越南境內股市領先落後關係

Lead-lag relations among Vietnam's segment stock markets

賴氏美商(MAI_THUONG LAI THI)

指導教授 ： 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

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。

關鍵字

非線性 ； Granger 因果關係 ； 領先落後關係 ； 境內股票市場 ； 越南

並列摘要

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.

並列關鍵字

Nonlinear ； Granger causality ； Lead-lag relation ； Segment stock market ； Vietnam

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