International investors will benefit greatly from using theresearch on the effects of macroeconomic factors on stock prices in the Vietnamese stockmarket, the VNIndex, which displays the
INTRODUCTION
Reasons for choosing the topic
The stock market, particularly in Vietnam, stands out as a highly promising sector with significant growth potential, especially in the wake of the Covid-19 pandemic, which has spurred notable advancements in this industry.
Vietnam's stock market remains comparable to global markets, albeit with a slight delay Despite the challenges posed by the Covid pandemic, it has shown steady growth, stability, and high specialization As a rapidly developing frontier market backed by a strong economic foundation, Vietnam presents a promising investment opportunity for foreign investors.
Stock markets vary across countries, influenced by unique factors In Vietnam, stock prices experience periodic fluctuations, necessitating that foreign investors stay informed about these influences to make profitable investment choices and mitigate risks Various economic conditions can directly or indirectly impact investor profits or losses, providing insights into potential returns.
As a result, for many years, the factors affecting stock prices have always been the topic of financial researchers as well as investors in general and foreign investors in specific.
This research examines how macroeconomic factors influence stock prices in the Vietnamese stock market, specifically the VNIndex, which reflects the price trends of all stocks listed on the Ho Chi Minh City Stock Exchange Analyzing the period before and after the Covid-19 pandemic provides valuable insights for international investors, helping them make informed decisions about investing in Vietnamese stocks.
Research question
- What factors affect the stock price?
- What level of impact do economic indicators have on share prices?
- How did VNI perform during Covid-19?
- Is Vietnam an attractive place to make investments?
Objectives of the study
- Find models that explain how economic conditions affect stock market pricing.
- Test the model's performance and the effect of economic data on stock prices.
Object and scope of the study
- Research object: macroeconomics factors affecting the stock market price of VNIndex
- Scope of the study: research focuses on the period from 01/01/2012 to 31/12/2022
Research Methods
The study utilizes two main methods, which are qualitative and quantitative methods:
- Qualitative method: Based on previous studies and theoretical basis system to identify influencing factors and their impact on stock prices of companies listed on VNIndex.
- Quantitative method: observations recorded as numbers, database, secondary research
Research Significance
Research findings on the factors influencing share prices in the Vietnamese stock market serve as a valuable resource for the government, domestic investors, and particularly foreign investors, providing insights into the direct and indirect elements that impact the stock market environment.
Research structure
The structure of this study is divided into five main chapters:
LITERATURE REVIEW
Background theory
Recent studies have increasingly utilized the OLS regression model to analyze various components Hanif and Bhatti (2019) explored the relationships among eight macroeconomic variables in Pakistan, including gold prices, industrial production, inflation, money supply, interest rates, and remittances, over the period from July 2011 to October 2016 Their findings indicate that there is no short-term correlation between the two categories of stock indexes Additionally, while gold prices and exchange rates have minimal influence on the domestic stock index, industrial production and the money supply significantly affect security prices.
We are indeed interested in empirical research that has been done on Vietnam's new stock exchanges According to one the research conducted by Hussainey and Khanh Ngoc
(2009) , there is a subtle connection between variables like domestic manufacturing, the money market, and stock prices in Vietnam.
DAO et al (2022) analyzed the influence of macroeconomic factors on Vietnam's stock market from 2010 to 2021 using the ARDL model Their findings revealed that, in the long run, the money supply positively affected the VN-Index, while the exchange rate had a negative impact In the short term, interest rates and exchange rates negatively influenced the market, whereas world oil prices and fluctuations in the money supply M2 had a positive effect The varying regression results regarding the exchange rate and oil prices can be attributed to the characteristics of Vietnam's stock market, which is significantly influenced by the oil and gas sector and an economy heavily reliant on FDI-driven exports.
This paper aims to build on previous research by applying the OLS model to the Vietnamese stock market, specifically addressing identified gaps in the existing literature The study will rigorously examine relevant hypotheses to provide valuable insights into market dynamics.
The VN-Index serves as a comprehensive indicator of all stocks listed and traded on the HoSE since the inception of the stock market This index utilizes a market value weighting method, reflecting the influence of each stock's market capitalization.
VN-Index has an initial base value of 100 points and the base date is the first day of official market operation on July 28, 2000.
The VN-Index is calculated as follows:
P1i: Is the current market value of stock i
Q1i: Number of shares i listed at the moment
P0i: Market value on the base date of 28/07/2000 of stock i
Q0i: Number of shares i listed on the base date i= 1, 2, 3, 4,…n
The VNI index is a more accurate representation of the Vietnam stock market compared to other indicators like the HNX index and SSI index, due to its larger capitalization, longer operating history, and the involvement of numerous listed companies and investors It calculates the stock price index using the closing price on the last trading day of each month, measured in points Information sourced from the State Securities Commission indicates that most companies listed on HOSE are well-capitalized, financially stable, and operate transparently in compliance with regulations Additionally, HOSE occasionally delists certain companies, further demonstrating that the VNI effectively reflects the dynamics of the Vietnam stock market.
Interest rates represent the cost of borrowing money, influencing both economic decisions and overall economic performance They affect savings behavior and the demand for borrowed funds Additionally, alongside foreign interest rates, expected exchange rate changes, and anticipated inflation, they play a crucial role in determining how accumulated savings are allocated between domestic and foreign financial assets as well as physical assets.
The rate at which one currency will exchange for another is known as the exchange rate.
The exchange rate reflects the value of a country's currency in relation to another currency, with the USD being the most widely utilized currency in international payment contracts Data from the State Bank indicates the exchange rate between the USD and VND, highlighting its significance in the foreign exchange market.
2.1.4 Index of industrial production ( %, IIP)
The index of industrial production measures the total production activity in a country over a specific period compared to a reference period This key metric is essential for evaluating the health of various industries and the overall economy, encompassing vital sectors such as manufacturing, mining, and electricity.
2.1.5 Money supply 2 (billion VND, MS2)
The money supply refers to the total amount of money in circulation, including cash, coins, and bank account balances It encompasses secure assets that individuals, businesses, and governments utilize for making payments or as short-term investments.
The monetary base, M1, and M2 are three examples of common metrics of the money supply:
The monetary base refers to the total money in circulation along with reserve balances, which includes deposits that banks and other depository institutions maintain in their accounts at the Federal Reserve.
M1 refers to the total amount of money in circulation among the public, including transaction deposits at depository institutions These institutions, such as commercial banks, savings and loan associations, savings banks, and credit unions, primarily acquire their funds through public deposits.
+ M2 consists of M1 plus savings accounts, small-denomination time deposits (those issued in quantities under $100,000), and retail money market mutual fund shares.
In our study, we focus on M2 as the preferred measure of the money supply, as it encompasses a broader range of financial assets compared to M1, which only includes cash and bank accounts M2 is crucial for predicting key economic variables, influencing both inflation rates and the business cycle It is widely monitored as an indicator of money supply and anticipated inflation, serving as a target for central bank monetary policy Additionally, in Vietnam, M2 is predominantly utilized for research and measurement purposes.
2.1.6 World oil price (USD, OP)
The global price of crude oil, influenced by supply and demand, economic conditions, and geopolitical events, is crucial for the world economy Brent crude and West Texas Intermediate (WTI) are the primary benchmarks for oil pricing, typically quoted in US dollars per barrel Fluctuations in oil prices significantly impact transportation, manufacturing, and various industries reliant on oil, leading to a ripple effect throughout the global economy.
2.1.7 World gold price (USD/Oz, GoldEx)
The world gold price serves as a key indicator in the international gold market, influencing national markets globally Gold functions as a practical currency, fulfilling three essential roles: it relates to cash, acts as a commercial resource, and is a non-creation resource These characteristics make the world gold price a valuable asset for financial investors and governments, highlighting its significance in global economic integration.
2.1.8 Treasury bills of the Vietnamese government (USD, RF)
Vietnamese Treasury bills (T-bills) are short-term government securities issued by the State Treasury, with maturities ranging from three to twelve months and sold at a discount to face value Considered one of the safest investments in Vietnam, T-bills are backed by the government's full faith and credit The interest rate is determined through an auction process, where investors, including financial institutions and corporations, bid for the securities T-bills help the government manage short-term funding needs and support liquidity in the financial system Actively traded on the secondary market, they offer investors opportunities to buy and sell before maturity, reflecting market sentiment towards the economy and fiscal policy Overall, T-bills play a crucial role in Vietnam's financial system, providing a reliable investment option for both domestic and foreign investors.
2.1.9 Foreign Direct Investment (million USD, FDI)
METHODOLOGY & DATA
Data
Variables Description Source Sampling period
IR Interest rate, % State Bank Of Vietnam https://www.sbv.gov.vn/
Investing https://vn.investing.com/
IIP Index of industrial production, %
Vietnam https://www.gso.gov.vn/en/ homepage/
MS2 Money supply M2, billion VND
Global Economic Data, Indicators, Charts and Forecasts | CEIC https://www.ceicdata.com/ en/indicator/vietnam/money-
Vietstock https://finance.vietstock.vn/ du-lieu-vi-mo/51/tin- dung.htm
Thị trường Tài chính toàn cầu https://vn.investing.com/
GoldEX World gold price, thousand USD/Oz
World Gold Council https://www.gold.org/
Investing https://vn.investing.com/
Tổng cục thống kê https://www.gso.gov.vn/
Fund https://www.imf.org/en/Data
VNI VN-Index Thị trường Tài chính toàn cầu https://vn.investing.com/
Methodology
- Bui Kim Yen and Nguyen Thai Son( 2014) stated that there was a negative correlate between interest rate and stock market
Peiró( 2016) found that interest rates had a negative impact on stock price.
Hypothesis 1: Interest rate (IR) negatively influences stock index (VNI)
EXC Exchange rate, VND/USD,
+ Hock Tsen Wong (2021) An increase in the positive real exchange rate will lead to an increase in real stock prices in the long run.
Phylaktis and Ravazzolo (2000) conclude that exchange rates and stock markets are positively correlated.
Hypothesis 2: Exchange rate (ER) positively influences stock index (VNI)
IIP Index of industrial production,
+ Shanken and Weinstein (2006) concluded that only IIP is the significant factor for stock market
Humpe and Macmillan (2009) analyze stock prices that were influenced positively by industrial production.
Hosseini, Ahmad, and Lai (2011) stated that industrial production had a positive effect on stock market returns.
Hypothesis 3: Index of industrial production
(IIP) positively influences stock index (VNI)
MS2 Money supply M2, billion VND
+ Anh Thu and Thanh Duong (2020) conducted a study that found that money supply growth shows a positive effect
Research results are consistent for the pre- crisis period and during and after the crisis.
According to Thanh et al (2017), an increase in the money supply positively impacts the stock market index, aligning with previous research on this relationship A higher money supply is essential for enhancing payment methods, which in turn facilitates cash flow into the stock market, leading to an increase in stock prices.
Hypothesis 4: Money Supply (MS2) positively influences stock index (VNI)
Paresh Kumar Narayan et al (2009) discovered a long-term relationship between stock prices and oil prices, highlighting a positive correlation influenced by various internal and domestic factors These factors include increased foreign portfolio investments, shifting preferences among local market participants, and leveraged investments in stocks, which significantly impacted the Vietnamese stock market more than the rise in oil prices.
Tra Ngoc Nguyen et al (2020) discovered that historical oil prices positively influence Vietnamese stock market indices They conducted robustness tests to validate the consistency of this impact.
Hypothesis 6: World oil price (OP) positively influences stock index (VNI).
GoldEx World gold price, thousand USD/Oz
Sadiq et al (2022) found that the World gold price positively influences the stock market Their research, conducted over 12 and 60 months, revealed that shocks in gold prices lead to a more substantial increase in stock values.
According to Sh Zeinedini et al (2022), global gold prices positively influenced stock price indexes during the periods leading up to and following the pandemic crisis.
Trương Đông Lộc (2014) research come to the conclusion that the stock price market negatively responds to the world gold price by regression analysis during the period from
From 2006 to 2012, the results on HOSE demonstrated an inverse correlation consistent with prior stock market studies, though this finding is limited to emerging securities.
Hypothesis 7: World gold price (GoldEx) could be positively and negatively influences stock index (VNI)
Suiwah Leung (2009) analyzed the relationship between Treasury bills and stock prices in Vietnam from 2006 to 2010, revealing a significant long-term connection The study indicates that Vietnamese investors take Treasury bill rates into account when making stock market investment decisions Notably, an increase in Treasury bill rates correlates with a decline in stock prices, and conversely, a decrease in rates is linked to rising stock prices.
Huu Nguyen, A., Minh Thi Vu, T., and Truc Thi Doan, Q (2020) conducted a study using Granger causality tests and vector autoregressive models, revealing a bidirectional causal relationship between treasury bill rates and stock prices Their findings indicate that fluctuations in treasury bill rates influence stock prices, and conversely, stock prices also affect treasury bill rates Notably, the study highlights that the effect of treasury bills on stock prices is more significant and enduring compared to the reverse relationship.
Hypothesis 8: Treasury bills of the
Vietnamese government (RF) negatively influence the stock index (VNI).
+ Vo Dinh Tri (2020) research proves the strong relationship between FDI and the stock price market, and the significant influence on stock indexes during the two estimated decades.
Alexios Anagnostopoulos et al (2022) demonstrated that Foreign Direct Investment (FDI) plays a crucial role in influencing the stock market Their research indicates that an increase in FDI is associated with a significant rise in stock market correlations.
(FDI) positively influences stock index (VNI)
Guofang Liu et al (2021) found that the Consumer Price Index (CPI) significantly impacts the stock market, presenting a contrasting conclusion to previous empirical studies Their research indicates that stock price indexes respond immediately to fluctuations in macroeconomic factors, particularly the CPI.
According to Trương Đông Lộc (2014), the regression analysis results indicate a negative correlation between stock profitability and the consumer price index Specifically, a 1% increase in the consumer price index leads to a 0.007% decrease in stock returns, and conversely, a decrease in the index results in an increase in stock returns.
Hypothesis 10: Consumer Price Index (CPI) positively influences the stock index (VNI)
VNI VN-Index Dependent variables
Table 1: Expected effect of the variables on VNI flatform in Vietnam stock market
Based on the synthesized theory and proposed research model, we utilize Multiple Linear Regression (MLR) to analyze the relationship between individual factors and outcomes This method offers a more accurate understanding of how each aspect influences results, providing a solid theoretical framework for the functioning of the Vietnam Stock Market.
VNI = f(IR, ER, IIP, MS2,OP,GoldEX,RF,FDI,CPI) The econometric form of the model is presented as
VNI= β 0 + β 1 IR + β 2 log ( Exc)+ β 3 log ( IIP)+ β 4 MS 2+ β 5 OP+ β 6 log (GoldEX)+ β 7 log ( RF )+ β 8 log ( FDI )+ β 9 CPI +¿
By presenting in logarithmic form, the model becomes: log (VNI )=β 0 + β 1 IR+ β 2 log ( Exc )+ β 3 log ( IIP )+ β 4 MS 2+ β 5 OP + β 6 log (GoldEX )+ β 7 log ( RF )+ β 8 log ( FDI )+ β 9 CPI + ¿ Where:
The dependent variable in the analysis is VNI, with β coefficients representing various intercepts and slopes Specifically, β 0 denotes the intercept, while β 1 through β 9 represent the partial slopes for the independent variables: IR, Exc, IIP, MS2, OP, GoldEX, RF, FDI, and CPI, respectively Each coefficient quantifies the relationship between these variables and the dependent variable, providing insights into their individual impacts.
: error term (other factors effect on the dependent variable)
RESULTS
Checking for multicollinearity by the correlation coefficient
The following are the findings of verifying for multicollinearity using the correlation coefficient between the independent variables.
Table 2: Table of correlation between variables
A correlation matrix is a table that illustrates the correlation coefficients among variables In the analysis of effective variables on the VNI, it is observed that nearly all correlation coefficients between independent variables are below 0.8.
- The correlation between CPI and IR/ Exc has exceeded 0.8 (0.8191 and 0.8943, respectively)
- The correlation between CPI and MS2 exceeded 0.8 (0.9850)
Multicollinearity among variables can weaken the statistical power of a regression model by decreasing the precision of estimated coefficients As a result, MS2 and CPI are not suitable variables to include in the model.
Checking for heteroskedasticity
The p-value associated with the chi-square statistic is 0.3941, significantly exceeding the threshold of 0.05 Consequently, we cannot accept the null hypothesis (H0) and conclude that the model demonstrates heteroskedasticity.
Our group has chosen to exclude the Index of Industrial Production (IIP) from the regression model of the Vietnam National Index (VNI) since it is the most recent variable yet to be evaluated This exclusion will help us assess the appropriateness of IIP as a variable in future analyses.
From the result, the p-value that corresponds to the chi-square is 0.0066 < 0.05 After dropping out of IIP, we can accept H0 and conclude that there is no heteroskedasticity.
The primary factors for the model include interest rates (IR), exchange rates (EX), world oil prices (OP), world gold prices (GoldEX), foreign direct investment (FDI), and government treasury bills (RF).
Checking for hypothesis
The hypothesis was examined for statistical significance We calculated the p-value at a significance level of 5% (α= 0.05) to evaluate if the variable is statistically significant We proposed the following hypotheses:
● H1: Interest rate (IR) negatively influences stock index (VNI)
● H2: Exchange rate (EX) positively influences stock index (VNI)
● H3: World oil price (OP) positively influences stock index
● H4: World gold price (GoldEX) negatively influences stock index (VNI)
● H5: Foreign Direct Investment (FDI) positively influences stock index (VNI)
● H6: Treasury bills of Government (RF) negatively influence stock index (VNI)
P-value of variable IR is 0.034 < 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We accept H1
P-value of variable log (Exc) is 0.00 < 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We accept H2
P-value of variable OP is 0.00 < 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We accept H3
P-value of variable log (GoldEX) is 0.113 > 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We cannot accept H4
P-value of variable log (FDI) is 0.223 > 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We cannot accept H5
P-value of variable log (RF) is 0.00 < 0.05 so has statistically significant = 5% with reliability coefficient = 95% => We accept H6
Time series regression
Table 3 Stata results of time series regression, full set of variables
According to the table, we have the estimated Multiple Linear Regression (1): log( VNI) = -13.792 - 0.013IR + 1.713 log(Exc) + 0.0022OP - 0.0503 log(GoldEX)
The regression analysis reveals an R-squared value of 75.01%, indicating that the model accounts for approximately 76.5% of the variation in VNI points At a 5% significance level, the F-statistic of F(6,124) = 62.02 confirms the rejection of the null hypothesis, demonstrating the overall explanatory power of the regression While most individual coefficients are statistically significant at this level, Foreign Direct Investment and World Gold Price show p-values of 0.223 and 0.113, respectively, indicating a lack of significance The findings suggest that the exchange rate, Global Oil Prices, and Foreign Direct Investment positively influence VNI, whereas interest rates, government Treasury bills, and World Gold Price negatively affect it, aligning with our expectations.
Furthermore, our group has an analysis of the VNI platform when the economy suffers from the Covid pandemic (01/02/2020 - 01/01/2022):
Table 4 Stata results of time series regression during Covid, full set of variables
According to the table, we have the estimated Multiple Linear regression (2): log( VNI) = 28.779 - 0.012IR - 2.532 log(Exc) + 0.003OP - 0.0263 log(GoldEX)
The regression analysis reveals an R-squared value of 0.9633, indicating that the model accounts for approximately 96.33% of the variation in the VNI point At a 5% significance level, the F-statistic of F(6,17) = 74.39 effectively rejects the null hypothesis, confirming the model's explanatory power However, due to the limited number of observations, some results may lack precision, particularly the p-values of the variables Among the variables, only the World Gold price and oil prices show significance at the 5% level, with p-values of 0.045 and 0.002, respectively, while the remaining four variables exhibit p-values exceeding 0.05, indicating statistical insignificance.
During the Covid-19 pandemic, the head of the Ministry of Planning and Investment highlighted that the foreign-invested business community commended the Vietnamese Government's effective response to the crisis They expressed confidence in Vietnam's economic recovery and committed to long-term investments and business operations in the country This optimism was further bolstered by the Vietnamese Prime Minister's directives to establish a safe adaptation roadmap and a new perspective on anti-epidemic measures.
The timely support policies of the State have played a crucial role in maintaining a steady and effective trading system, even amidst challenges like the Covid-19 pandemic, which led to the temporary shutdown of the Vietnam Securities Depository and the Vietnam Securities Depository Center As a result, the stock market has emerged as a more attractive investment option compared to traditional deposits, driven by rising market conditions and low-interest rates This has significantly increased its appeal, drawing a diverse range of investors, including foreign entities, individuals, and companies.
As can be seen, Vietnam has a stock market that can sustain disruptions and rebound when facing the Covid-19 pandemic.
CONCLUSION
Summary of the research process and results
This study explores the impact of five economic variables on the VNIndex stock price on HOSE By employing a time-series econometric approach and analyzing data from January 1, 2012, to December 1, 2022, we present our findings and propose directions for future research.
The IIP, or index of industrial products, is deemed an unsuitable variable for our model, as indicated in our report Additionally, while the global gold price and foreign investment exert a minor influence on the VNI, their impact is not statistically significant We also introduce government treasury bills as a new variable in our model (RF).
To enhance stock market sustainability, countries must focus on regulating monetary policy, including interest and exchange rates, while considering global factors such as gold and oil prices, as well as foreign direct investment Vietnam exemplifies effective market stability management, successfully mitigating fluctuations Its robust governance, effective Covid-19 response, and growing FDI flow make it an appealing destination for foreign investors.
Limitations of the study and further directions for future research
This study has limitations due to the restricted number of variables examined, which may influence the overall findings Notably, the world gold price and foreign direct investment (FDI) were found to be insignificant factors affecting the VN-Index While key variables like interest rates and exchange rates were identified, the research may have overlooked other critical influences, such as political instability and sector-specific events, that could also impact the VN-Index.
The study's examination of the pre-and post-COVID-19 period may not fully capture the long-term effects of macroeconomic factors on the VN-Index While the pandemic's economic impact is significant, stock market behavior is also shaped by broader economic trends and events over time Consequently, the findings may not be applicable to other periods, highlighting the need for future research to include a more extended timeframe for a thorough analysis of macroeconomic influences on the VN-Index.
The economic impact of the COVID-19 pandemic on Vietnam is unique compared to other countries, indicating that the findings of this study may not be applicable to different markets This underscores the importance of exercising caution when interpreting the results.
This study focuses on the impact of 9 macro-factors on stock profitability using a Multiple Linear Regression model, acknowledging that stock returns may be influenced by additional factors The quality and transparency of the data are crucial for the accuracy of the findings This limitation presents an opportunity for future research to utilize a broader data sample that encompasses all relevant factors affecting the stock market, leading to more comprehensive results.
The research has limitations as it exclusively examines the impact of macroeconomic factors on the VNIndex, potentially overlooking a comprehensive view of the Vietnam stock market Given that Vietnam is a developing market, it is susceptible to various microeconomic and macroeconomic influences, both domestic and international Future studies should aim for a broader analysis to identify the fundamental factors affecting the Vietnam stock market.
5.2.2 Further directions for future research:
From the limitations mentioned in section 5.2.1, our team has identified a number of
To enhance the generalizability of the proposed study model, a larger and more appropriate sampling procedure is essential for future research Increasing the sample size and broadening the study's scope will improve population representation Additionally, due to significant fluctuations in stock prices, utilizing daily or weekly data instead of monthly data is recommended for more accurate analysis of the relationships between variables.
Secondly, in order to expand and develop the research model, you should consult the data and related theories from numerous other related research publications.
To enhance the significance of the model, future research should explore additional variables influencing stock prices, including investor psychology and corporate debt ratios Furthermore, it is advisable to employ alternative modeling techniques beyond just Pooled OLS.
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