TAILIEUCHUNG - An empirical investigation of factors affecting stock prices in Vietnam
An empirical investigation of factors affecting stock prices in Vietnam. This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. | Journal of Economics and Development, , , April 2014, pp. 74-89 ISSN 1859 0020 An Empirical Investigation of Factors Affecting Stock Prices in Vietnam Vo Xuan Vinh University of Economics, Ho Chi Minh City, Vietnam Email: vinhvx@ Abstract This paper investigates factors affecting Vietnam’s stock prices including US stock prices, foreign exchange rates, gold prices and crude oil prices. Using the daily data from 2005 to 2012, the results indicate that Vietnam’s stock prices are influenced by crude oil prices. In addition, Vietnam’s stock prices are also affected significantly by US stock prices, and foreign exchange rates over the period before the 2008 Global Financial Crisis. There is evidence that Vietnam’s stock prices are highly correlated with US stock prices, foreign exchange rates and gold prices for the same period. Furthermore, Vietnam’s stock prices were cointegrated with US stock prices both before and after the crisis, and with foreign exchange rates, gold prices and crude oil prices only during and after the crisis. Keywords: Cointegration, Granger causality, stock prices, oil prices, foreign exchange rate. Journal of Economics and Development 74 Vol. 16, , April 2014 1. Introduction but the preponderance of the literature indicates that there is instability in the relationship (Fischer and Palasvirta, 1990; Kearney and Lucey, 2004; Longin and Solnik, 1995; Madura and Soenen, 1992; Makridakis and Wheelwright, 1974; Maldonado and Sounders, 1981; Meric and Meric, 1989; Wahab and Lashgari, 1993) and that this is determined primarily by real economic linkages between countries (Arshanapalli and Doukas, 1993; Bachman et al. 1996; Bodurtha, Cho and Senbet, 1989; Bracker and Koch, 1999; Campbell and Hamao, 1992; Roll, 1992). Employing the Engle–Granger cointegration methodology, Kasa (1992) examines the major equity markets over the 1974 -1990 period and finds a single cointegrating vector indicating a very low level .
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