越南與貿易對手國動能關聯性

Momentum linkages between Vietnam and its counterparties

豆氏香(Dau Thi-Huong)

指導教授 ： 林鳴琴 ； 李瑞琳

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

本研究旨在探討越南與貿易對手國動能關聯性。我們以已開發國家的越南貿易對手國為分析對象，包括美國、英國、法國、和日本。樣本研究期為2008/8至2013/5。我們以向量回歸模型分析越南和其貿易對手國動能交易策略間關係。研究結果發現，動能交易策略在越南與其貿易對手國間並未存在線性和非線性因果關係。意謂動能交易策略在月頻率下無法呈現越南與其貿易對手國間領先落後關係。最後，以同時期回歸結果顯示，英國的動能交易策略會同時期顯著負向影響越南動能交易策略。

關鍵字

非線性因果關係 ； 線性因果關係 ； 越南 ； 動能交易策略

並列摘要

This study examines the dynamic relationship between Vietnam and its counterparties. We consider first five counterparties of developed markets, such like United States, United Kingdom, France, and Japan. Our sample period is during August 2008 to May 2013. We use a vector auto-regression (VAR) model. The purpose of this work is investigating the existence of linkages between the momentum portfolio of stock market price between Vietnam and its counterparties. By using nonlinear granger causality, the empirical evidence indicated that there is no dynamical nonlinear granger causality relationship between Vietnam and its counterparties. But by using contemporaneous regression of momentum returns in Vietnam on those in its counterparties, this work found that there is contemporaneous and negative impact of England on Vietnam.

並列關鍵字

momentum returns ； nonlinear granger causality ； Vietnam ； momentum portfolio

參考文獻

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