Momentum linkages between Vietnam and its counterparties
碩士 === 朝陽科技大學 === 財務金融系 === 102 === 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...
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| Format: | Others |
| Language: | en_US |
| Published: |
2014
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| Online Access: | http://ndltd.ncl.edu.tw/handle/76003632963108433524 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系 === 102 === 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.
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