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Analyses on Gold and US Dollar in Vietnam's Transitional Economy

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Author Info
Quan-Hoang Vuong () (Centre Emile Bernheim, Solvay Brussels School of Economics and Management, Université Libre de Bruxelles, Brussels.)

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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.

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File URL: http://www.solvay.edu/EN/Research/Bernheim/documents/wp04033.pdf
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File Function: First version, 2004
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Publisher Info
Paper provided by Université Libre de Bruxelles, Solvay Brussels School of Economics and Management, Centre Emile Bernheim (CEB) in its series Working Papers CEB with number 04-033.RS.

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Length: 52 pages
Date of creation: Jul 2004
Date of revision:
Handle: RePEc:sol:wpaper:04-033

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Related research
Keywords: Vietnam; Financial economy; U.S. Dollar; Gold;

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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions

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