Sự kiện chính trị và biến động thị trường chứng khoán: Nghiên cứu thực nghiệm từ các nước Đông Nam Á

Abstract

This study investigates the impact of political events on the stock market volatility in South-East Asia countries from 2010 to 2019. Using univariate and multivariate GARCH models with dummy variables to study the behaviour of the market before and after the event, we find that the volatility of stock market decreases significantly after the political reform. This finding is important in understanding the behaviour of the stock market and may benefit to market participants and regulators