Gold Price, Oil Price, and Stock Market Return Spillovers: Empirical Evidence from Vietnam


Authors

  • Nguyen Thi Hoai VNU University of Economics and Business, Vietnam
  • Luong Tram Anh VNU University of Economics and Business, Vietnam
  • Le Thi Phuong Uyen VNU University of Economics and Business, Vietnam
  • Dau Thao Vy VNU University of Economics and Business, Vietnam
DOI: https://doi.org/10.57110/vnujeb.v3i6.215

Keywords:

Oil price, gold price, Vietnam stock market, TVP-VAR

Abstract

This paper analyzes the spillovers of oil prices, gold prices and stock market returns in Vietnam. By adopting the time-varying parameter vector autoregression model (TVP-VAR), the results show a moderate interdependence among the variables from 2010-2022. Additionally, the relationship between oil prices, gold prices, and stock market returns changes over time and is influenced by economic and political events. Overall, stock market returns are net shock transmitters with the highest volatility among all the variables, while the oil and gold markets are net recipients. Finally, our results remain robust to Vietnam's alternative stock market index.

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Published

26-12-2023

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How to Cite

Hoai, N. T., Anh, L. T., Uyen, L. T. P., & Vy, D. T. (2023). Gold Price, Oil Price, and Stock Market Return Spillovers: Empirical Evidence from Vietnam. VNU University of Economics and Business, 3(6), 13. https://doi.org/10.57110/vnujeb.v3i6.215

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Original Articles