VN30 Index: An Overview and Default Probability Analysis

Abstract

Stock indices prove their capacity as a powerful predictive tool, an effective performance benchmark, a measure of market efficiency and underlying assets for financial investment products. Vietnamese stock market currently enjoys a strong developing potentiality that promises profitable opportunities for investors. As part of broadly market restructuring plan, VN30 has just been built, hoping to reflect truly the market movement and better orient the investors’ psychology as well as easier for ETF development. However, the concern about the quality of index member stocks is vividly existent. This paper covers VN30 Index related discussions as the construction, composition of the index. It also takes a fresh look at the question of stock quality by accessing the financial information to evaluate the probability of default of each company theoretically based on the models of Z-scores for Vietnamese firms. This research also establishes a comparison with an equivalent CAC40 Index on the rating classification for further understanding of a developed country index and the developing one as Vietnam.