Author: minh do

My name is Minh, I am working in the Finance industry. I have a passion for econometric field This website is created base on my knowledge, hope you find it is useful. Thank you for taking your time to read my blog. I will try to update more Econometric and Finance information.

Capital Asset Pricing Model (CAPM)

minh do

Various models are built to estimate mutual fund performance. However, most of these articles only deal with one, or at most two different performance models. This project will compare the most basic single factor Capital Asset Pricing Model (CAPM) as well as Fama and French model (1992,1996) add proxies for size and book-to-market; the Carhart… Continue reading Capital Asset Pricing Model (CAPM)

Time Series

minh do

There are three types of data:+ Cross-Section: the data is collected by observing multiple subject at the same time (e.g. GDP of Southest Asia countries in 2010).+Time Series data: is series of data points in the order of time (e.g. US stock index for 5 years, UK GDP in 20 years) Normally Time series is… Continue reading Time Series

Dynamic linkages between the US stock market and the stock markets of European economies

minh do

Abstract Understanding the degree of interdependence between national stock markets and the nature of their relationship (market dominance, a transmission mechanism, and degree of responsiveness to information flows) have implications for market stability and international diversification (Eun and Shim, 1989; Chowdhury, 1994). In this paper, I will empirically examine the short-run relationships between the US… Continue reading Dynamic linkages between the US stock market and the stock markets of European economies