메뉴 건너뛰기




Volumn 87, Issue 1, 2010, Pages 356-361

Modelling the impact of oil prices on Vietnam's stock prices

Author keywords

Cointegration; Stock prices; Vietnam

Indexed keywords

COMMERCE; COSTS; ECONOMICS; FINANCE; FINANCIAL MARKETS;

EID: 70349473215     PISSN: 03062619     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.apenergy.2009.05.037     Document Type: Article
Times cited : (297)

References (28)
  • 1
    • 0001162133 scopus 로고
    • Tests for parameter instability and structural change with unknown change point
    • Andrews D.W.K. Tests for parameter instability and structural change with unknown change point. Econometrica 61 (1993) 821-856
    • (1993) Econometrica , vol.61 , pp. 821-856
    • Andrews, D.W.K.1
  • 2
    • 0000209591 scopus 로고
    • Optimal tests when a nuisance parameter is present only under the alternative
    • Andrews D.W.K., and Ploberger W. Optimal tests when a nuisance parameter is present only under the alternative. Econometrica 62 (1994) 1383-1414
    • (1994) Econometrica , vol.62 , pp. 1383-1414
    • Andrews, D.W.K.1    Ploberger, W.2
  • 3
    • 0021626296 scopus 로고
    • Testing for the effects of oil-price rises using vector autoregression
    • Burbridge J., and Harrison A. Testing for the effects of oil-price rises using vector autoregression. Int Econom Rev 25 (1984) 459-484
    • (1984) Int Econom Rev , vol.25 , pp. 459-484
    • Burbridge, J.1    Harrison, A.2
  • 4
    • 85036258669 scopus 로고
    • Distribution of the estimation for autoregressive time series with a unit root
    • Dickey D.A., and Fuller W.A. Distribution of the estimation for autoregressive time series with a unit root. J Am Stat Assoc 74 (1988) 427-431
    • (1988) J Am Stat Assoc , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 5
    • 0001726295 scopus 로고
    • Exchange rates and the current account
    • Dornbusch R., and Fischer S. Exchange rates and the current account. Am Econom Rev 70 (1980) 960-971
    • (1980) Am Econom Rev , vol.70 , pp. 960-971
    • Dornbusch, R.1    Fischer, S.2
  • 6
    • 28444452243 scopus 로고    scopus 로고
    • Evidence on the nature and extent of the relationship between oil prices and equity values in the UK
    • El-Sharif I., Brown D., Burton B., Nixon B., and Russell A. Evidence on the nature and extent of the relationship between oil prices and equity values in the UK. Energy Econom 27 (2005) 819-830
    • (2005) Energy Econom , vol.27 , pp. 819-830
    • El-Sharif, I.1    Brown, D.2    Burton, B.3    Nixon, B.4    Russell, A.5
  • 7
    • 0000013567 scopus 로고
    • Cointegration and error correction: representation, estimation and testing
    • Engle R.F., and Granger C.W.J. Cointegration and error correction: representation, estimation and testing. Econometrica 55 (1987) 251-276
    • (1987) Econometrica , vol.55 , pp. 251-276
    • Engle, R.F.1    Granger, C.W.J.2
  • 8
    • 0001757056 scopus 로고
    • Crude oil and the macroeconomy: tests of some popular notions
    • Gisser M., and Goodwin T.H. Crude oil and the macroeconomy: tests of some popular notions. J Money Credit Bank 18 (1986) 95-103
    • (1986) J Money Credit Bank , vol.18 , pp. 95-103
    • Gisser, M.1    Goodwin, T.H.2
  • 9
    • 0008312427 scopus 로고    scopus 로고
    • Residual based test for cointegration in models with regime shifts
    • Gregory A.W., and Hansen B.E. Residual based test for cointegration in models with regime shifts. J Econometrics 70 (1996) 99-126
    • (1996) J Econometrics , vol.70 , pp. 99-126
    • Gregory, A.W.1    Hansen, B.E.2
  • 10
    • 2442541371 scopus 로고    scopus 로고
    • Dynamic relationships among GCC stock markets and NYMEX oil futures
    • Hammoudeh S., and Aleisa E. Dynamic relationships among GCC stock markets and NYMEX oil futures. Contemp Econom Policy 22 (2004) 250-269
    • (2004) Contemp Econom Policy , vol.22 , pp. 250-269
    • Hammoudeh, S.1    Aleisa, E.2
  • 11
    • 85017128111 scopus 로고
    • Oil and the macroeconomy since World War II
    • Hamilton J.D. Oil and the macroeconomy since World War II. J Polit Economy 92 (1983) 228-248
    • (1983) J Polit Economy , vol.92 , pp. 228-248
    • Hamilton, J.D.1
  • 12
    • 84952494734 scopus 로고
    • Tests for parameter instability in regressions with I(1) processes
    • Hansen B. Tests for parameter instability in regressions with I(1) processes. J Business Econom Stat 10 (1992) 321-335
    • (1992) J Business Econom Stat , vol.10 , pp. 321-335
    • Hansen, B.1
  • 13
    • 0031542613 scopus 로고    scopus 로고
    • Approximate asymptotic p-values for structural-change tests
    • Hansen B.E. Approximate asymptotic p-values for structural-change tests. J Business Econom Stat 15 (1997) 60-67
    • (1997) J Business Econom Stat , vol.15 , pp. 60-67
    • Hansen, B.E.1
  • 14
    • 42949147313 scopus 로고    scopus 로고
    • Tests for cointegration with two unknown regime shifts with an application to the financial market integration
    • Hatemi-J A. Tests for cointegration with two unknown regime shifts with an application to the financial market integration. Emp Econom 35 (2008) 497-505
    • (2008) Emp Econom , vol.35 , pp. 497-505
    • Hatemi-J, A.1
  • 16
    • 70349457105 scopus 로고    scopus 로고
    • International Monetary Fund IMF, IMF Country paper no. 07/385, Washington, DC;
    • International Monetary Fund (IMF). Vietnam: selected issues. IMF Country paper no. 07/385, Washington, DC; 2007.
    • (2007) Vietnam: Selected issues
  • 17
    • 0345510809 scopus 로고
    • Statistical analysis of cointegration vectors
    • Johansen S. Statistical analysis of cointegration vectors. J Econom Dynam Control 12 (1988) 231-254
    • (1988) J Econom Dynam Control , vol.12 , pp. 231-254
    • Johansen, S.1
  • 18
    • 0000158117 scopus 로고
    • Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models
    • Johansen S. Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models. Econometrica 59 (1991) 1551-1580
    • (1991) Econometrica , vol.59 , pp. 1551-1580
    • Johansen, S.1
  • 19
    • 0039607955 scopus 로고    scopus 로고
    • Oil and stock markets
    • Jones C.M., and Kaul G. Oil and stock markets. J Finance 51 (1996) 463-491
    • (1996) J Finance , vol.51 , pp. 463-491
    • Jones, C.M.1    Kaul, G.2
  • 20
    • 0000646020 scopus 로고
    • Oil price shocks and the dispersion hypothesis
    • Loungani P. Oil price shocks and the dispersion hypothesis. Rev Econom Stat 68 (1986) 536-539
    • (1986) Rev Econom Stat , vol.68 , pp. 536-539
    • Loungani, P.1
  • 21
    • 0033444729 scopus 로고    scopus 로고
    • Numerical distribution functions of likelihood ratio tests for cointegration
    • MacKinnon J.G., Haug A.A., and Michelis L. Numerical distribution functions of likelihood ratio tests for cointegration. J Appl Economet 14 (1999) 563-577
    • (1999) J Appl Economet , vol.14 , pp. 563-577
    • MacKinnon, J.G.1    Haug, A.A.2    Michelis, L.3
  • 22
    • 84995186518 scopus 로고
    • Portfolio selection
    • Markowitz H.M. Portfolio selection. J Finance 7 (1952) 77-91
    • (1952) J Finance , vol.7 , pp. 77-91
    • Markowitz, H.M.1
  • 23
    • 0001086614 scopus 로고
    • The foundations of portfolio theory
    • Markowitz H.M. The foundations of portfolio theory. J Finance 46 (1991) 469-477
    • (1991) J Finance , vol.46 , pp. 469-477
    • Markowitz, H.M.1
  • 24
    • 0035450104 scopus 로고    scopus 로고
    • Oil price shocks, stock market, economic activity and employment in Greece
    • Papapetrou E. Oil price shocks, stock market, economic activity and employment in Greece. Energy Econom 23 (2001) 511-532
    • (2001) Energy Econom , vol.23 , pp. 511-532
    • Papapetrou, E.1
  • 25
    • 0000308535 scopus 로고
    • Time series regression with a unit root
    • Phillips P.C.B. Time series regression with a unit root. Econometrica 55 (1987) 277-301
    • (1987) Econometrica , vol.55 , pp. 277-301
    • Phillips, P.C.B.1
  • 26
    • 0032702341 scopus 로고    scopus 로고
    • Oil price shocks and stock market volatility
    • Sadorsky P. Oil price shocks and stock market volatility. Energy Econom 21 (1999) 449-469
    • (1999) Energy Econom , vol.21 , pp. 449-469
    • Sadorsky, P.1
  • 27
    • 0030183053 scopus 로고    scopus 로고
    • Changing crude oil price effects on US agricultural employment
    • Uri N.D. Changing crude oil price effects on US agricultural employment. Energy Econom 18 (1996) 185-202
    • (1996) Energy Econom , vol.18 , pp. 185-202
    • Uri, N.D.1
  • 28
    • 0003926535 scopus 로고    scopus 로고
    • World Bank, Washington DC, World Bank;
    • World Bank. World development indicators. Washington (DC): World Bank; 2009.
    • (2009) World development indicators


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.