The Impacts of Oil Price and Exchange Rate on Vietnamese Stock Market

• 발행기관: 한국유통과학회
• 저자명: Tra Ngoc NGUYEN Dat Thanh NGUYEN Vu Ngoc NGUYEN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』Vol. 7 No.8, 143~150쪽, 전체 8쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2020.08.30

영문 초록

This study aims to investigate the effect of oil price and exchange rate on the two Vietnamese stock market indices: VN index and HXN index. This study uses the daily data from August 1st 2000 to October 25th 2019 of the two Vietnamese stock indices: VN index and HNX index;the two oil price indices: BRENT and WTI;and the two exchange rates: US dollar to Vietnamese dong and Euro to Vietnamese dong. Due to the presence of heteroskedasticity in our data;we use GARCH (1,1) regression model to perform our analysis. Our findings show that the oil price has a significant positive effect on the two Vietnamese stock market indices. In terms of the stock index volatility;both the VN index and HNX index volatilities are negatively impacted by the return of oil price. While the conclusion about the impact of oil price remained consistent through all three robustness tests;the effect of exchange rate on Vietnamese stock market indices is not consistent. We find thatchanges of the USD/VND exchange rate significantly impact the return and volatility of HNX index only in GARCH (1,1) setting. Our analysis also survives a number of robustness tests.

목차

1. Introduction

2. Data and Methodology

3. Empirical Results

4. Conclusion

References

키워드

Stock Market Index Oil Price Exchange Rate GARCH Volatility