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

Nhung Nguyen Thi

Annals of Computer Science and Information Systems

2021

Vol. 28

249--252

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.