Causal relationship between gold and stock prices in Vietnam
Abstract
The study aims to investigate the causal relationship between gold and stock
prices in Vietnamese market. Respectively, SJC gold price per tael and VN-Index are
selected to be proxies of domestic gold and stock markets. Collecting 205 weekly
observations from January 4th, 2010 to December 29th, 2013 for each series, the research
would conduct the Unit Root test, the Johansen cointegration test and the Granger
causality test to define the dynamic relation between two assets. At the result, it is
authenticated that there is the long run equilibrium between gold and stock markets.
Particularly, in the long run, when VN-Index increases by 1%, SJC gold price also
declines by 2%, which implies the strongly negative correlation. The empirical result also
shows the nonexistence of causal relationship between gold and stock prices in
Vietnamese market in short run.