Investigate the impact of crude oil prices on stock market returns in Vietnam
Abstract
This research is conducted to retest the model of impact of oil prices on stock market returns in Vietnam of Narayan and Narayan in 2009. The issue was raised since there were many conflictions in the findings of previous researchers, and domestic oil market changed because of the operation of Dung Quat oil refinery plant in early 2009. We applied econometric tests with the support of VAR and VECM in order to test hypotheses and used daily time series data of stock prices, WTI crude oil prices and nominal exchange rates in the period from 3rd August 2009 to 28th December 2015. The final results are consistent with theoretical expectations. It was proved that the growth of stock market returns in Vietnam was accompanied by reducing oil prices and rising foreign exchange rate.