Mối quan hệ động giữa giá vàng, chỉ số thị trường chứng khoán và tỷ giá ở Việt Nam: Tiếp cận bằng phương pháp Canonical - Vine Copula

Các tác giả

  • Trần Ngọc Tuấn Trường Đại học Kinh tế TP. Hồ Chí Minh Tác giả
  • Vũ Việt Quảng Trường Đại học Kinh tế TP. Hồ Chí Minh Tác giả

DOI:

https://doi.org/10.24311/jabes/2019.30.3.4

Từ khóa:

Mối quan hệ, Giá vàng, Chỉ số VN-Index, Tỷ giá VND/USD, Vine Copula, Cvine Copula, Việt Nam

Tóm tắt

Bài viết nghiên cứu mối quan hệ động giữa ba loại tài sản: Giá vàng, chỉ số VN-Index và tỷ giá VND/USD ở Việt Nam. Việc mô hình hóa cấu trúc phụ thuộc bằng phương pháp Vine Copula (cụ thể là Canonical - Vine Copula, hay Cvine Copula) mang lại sự linh động và giúp cho việc xây dựng cấu trúc phụ thuộc phức tạp đối với các phân phối có số chiều bậc cao trở nên dễ dàng hơn. Sử dụng dữ liệu tỷ suất sinh lợi theo tuần của giá vàng, chỉ số VN-Index và tỷ giá VND/USD ở Việt Nam trong hơn 10 năm từ ngày 08/01/2007 đến ngày 19/03/2018, nghiên cứu tìm thấy tỷ giá VND/USD có liên quan đến giá vàng trong nước và chỉ số VN-Index. Bằng chứng thực nghiệm cho thấy: Khi thị trường hoạt động bình thường, mối quan hệ giữa tỷ giá VND/USD và giá vàng cũng như cặp chỉ số VN-Index và giá vàng, có và không có điều kiện với tỷ giá VND/USD, là không đáng kể. Tuy nhiên, mối quan hệ phụ thuộc giữa tỷ giá và chỉ số VN-Index là khá mạnh, theo đó, khi tỷ giá VND/USD tăng lên (đồng VND mất giá) sẽ dẫn đến kết quả là chỉ số VN-Index giảm xuống. Kết quả nghiên cứu cho từng giai đoạn con cũng chỉ ra rằng cấu trúc phụ thuộc và mức độ phụ thuộc của các cặp tài sản không đứng yên mà thay đổi trong hầu hết các giai đoạn con xem xét.

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Tải xuống

Đã Xuất bản

2019-04-22

Số

Chuyên mục

Bài nghiên cứu

Cách trích dẫn

Trần Ngọc, T., & Vũ Việt, Q. (2019). Mối quan hệ động giữa giá vàng, chỉ số thị trường chứng khoán và tỷ giá ở Việt Nam: Tiếp cận bằng phương pháp Canonical - Vine Copula. Tạp Chí Nghiên cứu Kinh Tế Và Kinh Doanh Châu Á, 30(3), 05-34. https://doi.org/10.24311/jabes/2019.30.3.4

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