Luận văn thạc sĩ UEH relationships between vietnams stock prices and united statess stock prices,

MINISTRY OF EDUCATION AND TRAINING

UNIVERSITY OF ECONOMICS HOCHIMINH CITY

--- oOo ---

ĐỖ NGỌC ANH

RELATIONSHIPS BETWEEN VIETNAM’S STOCK PRICES

AND UNITED STATES’ STOCK PRICES, EXCHANGE

RATES, GOLD PRICES, CRUDE OIL PRICES

MASTER THESIS

Ho Chi Minh City – 2011

LUAN VAN CHAT LUONG download : add [email protected]

MINISTRY OF EDUCATION AND TRAINING

UNIVERSITY OF ECONOMICS HOCHIMINH CITY

----------o0o---------

ĐỖ NGỌC ANH

RELATIONSHIPS BETWEEN VIETNAM’S STOCK PRICES

AND UNITED STATES’ STOCK PRICES, EXCHANGE

RATES, GOLD PRICES, CRUDE OIL PRICES

MAJOR: BANKING AND FINANCE

MAJOR CODE: 60.31.12

MASTER THESIS

INSTRUCTOR: Dr. VÕ XUÂN VINH

Ho Chi Minh City – 2011

LUAN VAN CHAT LUONG download : add [email protected]

i

ACKNOWLEDGEMENTS

First of all, I would like to express my deep gratitude to Dr. Vo Xuan Vinh

for his kind supervising my thesis work, providing sources, especially software,

documents related to this thesis, and giving me invaluable instructions and criticism.

Throughout my thesis preparation, Dr. Vinh provided great encouragement and

teaching.

I would like to thank all the authors of many reference sources for providing

many precious theories, ideas as important input of my research.

I am also grateful to the professors and visiting lecturers of University of

Economics Hochiminh City for the enthusiasm and expertise to transfer me the

invaluable knowledge and insights during the MBA courses.

I want to extend my appreciation to my classmates, my friends who make

great contribution in collecting data and give me encouragement. Without their help

and sharing, I could not successfully complete this MBA program and the thesis.

Finally, special thanks are for my colleagues and my family, who have

understood, encouraged and created as much better conditions as possible for me to

continue studying until the end of the course and completing this thesis.

LUAN VAN CHAT LUONG download : add [email protected]

ii

ABTRACT

The thesis investigates the relationships between Vietnam’s stock prices and

the US’ stock prices, foreign exchange rates, gold prices, crude oil prices. Using the

daily data from 2005 to 2010, 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, foreign exchange rates over the period before the

2008 Global Financial Crisis. There are evidences 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 are cointegrated with US’s

stock prices before and after the crisis, foreign exchange rates, gold prices and crude

oil prices just during and after the crisis.

Keywords: Vietnam’s stock prices, US’ stock prices, US Dollar - VN Dong

exchange rates, gold prices, crude oil prices, correlation, cointegration, Granger

causality.

LUAN VAN CHAT LUONG download : add [email protected]

iii

TABLE OF CONTENTS

ACKNOWLEDGEMENTS ...................................................................................i

ABTRACT .............................................................................................................ii

TABLE OF CONTENTS .................................................................................... iii

LIST OF TABLES................................................................................................iv

ABBREVIATIONS................................................................................................v

CHAPTER 1: INTRODUCTION.........................................................................1

1.1 Background and problem statement ......................................................................... 1

1.2 Research objectives ................................................................................................. 3

1.3 Research methodology............................................................................................. 3

1.4 Research structure.................................................................................................... 3

CHAPTER 2: LITERATURE REVIEW .............................................................5

CHAPTER 3: METHODOLOGY......................................................................11

3.1. Methodology ........................................................................................................ 11

3.1.1. Correlation..................................................................................................... 11

3.1.2. Cointegration ................................................................................................. 11

3.1.3 Unit root ......................................................................................................... 13

3.1.4. Granger causality ........................................................................................... 16

3.2. Data...................................................................................................................... 17

3.2.1 Data descriptive statistics ............................................................................... 17

3.2.2 Time differences ............................................................................................. 18

CHAPTER 4: EMPIRICAL RESULTS.............................................................19

4.1 Descriptive statistics .............................................................................................. 19

4.2 Correlation test ...................................................................................................... 24

4.3 Unit root test.......................................................................................................... 28

4.4 Cointegration test................................................................................................... 30

4.4.1 Bivariate cointegration test.............................................................................. 30

4.4.2 Multivariate cointegration test......................................................................... 32

4.5 Granger causality test............................................................................................. 34

CHAPTER 5: CONCLUSION............................................................................36

REFERENCES....................................................................................................38

LUAN VAN CHAT LUONG download : add [email protected]