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The dynamic relationship of oil price, gold price and stock market return. Evidence in Vietnam

By Nguyen Phan Hong Ngoc (VNP 23)

Supervisor: Dr. Ngo Minh Hai

Abstract:

The thesis research the dynamic relationship among oil price, gold price and the stock market return in Vietnam. By applying different statistical methods, this thesis aims to investigate how these three assets move in relation to each other. The time series data is collected from 2006 to 2017 including daily data of VNIndex, Brent spot oil price and international gold price. The main approach of this study is Dynamic conditional correlation GARCH (DCC – GARCH) methods. The results presents the evidence of time-varying conditional correlation among the three variables, suggesting volatility interdependence among them. The thesis also uses the Granger’s causality test for causal relationship and finds that oil price will follow gold price and stock market return will be affected by oil price volatility. The paper shows that fluctuations of the markets in the past can be repeated in the present. Research fluctuations among the three markets will provide important data in asset allocation and risk management for investors and portfolios managers in the gold Vietnamese stock market.

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