2. Methodology
The closing index of each trading day of the two stock exchanges of Vietnam was collected from May 24, 2006 to July 31, 2015.There are 2285 observations of the Ho Chi Minh Stock Exchanges and 2286 observations of the Hanoi Stock Exchanges. The index was transformed to daily return as follows:
r_(t=)In(P_t/P_(t-1))