Macro-Economic Factors Affecting the Vietnam Stock Price Index: An Application of the ARDL Model

• 발행기관: 한국유통과학회
• 저자명: Hoang Tuan DAO Le Hang VU Thanh Lam PHAM Kim Trang NGUYEN
• 간행물 정보: 『The Journal of Asian Finance, Economics and Business(JAFEB)』The Journal of Asian Finance, Economics, and Business Vol. 9 No.5, 285~294쪽, 전체 10쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2022.05.30

영문 초록

Using the ARDL approach, this study examined the impact of macro factors on Vietnam’s stock market in the short and long run from 2010 to 2021. The State Bank of Vietnam and the International Monetary Fund provided time series data for this study. Research results show that in the long run, money supply and exchange rate respectively affect the stock market. The money supply had a positive effect on the VN-Index, while the exchange rate showed the opposite effect. However, the study did not find a relationship between world oil price and interest rates on VN-Index in the long run. On the other hand, in the short term, there are relationships between variables; specifically, interest rates and exchange rates have a negative impact on the VN-Index, while the world oil price and the fluctuation of money supply M2 of the previous one and two months showed an impact in the same direction on this index. The differences in the regression results on the impact of exchange rate and oil price on the VN-Index compared to previous studies come from the characteristics of Vietnam’s stock market, with the large capitalization of companies in the oil and gas sector, and the structure of Vietnam’s economy with export heavily depends on FDI sector.

목차

1. Introduction

2. Literature Review

3. Data and Research Methods

4. Empirical Results

5. Discussion and Conclusion

References

키워드

VN-Index Money Supply M2 Oil Prices Interest Rates Exchange Rates