Phân tích tác động của giá vàng thế giới đến giá vàng trong nước: Tiếp cận kiểm định Granger phổ

Hương Hoàng Thị Diễm; Anh Trần Thị Tuấn

doi:10.24311/jabes/2025.36.11.04

Authors

Hương Hoàng Thị Diễm Đại học Kinh tế Thành phố Hồ Chí Minh Author
Anh Tran Thi Tuan Đại học Kinh tế Thành phố Hồ Chí Minh Author

DOI:

https://doi.org/10.24311/jabes/2025.36.11.04

Keywords:

giá vàng thế giới, giá vàng trong nước, Kiểm định, Granger dạng phổ, nhân quả

Abstract

This paper employs data from February 2012 to September 2025 to test the spectral Granger causality effect of world gold prices on domestic gold prices. The frequency-domain Granger causality results indicate that prior to the COVID-19 period, world gold prices exerted a strong causality on domestic gold prices across all frequencies, including short-, medium-, and long-term horizons. This finding reflects the close integration between international and domestic gold markets during the relatively stable pre-COVID-19 period. However, in the post-COVID-19 period, no statistically significant Granger causality is detected at any frequency, suggesting that the impact of global gold prices on domestic gold prices has weakened or vanished. This change implies that the COVID-19 shock created a structural break, leading domestic gold prices to no longer respond consistently to fluctuations in world gold prices. For investors, this means that forecasting domestic gold prices based solely on world gold price movements becomes less reliable. Trading strategies relying on international signals should therefore be adjusted or supplemented with
domestic factors.

References

Baur, D. G., & McDermott, T. K. (2010). Is gold a safe haven? International evidence. Journal of Banking & Finance, 34(8), 1886-1898. https://doi.org/10.1016/j.jbankfin.2009.12.008

Blose, L. E. (2010). Gold prices, cost of carry, and expected inflation. Journal of Economics and Business, 62(1), 35-47. https://doi.org/10.1016/j.jeconbus.2009.07.001

Breitung, J., & Candelon, B. (2006). Testing for short-and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378. https://doi.org/10.1016/j.jeconom.2005.02.004

Cevik, E. I., Gunay, S., Zafar, M. W., Destek, M. A., Bugan, M. F., & Tuna, F. (2022). The impact of digital finance on the natural resource market: Evidence from DeFi, oil, and gold. Resources Policy, 79, 103081. https://doi.org/10.1016/j.resourpol.2022.103081

Corbet, S., Larkin, C., & Lucey, B. (2020). The contagion effects of the COVID-19 pandemic: Evidence from gold and cryptocurrencies. Finance Research Letters, 35, 101554. https://doi.org/10.1016/j.frl.2020.101554

Chai, E. F., Lee, A. D., & Wang, J. (2015). Global information distribution in the gold OTC markets. International Review of Financial Analysis, 41, 206-217. https://doi.org/10.1016/j.irfa.2015.05.001

Cheng, Q., Wang, X., Wang, Z., & Shi, S. (2025). Hedge and safe haven functions of gold and Bitcoin around COVID-19: evidence from US financial assets. Applied Economics, 57(46), 7558-7579. https://doi.org/10.1080/00036846.2024.2393454

Chkili, W. (2016). Dynamic correlations and hedging effectiveness between gold and stock markets: Evidence for BRICS countries. Research in International Business and Finance, 38, 22-34. https://doi.org/10.1016/j.ribaf.2016.03.005

Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77(378), 304-313. https://doi.org/10.1080/01621459.1982.10477803

Granger, C. W. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica: Journal of the Econometric Society, 37(3), 424-438. https://doi.org/10.2307/1912791

Granger, C. W. (1988). Some recent development in a concept of causality. Journal of Econometrics, 39(1-2), 199-211. https://doi.org/10.1016/0304-4076(88)90045-0

Clive, W. J., & Lin, J.-L. (1995). Causality in the long run. Econometric Theory, 530-536. https://doi.org/10.1017/s0266466600009397

Hauptfleisch, M., Putniņš, T. J., & Lucey, B. (2016). Who sets the price of gold? London or New York. Journal of Futures Markets, 36(6), 564-586. https://doi.org/10.1002/fut.21775

Hosoya, Y. (1991). The decomposition and measurement of the interdependency between second-order stationary processes. Probability Theory and Related Fields, 88(4), 429-444. https://doi.org/10.1007/bf01192551

Jena, P. K. (2016). Commodity market integration and price transmission: Empirical evidence from India. Theoretical & Applied Economics, 23(3), 283-306. https://doaj.org/article/0a86e978740a4986a32508f301634a3c

Ji, Q., Zhang, D., & Zhao, Y. (2020). Searching for safe-haven assets during the COVID-19 pandemic. International Review of Financial Analysis, 71, 101526. https://doi.org/10.1016/j.irfa.2020.101526

Le Long, H., De Ceuster, M. J., Annaert, J., & Amonhaemanon, D. (2013). Gold as a hedge against inflation: The Vietnamese case. Procedia Economics and Finance, 5, 502-511. https://doi.org/10.1016/s2212-5671(13)00059-2

Thanh, L. T., & Khuong, N. D. (2017). Examining the factors affecting the allocation of financial resources in Vietnam. VNU Journal of Science: Economics and Business, 33(4). https://doi.org/10.25073/2588-1108/vnueab.4110

Li, B., Haneklaus, N., & Rahman, M. M. (2024). Dynamic connectedness and hedging opportunities of the commodity and stock markets in China: evidence from the TVP-VAR and cDCC-FIAPARCH. Financial Innovation, 10(1), 52. https://doi.org/10.1186/s40854-023-00607-x

Mejri, S., Aloui, C., & Khan, N. (2024). The gold stock nexus: Assessing the causality dynamics based on advanced multiscale approaches. Resources Policy, 88, 104395. https://doi.org/10.1016/j.resourpol.2023.104395

Pradhan, A. K., Mishra, B. R., Tiwari, A. K., & Hammoudeh, S. (2020). Macroeconomic factors and frequency domain causality between Gold and Silver returns in India. Resources Policy, 68, 101744. https://doi.org/10.1016/j.resourpol.2020.101744

Rahmadani, D. (2025). The role of gold as a safe haven asset in risk management strategies in the era of geopolitical and monetary uncertainty. Available at SSRN: https://ssrn.com/abstract=5338848

Sidana, A., Sidana, N., & Sood, R. (2021). A study of cointegration of gold market of the emerging and developed economies. Corporate and Business Strategy Review, 2(1), 8-17. https://doi.org/10.22495/cbsrv2i1art1

Sjaastad, L. A., & Scacciavillani, F. (1996). The price of gold and the exchange rate. Journal of International Money and Finance, 15(6), 879-897. https://doi.org/10.1016/s0261-5606(96)00045-9

Tran, T. N., Le, C. D., & Hoang, T. T. P. (2017). Does the State bank widen the gap between International and domestic gold prices? evidence from Vietnam. Global Business Review, 18(1), 45-56. https://doi.org/10.1177/0972150916666853

Xu, Y., Liu, Z.-X., Su, C.-W., & Ortiz, J. (2019). Gold and inflation: Expected inflation effect or carrying cost effect?. International Finance, 22(3), 380-398. https://doi.org/10.1111/infi.12347