Vietnam is one of the countries in Asia with the highest non-performing loans (NPL) ratio, which has affected the operations of the bank and then to the development of the Vietnam economy. The State Bank of Vietnam has decided to establish Vietnam Asset Management Company. This is a special tool of State Bank for handling non-performing loans, making healthy financial, minimizing risk for financial institutions and enterprises and promoting credit growth of the economy. The purpose of this study is to investigate the impact of Vietnam Asset Management Company as a politic event on stock market return and volatility in Vietnam stock exchange. We collected VN-index data in Ho Chi Minh stock exchange from 2008 to third quarter of 2014 as sample data. Using the Exponential General Autoregressive Conditional Heteroscedasticity in Mean (EGARCH-M) model, we found some evidences that Vietnam Asset Management Company performances have positive significant effect on stock market return and volatility.
