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
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: Suggested Citation
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