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

Tuấn Trần Ngọc; Quảng Vũ Việt

doi:10.24311/jabes/2019.30.3.4

Authors

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

DOI:

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

Keywords:

Dynamic relationship, Gold price, VN-Index, VND/USD Exchange rate, Vine Copula, Cvine Copula, Vietnam

Abstract

In this paper, the authors aim to investigate the dynamic relationship among the gold price, VN-Index and VND/USD exchange rate in Vietnam. To investigate this relationship, the dependence modeling using Vine Copula (specifically Canonical - Vine Copula, or Cvine Copula) has been utilized, which is supposed to provide better flexibility, allowed the modeling of complex dependency patterns for high-dimensional distributions, compared to traditional approaches. Using the sample of weekly rate of return on gold price, VN-Index, and USD/VND exchange rate in Vietnam, over 10 years from January 8, 2007 to March 19, 2018, this study has documented that VND/USD exchange rate is strongly related to domestic gold price and VN-Index. Empirical evidence also shows that when the market is operating normally or stably, the relationship between exchange rate and gold price, as well as VN-Index and gold price, with and without VND/USD exchange rate condition, are not significant. However, the relationship between exchange rate and VN-Index is strong, in which, an increase in VND/USD exchange rate (a depreciation in VND) leads to a drop in VN-Index. The empirical results of sub-periods show that the dependency structure and dependency level of the asset pairs change in most of the time periods considered.

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