affecting Vietnam’s stock index
2.1 ...........................................................................................................................H
istory and development...................................................................................... 7
2.2 ...........................................................................................................................T
he developing stages of Vietnam’s Stock Exchange ......................................... 8
2.3 The connection of Vietnam’s stock index and other stock
Indices ............................................................................................................... 10
2.4Correlations between VNINDEX and other indices ............................................ 12
Chapter 3 Methodology
3.1 Forecasting basic ............................................................................................. 14
3.2 Time series....................................................................................................... 15
3.3 Population regression function ......................................................................... 15
3.3.1 Model................................................................................................... 16
3.3.2 Ordinary least square (OLS) Hypothesis ............................................. 16
3.3.3 OLS additional hypothesis ................................................................... 17
3.3.4 Sample regression function (SRF)....................................................... 17
3.4 Autoregressive Conditional Heteroskedasticity
(ARCH) model ................................................................................................... 18
3.4.1 The theory ........................................................................................... 18
3.4.2 ARCH process..................................................................................... 18
3.4.3 Testing ARCH effect............................................................................ 20
3.5 Generalized Autoregressive Conditional
Heteroskedasticity(GARCH) model.................................................................... 21
3.6 Exponential-GARCH (EGARCH) model ........................................................... 23
3.7 TheGlosten-Jagannathan-Runkle GARCH
(GJR-GARCH) model ........................................................................................ 24
3.8 Hypothesis Test ............................................................................................... 25
3.8.1 Wald Test ............................................................................................ 26
3.8.2 Jarque-Bera Test................................................................................. 26
3.9 Some criteria for evaluation of model............................................................... 28
3.9.1 Mean square error (MSE).................................................................... 28
3.9.2 Mean absolute error (MAE) ................................................................. 29
3.9.3 Root Mean Square error (RMSE) ........................................................ 29
3.10 Data collection................................................................................................ 30
3.11 Conclusion ..................................................................................................... 31
Chapter 4 Data Analysis and Hypotheses Testing
4.1 Regression model ............................................................................................ 32
4.1.1 Model Identification.............................................................................. 32
4.1.2 Evaluation of the goodness of fit of the model..................................... 34
4.1.3 Evaluating model with different observations’
numbers ....................................................................................................... 35
4.1.4 Conclusion........................................................................................... 36
4.2 GARCH model ................................................................................................. 37
4.2.1 Testing GARCH effect ......................................................................... 37
4.2.2 Model estimation ................................................................................. 38
4.2.3 Evaluation of the goodness of fit of the model..................................... 41
4.2.4 The experiment results with different
observation’s numbers ................................................................................. 42
4.2.5 Conclusion........................................................................................... 43
4.3 EGARCH model ............................................................................................... 44
4.3.1 Model estimation ................................................................................. 44
4.3.2 Evaluation of the goodness of fit of the model..................................... 48
4.3.3 The experiment results with different time periods .............................. 49
4.3.4 Conclusion........................................................................................... 50
4.4 GJR-GARCH model........................................................................................... 51
4.4.1 Model estimation ................................................................................. 51
4.5Model comparison.............................................................................................. 53
Chapter 5 Research implications and conclusions
5.1 Introduction ...................................................................................................... 56
5.2 Main contributions to Stock Index Forecasting Academy................................. 57
5.3 Research implications ...................................................................................... 59
5.4 Limitations and Future Research ..................................................................... 59
5.5 Conclusions...................................................................................................... 60
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