An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam
Based on the panel data of 22 stock tickers in the two porfolios VN30 and HNX30 during 2008–2014, the research empirically investigates the impact of information on stock price volatilities in Vietnam. Non-traditional data collection approach and OLS and GARCH (1;1) models, along the use of data on...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=19994694-991f-4353-9b45-ab82fef07619 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115473 |
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oai:scholar.dlu.edu.vn:DLU123456789-1154732023-03-08T03:56:21Z An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam Nguyen, Huu Huy Nhut Nguyen, Khac Quoc Bao Tran, Nguyen Huy Nhan Based on the panel data of 22 stock tickers in the two porfolios VN30 and HNX30 during 2008–2014, the research empirically investigates the impact of information on stock price volatilities in Vietnam. Non-traditional data collection approach and OLS and GARCH (1;1) models, along the use of data on information supply measured by the number of disclosures of the studied stocks and data on information demand measured by the number of search attempts on Google by means of Google Trend allow the research findings to be distilled into clear recommendations, which show that: (i) Both information supply and demand do affect stock price volatilities; and (ii) More profound and significant impact has been produced by information demand; particularly, effects of market-level information demand are more powerful than those of stock-level information demand. 2023-03-08T03:56:21Z 2023-03-08T03:56:21Z 2015 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=19994694-991f-4353-9b45-ab82fef07619 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115473 10.24311/jabes/2015.22.3.05 en Journal of Asian Business and Economic Studies, Volume 22, Issue 03; p. 59-80 application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| description |
Based on the panel data of 22 stock tickers in the two porfolios VN30 and HNX30 during 2008–2014, the research empirically investigates the impact of information on stock price volatilities in Vietnam. Non-traditional data collection approach and OLS and GARCH (1;1) models, along the use of data on information supply measured by the number of disclosures of the studied stocks and data on information demand measured by the number of search attempts on Google by means of Google Trend allow the research findings to be distilled into clear recommendations, which show that: (i) Both information supply and demand do affect stock price volatilities; and (ii) More profound and significant impact has been produced by information demand; particularly, effects of market-level information demand are more powerful than those of stock-level information demand. |
| format |
Article |
| author |
Nguyen, Huu Huy Nhut Nguyen, Khac Quoc Bao Tran, Nguyen Huy Nhan |
| spellingShingle |
Nguyen, Huu Huy Nhut Nguyen, Khac Quoc Bao Tran, Nguyen Huy Nhan An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| author_facet |
Nguyen, Huu Huy Nhut Nguyen, Khac Quoc Bao Tran, Nguyen Huy Nhan |
| author_sort |
Nguyen, Huu Huy Nhut |
| title |
An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| title_short |
An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| title_full |
An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| title_fullStr |
An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| title_full_unstemmed |
An Investigation into the Impact of Information on Stock Price Volatilities in Vietnam |
| title_sort |
investigation into the impact of information on stock price volatilities in vietnam |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=19994694-991f-4353-9b45-ab82fef07619 https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115473 |
| _version_ |
1819789452775522304 |