國際油價與越南股價之間的關聯性分析

The Relationship between International Oil Price and Vietnam Stock Price

丁氏秋懷(Thi Thu Hoai Dinh)

指導教授 ： 方世詮

朝陽科技大學/管理學院/財務金融系/碩士(2014年)

摘要

越南是近十年來，亞洲地區成長第二快速以及最大的石油輸出經濟體，越南國民所得的成長卻伴隨著石油出口量的滑落。同時，迅速成長的越南股市也伴隨此一趨勢而成長。那麼國際油價與越南股市之間的關係，當然也是一個顯而易見的熱門議題。
本文研究國際油價報酬與越南股市指數報酬之間的關係。實證部分以迴歸模型研究2007年到2013年間的日資料，利用美國與越南間的匯率來控制美國為越南石油最大出口國之效果。
實證結果顯示國際油價報酬與越南股市指數報酬之間，存在著統計上顯著的正向關係。而且越南股市指數報酬與美國越南匯率報酬間，存在著統計上顯著的負向關係。

關鍵字

越南股市 ； 國際油價 ； 匯率

並列摘要

Vietnam exhibits the second fastest growing and largest oil-exporting economy in Asian region for recent decade. The growth of the Vietnam gross domestic product was accompanied by falling oil exports. At the same time, the fast growing Vietnam stock market was also gone along with this trend. The connection between international oil price and Vietnam stock market index has become an obviously hot issue.
This paper investigates the relationships between international oil price return and Vietnam stock index return. We use a simple regression model of daily data for the period 2007–2013 and include the foreign exchange rate (US/VND) to control the effect of US as the largest exporting country for Vietnam.
The empirical result shows that international oil price return is positively and statistically significant correlated with Vietnam stock index return. The finding also indicates a very strong negative relationship between international oil price return and the foreign exchange rate return. This is a finding provide a new insight into the relationship between international oil price return and Vietnam stock market index return. It also leads to a meaningful implication for policymakers, investors, and risk managers participating Vietnam stock markets.

並列關鍵字

Vietnam Stock Market ； International Oil Price ； Exchange Rate

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