越南匯率與股市報酬之實證研究

AN EMPIRICAL STUDY ON THE RELATIONSHIP BETWEEN USD EXCHANGE RATE AND STOCK RETURN IN VIETNAM

武黃登(Dang, Vu Hoang)

指導教授 ： 阮氏清萍

朝陽科技大學/管理學院/財務金融系/碩士(2013年)

摘要

無資料

關鍵字

越南 ； 結構性突破 ； 越南盾/美元匯率 ； 股票報酬率

並列摘要

ABSTRACT
After six years joining the World Trade Organization (WTO), Vietnam has enjoyed a lot of merits from its economic global integration; however it also faced with numerable challenges. In line with the broader achievement, Vietnam’s exchange rate regime has evolved from a system of multiple exchange rates to a single announced fixed rate, then to the current system of a narrow adjustable band around the official rate.
The relationship between stock price and VND/USD exchange rate has always been an important issue for both investors and policy makers. This study presents an EGarch-M (1, 1) model with break to analyze the impact of exchange rate on stock return in Vietnam. Over the period from 2002 to 2011, the empirical results reveal the negative relationships between stock returns and VND/USD exchange rate, proving that VND/USD exchange rate works as the negative indicator of stock return in Vietnam , and the determinant of this phenomenon is the leverage shock between ''good news'' and ''bad news''.

並列關鍵字

Vietnam ； structural break ； VND/USD exchange rate ； stock returns

參考文獻

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