English  |  正體中文  |  简体中文  |  Items with full text/Total items : 2737/2828
Visitors : 3536951      Online Users : 23
RC Version 4.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Adv. Search
LoginUploadHelpAboutAdminister

Please use this identifier to cite or link to this item: http://ir.lib.stu.edu.tw:80/ir/handle/310903100/2522

Title: Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam
Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam
Authors: 阮梨如鴛
Nguyen Le Nhu Uyen
Contributors: 金融與風險管理系碩士班
吳如萍
Keywords: Exchange Rate, Interest Rate, Stock Price, MGARCH model
Exchange Rate, Interest Rate, Stock Price, MGARCH model
Date: 2011
Issue Date: 2011-12-01 13:25:52 (UTC+8)
Publisher: 高雄市:[樹德科技大學金融與風險管理系碩士班]
Abstract: A procedure is analyzing the dynamic linkages between exchange rate, interest rate and stock price in Vietnam by an empirical approach using daily data from July 2005 to December 2010 with Multi-variable Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) model. The results reveal that the prior stock return positively impact on stock return in the future, conversely, the prior interest return negatively influence the later one. Furthermore, in the variance-covariance equations, the significance of coefficients of stock and interest return for own innovations proved the presence of ARCH effects and the importance of coefficients for volatility spillovers to the individual returns produced an evidence of GARCH effects.


This paper could not be achieved if I have not had valuable comments, advices and sizable supports from many professors and my family. For this opportunity, I would like to appreciate to all of them.
First of all, I would like to express my profound gratitude to Dr. WU, JUPING, my supervisor, for her noticeable supports, commitment guidance, her spare time to read and comment in my draft throughout each stage of this dissertation. Her significant helps and incessantly efforts became the most particular motivation for me to accomplish this study in time. I am also grateful to all professors who gave me lots of interesting suggestions and meaningful advices to go the right way to have such valuable paper.
In addition, I gratefully acknowledge Shute University and Foreign Trade University for organizing this useful MBA program.
Finally, I would like to thank my beloved family for the huge physical and mental supports, without their encouragement I could not complete this program.
Any enquiries, suggestions or comments for this paper is always welcome.
A procedure is analyzing the dynamic linkages between exchange rate, interest rate and stock price in Vietnam by an empirical approach using daily data from July 2005 to December 2010 with Multi-variable Generalized Autoregressive Conditional Heteroskedasticity (MGARCH) model. The results reveal that the prior stock return positively impact on stock return in the future, conversely, the prior interest return negatively influence the later one. Furthermore, in the variance-covariance equations, the significance of coefficients of stock and interest return for own innovations proved the presence of ARCH effects and the importance of coefficients for volatility spillovers to the individual returns produced an evidence of GARCH effects.


This paper could not be achieved if I have not had valuable comments, advices and sizable supports from many professors and my family. For this opportunity, I would like to appreciate to all of them.
First of all, I would like to express my profound gratitude to Dr. WU, JUPING, my supervisor, for her noticeable supports, commitment guidance, her spare time to read and comment in my draft throughout each stage of this dissertation. Her significant helps and incessantly efforts became the most particular motivation for me to accomplish this study in time. I am also grateful to all professors who gave me lots of interesting suggestions and meaningful advices to go the right way to have such valuable paper.
In addition, I gratefully acknowledge Shute University and Foreign Trade University for organizing this useful MBA program.
Finally, I would like to thank my beloved family for the huge physical and mental supports, without their encouragement I could not complete this program.
Any enquiries, suggestions or comments for this paper is always welcome.
Appears in Collections:[金融與風險管理系(所)] 博碩士論文

Files in This Item:

File Description SizeFormat
index.html0KbHTML673View/Open
Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam__臺灣博碩士論文知識加值系統.htm國圖97KbHTML573View/Open


All items in STUAIR are protected by copyright, with all rights reserved.

 


無標題文件

著作權政策宣告:

1.

本網站之數位內容為樹德科技大學所收錄之機構典藏,無償提供學術研究與公眾教育等公益性使用,惟仍請適度,合理使用本網站之內容,以尊重著作權人之權益。商業上之利用,則請先取得著作權人之授權。
 
2. 本網站之製作,已盡力防止侵害著作權人之權益,如仍發現本網站之數位內容有侵害著作權人權益情事者,請權利人通知本校護人員(clairhsu@stu.edu.tw),維護人員將立即採取移除該數位著作等補救措施。
 
DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback