Abstract
This paper will examine the dynamic relationship among world crude oil price, domestic gold price and stock return in Vietnam. It employs vector autoregression (VAR) model using daily data in 2013 with impulse responses and variance decomposition analysis. The findings in this paper reveals that: (i) Johansen co-integration test suppose a long run relationship between stock price, oil price and gold price, (ii) stock prices responses positively to shocks to oil price during the first 8 periods, after that the response is negative, (iii) stock price responses negatively to domestic gold price shocks over the time, (iv) gold price response positively to oil price shocks but negatively to stock market shocks, and (v) stock price is affected more significant by gold price shocks than by oil prices shocks in the first 15 days, while gold price is affected more significant by oil price shocks than by stock price shocks.
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