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Proceedings of the 2021 International Conference on Research in Management & Technovation

Annals of Computer Science and Information Systems, Volume 28

The Interactions Between the USD to VND Rate and Stock Index in Vietnam: An Application of VECM Model

DOI: http://dx.doi.org/10.15439/2021KM72

Citation: Proceedings of the 2021 International Conference on Research in Management & Technovation, Vu Dinh Khoa, Shivani Agarwal, Gloria Jeanette Rincon Aponte, Nguyen Thi Hong Nga, Vijender Kumar Solanki, Ewa Ziemba (eds). ACSIS, Vol. 28, pages 249252 ()

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Abstract. Ths working paper examined the USD to VND exchange rate and VN-Index interactions with VECM model using daily data from November 2012 to June 2021. To be precise, the research compares impacts of the USD to VND exchange rate on VN-Index in two distinct sub-periods, including the first one from November 2012 to December 2015 and the second one from January 2016 to June 2012 because of the introduction of the decision 2730/QĐ-NHNN about the daily average inter-bank exchange rate between VND and foreign currencies in 2016. The results of VECM show that there are stable long-term and short-run relationships between the USD to VND exchange rate and VN-Index. These interactions are stricter in the first sub-period or before the introduction of decision 2730/QĐ-NHNN, leading to some important implications which are signficiant for portfolio managers' making-decision about the portfolio diversification and risk management


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