QUAN H NHN QU V CC MU HNH

BIN NG
GIA GI VNG V T GI HI OI
I.

Mc tiu v kt qu nghin cu:

Nghin cu em n mt gc nhn mi v mi quan h gia gi

vng v t gi hi oi. Da trn gi vng th hin trn 5 ng tin khc

nhau v t gi hi oi song phng, nghin cu mi quan h nhn qu
v s truyn dn bin ng (volatility transmission) trong ngn hn gia
gi vng v t gi hi oi.
Bn kt qu nghin cu:
1. Trong nhiu nghin cu trc y, vng c th c dng phng
nga (hedging) nu gi vng c tng quan nghch (negative
correlation) vi t gi hi oi v s t c s dng phng nga
(hedging) nu khng c tng quan vi t gi hi oi.
TUY NHIN, kt qu nghin cu ny cho thy rng c tnh
m vng c th c s dng phng nga (hedging) v l
ni tr n an ton (safe heaven) th KHNG c tm thy
trong NGN HN.
2. S xc nh vng c s dng nh mt cng c phng nga
mnh m cn c cc m hnh r rng v thnh phn bin
ng ca t gi hi oi.
3. TRI VI mt s nghin cu trc y, kt qu nghin cu
tm thy rng mt s gia tng trong bin ng t gi hi
oi s thng xuyn dn n vic s dng chc nng
phng nga mnh m ca vng.
4. CH RING gi vng c nim yt theo USD tng ln v s
mt gi ca USD.

II.

D liu v phng php nghin cu:

D liu:
1. Giai on: 1/1979 1/2013 (35 nm)
2. Tn sut : daily data (d liu ngy)
3. D liu:
Gi vng ly t World Gold Council
T gi hi oi song phng gia cc cp ng tin ( USD,
GBP, JPY, EUR, INR) Thomson Reuters Datastream
Phng php nghin cu:

Bng 1: thng k m t (descriptive statistics) gi thuyt

normality b t chi (rejected) i vi mi chui data v

skewness v kurtosis.
Bng 2:
S dng a unit root by means" (ADF test) kim nh mi chui
data c I(1) hay khng?
Kim nh cointegration gia gi vng nim yt trn tng ng
tin v TGH ca ng tin nim yt gi vng vi ln lt cc
ng tin khc
( KQ tm thy : not cointegrated khng c mi quan h nh
trong DI HN gia gi vng v TGH song phng)
V l do trn, nghin cu mun tp trung vo nh hng NGN
HN v kim tra mi quan h nhn qu cng nh hiu ng trn
bin ng (volatility spillovers) gia chng ( bivariate GARCH
in mean SVAR models in the 1st differrences, linear VAR models
v test for presence of ARCH effects in the residuals).