The Effects of Policies Changes on Return and Volatility in Vietnamese Stock Market

Abstract

This study uses the stock index data of financial sector spanned from January 2, 2009 to December 31, 2014 in order to examine the effects of some policies on stock returns and volatility in Vietnamese stock market. EGARCH model is applied to detect the empirical results. It reveals that the M&A variable has a significantly positive impact on stock returns but does not represent any effects on stock volatility. Whereas, the variable of regulatory reform significantly decreases stock return but there is no impact on stock volatility. In the opposite direction, VAMC shows no effect on stock return but demonstrates a negative impact on stock volatility.