Ấn phẩm:
Testing for bubbles in Vietnamese stock market: An application of augmented dickey-Fuller test
Tóm tắt
In financial markets, bubbles can cause some stocks or even entire market indexes to deviate from their actual valuations. This causes the market value of an asset or assets to not reflect its true value. The fact that the assets do not reflect the true value will make the market riskier and less attractive to investors, especially individual investors, thereby limiting the capital pass-through in a market economy. The detection and warning of possible bubbles will help investors to prepare and react appropriately, avoiding risks caused by bubbles. In addition, the bubble warning also helps market participants to make appropriate adjustments to avoid severe consequences from the bubble growing too large. This study uses the Augmented Dickey-Fuller (ADF) time series test to test for bubbles in the Vietnamese stock market with the VNIndex. Through testing, the years 2006, 2007 and 2018 are warning years for bubbles to appear.
Mô tả
Tác giả
Vu Van Duc
Pham Ngoc Anh PhD
Le Phuong Lan PhD.
Le Thi Yen Oanh MSc
Pham Ngoc Anh PhD
Le Phuong Lan PhD.
Le Thi Yen Oanh MSc
Tác giả khác
Người hướng dẫn
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Nhà xuất bản
Học viện Tài chính
Năm xuất bản
2022
ISSN tạp chí
Nhan đề tập
Từ khóa chủ đề
Bubbles , Stock market , Augmented dickey-fuller (ADF)
Địa chỉ truy cập
Vui lòng sử dụng ứng dụng DRM AOF để đọc tài liệu số
