| ABSTRACT | 第5-7页 |
| 摘要 | 第8-21页 |
| LIST OF ACRONYMS | 第21-23页 |
| CHAPTER 1 INTRODUCTION | 第23-37页 |
| 1.1 Background and significance of the research | 第23-27页 |
| 1.1.1 Background of the research | 第23-26页 |
| 1.1.2 Significance of the research | 第26-27页 |
| 1.2 Literature review | 第27-32页 |
| 1.2.1 Common characteristics of return series in the stock market | 第27-28页 |
| 1.2.2 Volatility models suitable to the stock return characteristics | 第28-29页 |
| 1.2.3 Identification of breakpoints in volatilities and influence of the regimechanges | 第29-30页 |
| 1.2.4 Events related to regime changes | 第30-31页 |
| 1.2.5 Sudden changes in economics recession? | 第31页 |
| 1.2.6 Overstatement of ICSS algorithm in return series | 第31-32页 |
| 1.3 Research ideas and methods | 第32-35页 |
| 1.3.1 Research ideas | 第32-33页 |
| 1.3.2 Research methods | 第33-35页 |
| 1.4 The thesis organization | 第35-37页 |
| CHAPTER 2 THE THEORETICAL BASIS OF STOCK MARKET VOLATILITY | 第37-54页 |
| 2.1 Definition of related concepts | 第37-38页 |
| 2.1.1 Volatility | 第37-38页 |
| 2.1.2 Stock market volatility | 第38页 |
| 2.2 The theory of stock market volatility | 第38-40页 |
| 2.2.1 Connotation of stock market volatility | 第38-39页 |
| 2.2.2 Characteristics of stock market volatility | 第39-40页 |
| 2.3 Impact factors of stock market volatility | 第40-54页 |
| 2.3.1 Macroeconomic environment | 第40-44页 |
| 2.3.2 Monetary policy | 第44-49页 |
| 2.3.3 Market supply and demand | 第49-50页 |
| 2.3.4 Relevant markets | 第50-54页 |
| CHAPTER 3 OVERVIEW OF THE VIETNAMESE STOCK MARKET | 第54-76页 |
| 3.1 Introduction | 第54-55页 |
| 3.2 Background of the Vietnam's stock market | 第55-57页 |
| 3.3 Organization and operation of Vietnam stock market | 第57-69页 |
| 3.3.1 The State Securities Commission(SSC) | 第57-58页 |
| 3.3.2 The stock Exchanges | 第58-62页 |
| 3.3.3 The shareholding reforms | 第62-63页 |
| 3.3.4 Market structure of Vietnam's stock market | 第63-66页 |
| 3.3.5 Trading technicalities | 第66-69页 |
| 3.4 The Vietnamese stock market index(VN-Index) | 第69-70页 |
| 3.5 The performance of the Vietnamese stock market | 第70-75页 |
| 3.6 Conclusion | 第75-76页 |
| CHAPTER 4 VOLATILITY IN STOCK RETURN SERIES OF VIETNAM STOCK MARKET | 第76-95页 |
| 4.1 Introduction | 第76-77页 |
| 4.2 Data and methodology | 第77-82页 |
| 4.2.1 Data descriptive | 第77-79页 |
| 4.2.2 Methodology | 第79-82页 |
| 4.3 Results and analysis | 第82-94页 |
| 4.3.1 Choosing suitable ARMA model | 第82-83页 |
| 4.3.2 Test for ARCH effect | 第83-84页 |
| 4.3.3 GARCH models | 第84-86页 |
| 4.3.4 Identification of break points and detection of related events | 第86-94页 |
| 4.4 Conclusion | 第94-95页 |
| CHAPTER 5 SUDDEN CHANGES ON VOLATILITY PERSISTENCE AND ASYMMETRY INVIETNAMESE STOCK MARKET | 第95-112页 |
| 5.1 Introduction | 第95-97页 |
| 5.2 Methodology | 第97-99页 |
| 5.2.1 The iterated cumulative sums of squares (ICSS)algorithm | 第97-98页 |
| 5.2.2 GARCH model | 第98-99页 |
| 5.2.3 Multiple sudden changes with GARCH and GJR-GARCH models | 第99页 |
| 5.3 Data and descriptive statistics | 第99-101页 |
| 5.4 Empirical results | 第101-111页 |
| 5.4.1 Sudden change in variance | 第101-108页 |
| 5.4.2 GARCH and GJR-GARCH estimation with and without sudden change | 第108-111页 |
| 5.5 Conclusion | 第111-112页 |
| CHAPTER 6 THE IMPACT OF MONETARY POLICY ON STOCK RETURNS IN VIETNAMESESTOCK MARKET | 第112-128页 |
| 6.1 Introduction | 第112-114页 |
| 6.2 Literature review | 第114-116页 |
| 6.3 Data and methodology | 第116-120页 |
| 6.3.1 Data descriptive | 第116-119页 |
| 6.3.2 Methodology | 第119-120页 |
| 6.4 Results and analysis | 第120-126页 |
| 6.5 Conclusion | 第126-128页 |
| CHAPTER 7 CONCLUSION AND POLICY RECOMMENDATION | 第128-144页 |
| 7.1 Introduction | 第128页 |
| 7.2 Conclusion | 第128-130页 |
| 7.3 The achievements and limitations of Vietnam's stock market | 第130-135页 |
| 7.3.1 The Achievements of Vietnam's stock market | 第130-132页 |
| 7.3.2 The limitations of the Vietnam's stock market | 第132-135页 |
| 7.4 Policy recommendation | 第135-142页 |
| 7.4.1 Policy recommendation for development of Vietnamese stock market | 第136-142页 |
| 7.4.2 Policy recommendation for Investors of Vietnamese stock market | 第142页 |
| 7.5 Limitations of the thesis and suggestions for further research | 第142-144页 |
| REFERENCES | 第144-153页 |
| Appendix A: List of Publications | 第153-154页 |
| Appendix B: ICSS code on WINRAT | 第154-156页 |
| ACKNOWLEDGEMENTS | 第156页 |
