The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam
Luận văn thạc sĩ
Đã lưu trong:
| Tác giả chính: | |
|---|---|
| Tác giả khác: | |
| Định dạng: | Luận văn |
| Ngôn ngữ: | en_US |
| Được phát hành: |
University of Economics Ho Chi Minh City
2023
|
| Những chủ đề: | |
| Truy cập trực tuyến: | https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115636 |
| Các nhãn: |
Thêm thẻ
Không có thẻ, Là người đầu tiên thẻ bản ghi này!
|
| Thư viện lưu trữ: | Thư viện Trường Đại học Đà Lạt |
|---|
| id |
oai:scholar.dlu.edu.vn:DLU123456789-115636 |
|---|---|
| record_format |
dspace |
| spelling |
oai:scholar.dlu.edu.vn:DLU123456789-1156362023-10-05T16:56:12Z The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam Nguyễn, Phan Hồng Ngọc Ngo, Minh Hai Dynamic conditional correlation GARCH Oil price Gold price Stock return Luận văn thạc sĩ The thesis research the dynamic relationship among oil price, gold price and the stock market return in Vietnam. By applying different statistical methods, this thesis aims to investigate how these three assets move in relation to each other. The time series data is collected from 2006 to 2017 including daily data of VNIndex, Brent spot oil price and international gold price. The main approach of this study is Dynamic conditional correlation GARCH (DCC – GARCH) methods. The results presents the evidence of time-varying conditional correlation among the three variables, suggesting volatility interdependence among them. The thesis also uses the Granger’s causality test for causal relationship and finds that oil price will follow gold price and stock market return will be affected by oil price volatility. The paper shows that fluctuations of the markets in the past can be repeated in the present. Research fluctuations among the three markets will provide important data in asset allocation and risk management for investors and portfolios managers in the gold Vietnamese stock market. 2023-04-11T03:04:22Z 2023-04-11T03:04:22Z 2018 Thesis https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115636 en_US application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
en_US |
| topic |
Dynamic conditional correlation GARCH Oil price Gold price Stock return |
| spellingShingle |
Dynamic conditional correlation GARCH Oil price Gold price Stock return Nguyễn, Phan Hồng Ngọc The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| description |
Luận văn thạc sĩ |
| author2 |
Ngo, Minh Hai |
| author_facet |
Ngo, Minh Hai Nguyễn, Phan Hồng Ngọc |
| format |
Thesis |
| author |
Nguyễn, Phan Hồng Ngọc |
| author_sort |
Nguyễn, Phan Hồng Ngọc |
| title |
The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| title_short |
The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| title_full |
The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| title_fullStr |
The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| title_full_unstemmed |
The dynamic relationship of oil price, gold price and stock market return - Evidence in Vietnam |
| title_sort |
dynamic relationship of oil price, gold price and stock market return - evidence in vietnam |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
https://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115636 |
| _version_ |
1819810740891025408 |