Analysis on Gold and US Dollar in Vietnam's Transitional Economy

Quan-Hoang Vuong, FINANCIAL MARKETS IN VIETNAM'S TRANSITION ECONOMY: FACTS, INSIGHTS, IMPLICATIONS, Chapter 4, VDM-Verlag, February 2010

52 Pages Posted: 15 Nov 2009 Last revised: 23 Feb 2010

See all articles by Quan Hoang Vuong

Quan Hoang Vuong

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management; Phenikaa University

Date Written: July 4, 2004

Abstract

This paper looks into economic insights offerred by considerations of two important financial markets in Vietnam, gold and USD. In general, the paper focuses on time series properties, mainly returns at different frequencies, and test the weak-form efficient market hypothesis. All the test rejects the efficiency of both gold and foreign exchange markets. All time series exhibit strong serial correlations. ARMA-GARCH specifications appear to have performed well with different time series. In all cases the changing volatility phenomenon is strongly supported through empirical data. An additional test is performed on the daily USD return to try to capture the impacts of Asian financial crisis and daily price limits applicable. No substantial impacts of the Asian crisis and the central bank-devised limits are found to influence the risk level of daily USD return.

Keywords: Vietnam, Financial economy, US Dollar, Gold

JEL Classification: C11, C22

Suggested Citation

Vuong, Quan Hoang, Analysis on Gold and US Dollar in Vietnam's Transitional Economy (July 4, 2004). Quan-Hoang Vuong, FINANCIAL MARKETS IN VIETNAM'S TRANSITION ECONOMY: FACTS, INSIGHTS, IMPLICATIONS, Chapter 4, VDM-Verlag, February 2010, Available at SSRN: https://ssrn.com/abstract=1476633

Quan Hoang Vuong (Contact Author)

Université Libre de Bruxelles (ULB) - Solvay Brussels School of Economics and Management ( email )

ULB CP 145/01
21 Ave. F.D. Roosevelt
Brussels, Bruxelles 1050
Belgium
+32-2-6504864 (Phone)
+32-2-6504188 (Fax)

HOME PAGE: http://www.ceb-ulb.com/vuong-quan-hoang.html

Phenikaa University ( email )

To Huu road, Yen Nghia
Ha Dong district
Hanoi, Hanoi 100803
Vietnam

HOME PAGE: http://sites.google.com/site/vuongqh2019/

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