探討已開發國家與越南股票市場的業務組合動能之關聯性

The Momentum Portfolio of Stock Market Linkages between Vietnam and Its Counterparties

本研究主要目的是同時探討已開發國家與在開發中國家的業務組合動能。本研究討論六個主要國家的股票市場，包括美國，英國，法國和日本為已開發的市場，以及越南為開發中的市場。資料是從2000年8月到2013年5月。透過使用向量自回歸模型（VAR），本研究探討已開發國家與開發中國家股票市場之間的關聯性，同時也透過探討業務組合動能的系列指數，動態相依性和領先落後關係找出最佳的關係連結。

In this paper, interaction between momentum portfolios of developed country and that of emerging countries is examined. Stock market of six countries (UK, US, France, Japan and Vietnam) and their relationships are introduced. The stock markets of the U.S, the U.K, France and Japanese are considered as developed countries; the Vietnamese stock market is considered as an emerging country. Data have been collected from 8/2000 to 5/2013. A Vector Auto-regression (VAR) model is employed to investigate bilateral relations between the stock market of Vietnam and that of the developed countries. The study also examines the relations among the momentum portfolios of index series, the dynamic dependence and lead-lag relations in the first and second conditional moments of the index return series to find out the best linkages relation.