(3.236.222.124) 您好!臺灣時間:2021/05/13 02:49
字體大小: 字級放大   字級縮小   預設字形  
回查詢結果

詳目顯示:::

: 
twitterline
研究生:丁氏秋懷
研究生(外文):Thi Thu Hoai Dinh
論文名稱:國際油價與越南股價之間的關聯性分析
論文名稱(外文):The Relationship between International Oil Price and Vietnam StockPrice
指導教授:方世詮方世詮引用關係
指導教授(外文):Shih-Chuan Fang
口試委員:高惠娟林鳴琴方世詮
口試委員(外文):Hui Chuan KaoMing Chin LinShih Chuan Fang
口試日期:2014-05-26
學位類別:碩士
校院名稱:朝陽科技大學
系所名稱:財務金融系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2014
畢業學年度:102
語文別:英文
論文頁數:44
中文關鍵詞:國際油價越南股市匯率
外文關鍵詞:International Oil PriceVietnam Stock MarketExchange Rate
相關次數:
  • 被引用被引用:1
  • 點閱點閱:189
  • 評分評分:系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔系統版面圖檔
  • 下載下載:17
  • 收藏至我的研究室書目清單書目收藏:2
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。
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.
中文摘要 中文摘要 ...............................................................................................................I
ENGLISH ABTRACT ........................................................................................... II
ACKNOWLEDGMENTS .................................................................................... III
CONTENTS .......................................................................................................... IV
LIST OF TABLES ................................................................................................ VI
LIST OF FIGURE............................................................................................... VII
CHAPTER 1 INTRODUCTION ......................................................................... 1
CHAPTER 2 LITERATURE REVIEW .............................................................. 5
2.1 Oil Price and Developed Countries ............................................................... 6
2.2 Oil Price and Emerging Countries ................................................................ 8
2.3 Oil Price and Oil- Exporting (Importing) Countries ..................................... 9
2.4 Oil Price and Exchange Rates ..................................................................... 11
CHAPTER 3 DEVELOPMENT OF VIETNAM ECONOMY AND STOCK MARKET .............................................................................................................. 13
3.1 Vietnam Economy and Crude Oil ............................................................... 13
3.2 Vietnam Stock Market ................................................................................. 16
CHAPTER 4 DATA AND METHODOLOGY ................................................ 19
4.1 Data Description .......................................................................................... 19
4.2 Methodology................................................................................................ 25
4.2.1 Unit Root Test .................................................................................. 26
4.2.2 Regression Test ................................................................................ 27
4.2.3 Granger Causality Test ..................................................................... 28
CHAPTER 5 EMPIRICAL RESULTS ............................................................. 29
5.1 Unit Root Test ............................................................................................. 29
5.2 Regression Test ........................................................................................... 31
5.3 Granger Causality Test ................................................................................ 35
CHAPTER 6 CONCLUSION ........................................................................... 38
REFERENCE ........................................................................................................41
TABLE 1 DESCRIPTIVE STATISTICS .......................................................... 23
TABLE 2 CORRELATION OF DAILY RETURNS ....................................... 24
TABLE 3 ADF UNIT ROOT TEST ................................................................. 30
TABLE 4 REGRESSION TEST FOR HNX INDEX ....................................... 32
TABLE 5 REGRESSION TEST FOR HOSE INDEX ..................................... 33
TABLE 6 GRANGER CAUSALITY TEST FOR DATA SERIES ................. 36
FIGURE 1 VIETNAM GDP AND OIL EXPORTS ......................................... 15
FIGURE 2 INTERNATIONAL OIL PRICE AND VIETNAM STOCK MARKET INDEX ................................................................................................ 17
FIGURE 3 THE MEAN REVERSION PROPERTY FOR INTERNATIONAL OIL RETURN SERIES ........................................................................................ 21
Akram, Q.F. (2009). Commodity prices, interest rates and the dollar. Energy Econ, (31), 838–851.
Bjørnland, Hilde C. (2009). Oil price shocks and stock market booms in an oil-exporting country. Scottish Journal of Political Economy, (56), 232–254.
Bloomberg, S.B. & Harris, E.S. (1995, October). The commodity-consumer price connection: Factor fable? Federal Reserve Board of New York, Economic Policy Review, 21-38.
Boyd, R.O. (1997). Economic impact of the energy price increase in Mexico. Environmental and Resource Economics, (10), 101–107.
Brocato, J. & Smith, K.L. (1989). Velocity and the variability of money growth: evidence from Granger causality tests: comment. Journal of Money, Credit and Banking, 21 (2), 258–261.
Chung, P. & Liu, D. (1994). Common stochastic trends in Pacific-Rim stock markets. Quarterly Review of Economics and Finance, 34 (5), 241–259.
Click, R. & Plummer, M. (2005). Stock market integration in ASEAN after the Asian financial crisis. Journal of Asian Economics, 16 (1), 5–28.
42
Cong, R.G., Wei, Y.M., Jiao, J.L., & Fan, Y. (2008). Relationships between oil price shocks and stock market: an empirical analysis from China. Energy Policy, (36), 3544–3553.
Cunado, J., & Perez, G.F. (2005). Oil prices, economic activity and inflation: evidence for some Asian countries. Quarterly Review of Economics and Finance, (45), 65–83.
Dickey DA. & Fuller WA. (1988). Distribution of the estimation for autoregressive time series with a unit root. J Am Stat Assoc, (74), 427–431.
El-Sharif, I., Brown, D., Burton, B., Nixon, B., & Russell, A. (2005). Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Econ, (27), 819–830.
Golub, S. (1983). Oil prices and exchange rates. Economic Journal, (93), 576-593.
Hamilton, J.D. (1983). Oil and the macroeconomy since World War II. J. Polit. Econ, (9), 228–248.
Huang, R.D. & Masulis, R.W. (1996). Energy shocks and financial markets. Journal of Futures Markets, (16), 1–27.
43
Jones, C.M. & Kaul, G. (1996). Oil and the stock markets. Journal of Finance, (51), 463–491.
Jung, Hansol & Park, Cheolbeom (2011). Stock market reaction to oil price shocks: a comparison between an oil-exporting economy and an oil-importing economy. Journal of Economic Theory and Econometrics, (22), 1–29.
Kilian, L. & Park, C. (2009). The impact of oil price shocks on the U.S. stock market. Int.Econ. Rev, (50), 1267–1287.
Krugman, P. (1983). Oil and the dollar. In: Bhandari, J.S., Putnam, B.H. (Eds.), Economic Interdependence and Flexible Exchange Rates. Cambridge University Press, Cambridge.
Narayan, P.K. & Narayan, S. (2010). Modelling the impact of oil prices on Vietnam's stock prices. Appl. Energy, (87), 356–361.
Papapetrou, E. (2001). Oil price shocks, stock market, economic activity and employment in Greece. Energy Econ, (23), 511–532.
Park, J. & Ratti, R.A. (2008). Oil price shocks and stock markets in the US and 13 European countries. Energy Economics.
44
Sadorsky, P. (1999). Oil price shocks and stock market activity. Energy Econ, (21), 449–469.
Schneider, M. (2004). The impact of oil price changes on growth and inflation. Monetary Policy and the Economy, Q2/04.
Uri, N.D. (1996). Crude oil price volatility and unemployment in the United States. Fuel Energy Abstracts, (37), 91.
Zhang D. (2008). Oil shock and economic growth in Japan: A nonlinear approach. Energy Economics, 30 (5), 2374-2390.
Zhang, Y.J. & Wei, Y.M. (2011). The dynamic influence of advanced stock market risk on international crude oil return: an empirical analysis. Quant. Finance, (11), 967–978.
QRCODE
 
 
 
 
 
                                                                                                                                                                                                                                                                                                                                                                                                               
第一頁 上一頁 下一頁 最後一頁 top
系統版面圖檔 系統版面圖檔