Abstract This paper looks into economic insights offerred by considerations of two
important financial markets in Vietnam, gold and USD. In general, the paper focuses
on time series properties, mainly returns at different frequencies, and test the weak-form
efficient market hypothesis.
All the test rejects the efficiency of both gold and foreign exchange markets. All time
series exhibit strong serial correlations. ARMA-GARCH specifications appear to have
performed well with different time series. In all cases the changing volatility phenomenon
is strongly supported through empirical data. An additional test is performed on the daily
USD return to try to capture the impacts of Asian financial crisis and daily price limits
applicable. No substantial impacts of the Asian crisis and the central bank-devised limits
are found to influence the risk level of daily USD return.