Assessment of the suitability of the GICS and TRBC industry classification schemes: A study at Ho Chi Minh stock exchange

Abstract

This study aims to assess the suitability of two industry classification schemes, GICS (Global Industry Classification Standard) and TRBC (Thomson Reuters Business Classification - TRBC,) in Ho Chi Minh City Stock Exchange, based on the analysis of average return correlations between within-industry and outside-industry stocks. Using monthly data from Jan 01, 2014 to Dec 31, 2017, in both GICS and TRBC classification schemes, the results show that there are significant differences between within-industry and outside-industry correlations. Therefore, both GICS and TRBC are suitable to use in Ho Chi Minh City Stock Exchange.

Keywords

• nhóm đồng nhất
• phân ngành
• suất sinh lợi