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FPT University|e-Resources > Bài báo khoa học (Scientific Articles) > Articles published by FPT lecturers >
Please use this identifier to cite or link to this item: /handle/123456789/2002

Title: Gold and US Dollar in Vietnam's Transitional Economy
Authors: Vuong, Quan Hoang
Keywords: Vietnam
Financial economy
U.S. Dollar
Issue Date: 2004
Publisher: Université Libre de Bruxelles, B-1050
Abstract: 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.
Description: 53 pages
URI: http://ds.libol.fpt.edu.vn/handle/123456789/2002
Appears in Collections:Articles published by FPT lecturers

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