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研究生: 阮梨如鴛
研究生(外文): Nguyen Le Nhu Uyen
論文名稱: Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam
論文名稱(外文): Dynamic Linkages between Exchange Rate, Interest Rate and Stock Price in Vietnam
指導教授: 吳如萍
學位類別: 碩士
校院名稱: 樹德科技大學
系所名稱: 金融與風險管理系碩士班
論文出版年: 2011
畢業學年度: 99
語文別: 英文
論文頁數: 49
中文關鍵詞: Exchange RateInterest RateStock PriceMGARCH model
外文關鍵詞: Exchange Rate, Interest Rate, Stock Price, MGARCH model
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  • 被引用:0
  • 點閱:6
  • 評分:*****
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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.


Table of Contents
Abstract  i
Acknowledgement  ii
Table of Contents  iii
List of Tables  iv
List of Figures  v
Chapter 1  Introduction  1
1.1 Background  1
1.2 Research Motive and Objective  4
1.3 Research Structure  6
1.4 Limitation  6
Chapter 2  Literature Review  8
2.1 International Researches  8
2.2 Researches about Vietnamese Market  14
Chapter 3  Data and Methodology  18
3.1 Data environment  18
3.2 Methodology  19
3.2.1 Augmented Dickey-Fuller Unit Root Test  19
3.2.2 Granger Causality Test  21
3.2.3 Johansen Co-integration Test  22
3.2.4 VAR-MGARCH Model  24
3.2.5 Standardized Residuals  26
Chapter 4  Empirical Findings and Analysis  27
4.1 Summary Statistics  27
4.2 Unit Root Test  31
4.3 Granger Causality Test  33
4.4 Johansen Co-integration Test……………………………………………………...  33
4.5 Results from VAR-MGARCH Model  34
Chapter 5  Conclusions  43
References………………………………………………………….…………………..45

List of Tables

Table 1. Summary Statistics  30
Table 2. Augmented Dickey-Fuller (ADF) Test Statistic at Level and First
Difference  32
Table 3. Phillips-Perron test statistic at Level and First Difference  32
Table 4. Pair-wise Granger Causality Tests  33
Table 5. Johansen Co-integration Tests between Exchange Rate, Interest Rate and HNX-Index  34
Table 6. Estimated Coefficients of MGARCH Model (Diagonal VECH)  35-36
Table 7. Test results of Standardized Residuals…………………………………….40-41

List of Figures

Figure 1. Changes of VN-Index in recent ten years  3
Figure 2. Three variables time series  27
Figure 3. Time series of daily three variables returns  28-29
Figure 4. Conditional Covariance of three variables returns  37-38
Figure 5. Time-varying conditional correlation coefficients………………………….  39


References
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