臺灣博碩士論文加值系統

本研究旨在探討越南與貿易對手國動能關聯性。我們以已開發國家的越南貿易對手國為分析對象，包括美國、英國、法國、和日本。樣本研究期為2008/8至2013/5。我們以向量回歸模型分析越南和其貿易對手國動能交易策略間關係。研究結果發現，動能交易策略在越南與其貿易對手國間並未存在線性和非線性因果關係。意謂動能交易策略在月頻率下無法呈現越南與其貿易對手國間領先落後關係。最後，以同時期回歸結果顯示，英國的動能交易策略會同時期顯著負向影響越南動能交易策略。

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.

TABLE OF CONTENTS


摘要 I
ABSTRACT II
ACKNOWLEDGEMENTS III
TABLE OF CONTENTS IV
LIST OF TABLES VI
CHAPTER 1 INTRODUCTION 1
CHAPTER 2 RELATED LITERATURE 5
1. Literature review 5
2. Vietnam economic and its cooperation 9
2.1 Vietnam Economy 9
2.2 Relation between Vietnam Its Cooperation 10
CHAPTER 3 DATA AND METHODOLOGY 13
1. Data 13
2. Methodology 13
2.1 Vector Auto-regression 13
2.2 Unit root tests 16
2.3 Testing procedure for linear Granger causality 17
2.4 Hiemstra-Jones Nonlinear Causality Test 18
CHAPTER 4 EMPIRICAL METHODOLOGY AND RESULTS 21
1. Basic statistics of five stock momentum portfolio 21
2. Correlation matrix 23
3. Optimal lag length based on SIC and VAR results 24
4. Granger causality test results 27
5. Contemporaneous regression results of Vietnam momentum
on momentum for its counterparties 30
CHAPTER 5 CONCLUSIONS 33
REFERENCES 34
 

LIST OF TABLES

Table 1. Summary statistics of five momentum returns stock 22
Table 2. Correlation matrices 23
Table 3. The length of the optimal lag based on SIC 24
Table 4. VAR results 26
Table 5. Granger causality test results 28
Table 6. Nonlinear Granger causality test 29
Table 7. Contemporaneous regression results of Vietnam momentum on momentum for its counterparties 31
Table 8. Import and Export Turnover 32

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