Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam

Hung, Ngo Thai

doi:10.1080/17520843.2021.1947614

Cited by 4 publications

(1 citation statement)

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“…This study contributes to the existing literature by exploring the relationship between the country's EF, economic growth, human development, and urbanisation. Due to its extensive natural resources and rising financial growth (Hung, 2021a), Vietnam is recognised as an important emerging economy. In recent years, the country has prioritised economic development over social development (Nathaniel, 2021;Hassan et al, 2019;Zeraibi et al, 2021).…”

Section: Introductionmentioning

confidence: 99%

Time-Frequency Impact of Human Well-Being and Economic Growth on the Ecological Footprint: A Vietnamese Perspective

Hieu

2023

AAMJ

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The nexus between natural resources and environmental degradation has significant implications. Nevertheless, this domain is insufficiently examined. This paper therefore a examines the time-frequency influence of economic growth, human development, and urbanisation on Vietnam’s ecological footprint (EF) using wavelet analysis. The findings showed that the intercorrelation between EF and related variables is statistically significant at low, medium, and high frequencies. More importantly, the elationships between these variables occur at a high frequency, which means that EF, economic growth (GDP), human development index (HDI), and urbanisation (UB) have different fluctuations in the long run. These outcomes are also confirmed by the wavelet-based Granger causality test at various time scales, which supports our relationship results

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Section: Introductionmentioning

confidence: 99%

Time-Frequency Impact of Human Well-Being and Economic Growth on the Ecological Footprint: A Vietnamese Perspective

Hieu

2023

AAMJ

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Time–frequency nexus between globalization, financial development, natural resources and carbon emissions in Vietnam

Hung

2022

Econ Change Restruct

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Multi-scale Features of Interdependence Between Oil Prices and Stock Prices

Hung

2022

Asia-Pac Financ Markets

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This paper investigates the time-varying connectedness between oil prices and the stock prices in African markets. We employ a wavelet-based dynamic conditional correlation framework, which allows us to look into the time-varying correlation between oil and African stock markets in time and frequency domains. Empirical results show the interdependence between oil prices and African stock market prices are time-varying and spread across various wavelet scales. More importantly, the dynamic relationship between oil prices and stock returns in these countries varies more frequently and at a lower level in the short run. However, we find the long and medium-range co-movements between them except during the Covid-19 period when short-term integration increased considerably, which might help portfolio managers and investors mitigate risk. We identify the hedge ratios and optimal portfolio weights for practical implications based on the said assets' dynamic conditional correlation.

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Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam

Cited by 4 publications

References 50 publications

Time-Frequency Impact of Human Well-Being and Economic Growth on the Ecological Footprint: A Vietnamese Perspective

Time-Frequency Impact of Human Well-Being and Economic Growth on the Ecological Footprint: A Vietnamese Perspective

Time–frequency nexus between globalization, financial development, natural resources and carbon emissions in Vietnam

Multi-scale Features of Interdependence Between Oil Prices and Stock Prices

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