DSpace at VNU: Using multiple regression model in analyzing price volatility and testing that gold is a safe haven for Vietnam market

USING MULTIPLE REGRESSION MODEL IN ANALYSING PRICE VOLATILITY AND TESTING THAT GOLD IS A SAFE HAVEN FOR VIETNAM MAKET Authors: Nguyen Duc Khuong Faculty: Finance and Banking Instructor: MBA Trinh Thi Phan Lan Year: 2012 - 2013 Abstract The purpose of the study is to analyze the factors affecting the price of gold and test verification role of gold Based on the researches in the world, this subject applies to analysis the impact of these factors, verifies if gold is a safe haven for investors The subject gave recommendations for investors in holding gold The thesis has five chapters with opening chapter introduces the urgency, purpose and research methods Theoretical issues about the impact factor and the benefits of gold investment are presented in Chapter Movements in the gold market and economic factors in Vietnam are presented in Chapter Chapter introduces the regression model as a basis to test and conclude in chapter In analyzing price volatility, the subject identifies two factors that affect the supply and demand aspects, conduct to estimate aggression in which the dependent variable - the price of gold is explained by the variables: VND / USD exchange, inflation, money supply M2, the stock market index, interest rate and world gold price For testing the gold, the definition of the safe heaven is divided by hedge, strong and weak safe haven To quantify that level, the thesis inserts three dummies in the model This is a highlight of the subject because only checking the coefficients in the model can conclude the level of preventing the risk of gold The results show that only two factors are the VND / USD exchange rate and inflation can explain gold price volatility The test results show that gold is not a safe haven for markets The relationship between gold and stock profit sectors is complex From the results obtained, the subject gives recommendations to stabilize the price of gold relating to two stable exchange rate and inflation For gold holdings, the subject recommends investors should not hold too much to reduce the demand in the market ... results show that only two factors are the VND / USD exchange rate and inflation can explain gold price volatility The test results show that gold is not a safe haven for markets The relationship... between gold and stock profit sectors is complex From the results obtained, the subject gives recommendations to stabilize the price of gold relating to two stable exchange rate and inflation For gold. .. two stable exchange rate and inflation For gold holdings, the subject recommends investors should not hold too much to reduce the demand in the market