Analyses on Gold and US Dollar in Vietnam's Transitional Economy
AbstractThis 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.
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Bibliographic InfoPaper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers CEB with number 04-033.RS.
Length: 52 p.
Date of creation: 2004
Date of revision:
Publication status: Published by:
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More information through EDIRC
Vietnam; Financial economy; U.S. Dollar; Gold;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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