Abstract
The article analyses the impact of the phenomenon of Mercury retrograde on Vietnam stock market returns. With the data as daily closing price of VN-Index collected by Ho Chi Minh City Stock Exchange (HOSE) for the 2002–2017 period, the authors estimate AR(1)-TGARCH(1,1) model under three different distribution rules: normal distribution, Student’s-t distribution, and Generalized Error Distribution (GED). As a result, AR(1)-TGARCH(1,1) model under Student’s-t distribution rule is the most suitable and there is no any effect found from Mercury retrograde phenomenon in the study result but Monday effect is confirmed to exist in the Vietnam stock market. Also, the volatility of market returns in the future can be predicted by the volatility of the returns in the past and negative shocks that have a significant impact on the volatility of Vietnam stock market returns.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
