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

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  • Quan-Hoang Vuong

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.

Suggested Citation

  • Quan-Hoang Vuong, 2004. "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB 04-033.RS, ULB -- Universite Libre de Bruxelles.
    • Handle: RePEc:sol:wpaper:04-033
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    References listed on IDEAS

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    Cited by:

    1. Dalina Amonhaemanon & Jan Annaert & Marc J.K. De Ceuster & Hau Le Long, 2014. "The Fisher Hypothesis and Investment Assets: The Vietnamese and Thai Case," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(4), pages 180-195, October.
    2. Thi Kim Cuc Nguyen & Reza Yamora Siregar, 2013. "Inflationary Implication of Gold Price in Vietnam," CAMA Working Papers 2013-20, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    3. Quan-Hoang Vuong & Tran Tri Dung & Thi Chau Ha NguyenN, 2009. "Mergers and Acquisitions in Vietnam’s Emerging Market Economy, 1990-2009," Working Papers CEB 09-045.RS, ULB -- Universite Libre de Bruxelles.

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    More about this item

    Keywords

    Vietnam; Financial economy; U.S. Dollar; Gold;
    All these keywords.

    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; Diffusion Processes

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