The Interactions Between the USD to VND Rate and Stock Index in Vietnam: An Application of VECM Model

• Autorzy: Nhung Nguyen Thi

Identyfikatory

DOI

10.15439/2021KM72

• Języki publikacji: EN

Abstrakty

EN

Ths working paper examined the USD to VND exchange rate and VN-Index interactions with VECM model using daily data from November 2012 to June 2021. To be precise, the research compares impacts of the USD to VND exchange rate on VN-Index in two distinct sub-periods, including the first one from November 2012 to December 2015 and the second one from January 2016 to June 2012 because of the introduction of the decision 2730/QĐ-NHNN about the daily average inter-bank exchange rate between VND and foreign currencies in 2016. The results of VECM show that there are stable long-term and short-run relationships between the USD to VND exchange rate and VN-Index. These interactions are stricter in the first sub-period or before the introduction of decision 2730/QĐ-NHNN, leading to some important implications which are significant for portfolio managers' making-decision about the portfolio diversification and risk management.

Słowa kluczowe

EN

VN-Index; stock exchange; VECM

PL

kurs wymiany walut; Wietnam Indeks; Giełda Papierów Wartościowych

• Wydawca: Polskie Towarzystwo Informatyczne
• Czasopismo: Annals of Computer Science and Information Systems
• Rocznik: 2021
• Tom: Vol. 28
• Strony: 249--252
• Opis fizyczny: Bibliogr. 13 poz., wykr., tab., il.

Twórcy

autor

Nhung Nguyen Thi

• Faculty of Finance and Banking University of Economics and Business – Vietnam National University 144 Xuan Thuy, Cau Giay, Hanoi

Bibliografia

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Uwagi

1. Preface

2. Session: International Conference on Research in Management and Technovation