The relationship between exchange rate, interest rate and stock prices in Ho Chi Minh city stock exchange: The domain frequency analysis approach

Abstract

 The main objective of this paper is to explore the relationship between the exchange rate, interest rate and stock prices in Ho Chi Minh City stock exchange. In order to detect the causality relationship between the variables, the empirical analysis is based on the using of the frequency domain analysis. The theoretical basis is analyzed and synthesized from previous studies. The monthly data were examined for the period 1st January 2013 to 31st December 2018. The results of frequency domain analysis indicate that there is uni-directional the relationship from interest rate to the exchange rate across a medium and short term. However, the results do not reveal that the causal relationship between the exchange rates and VN-Index; interest rates and VN-Index for the long-term, medium-term and short-term.