(Luận văn) factors affecting the stock prices in vietnam

 In terms of time: Although the Vietnam Stock market began to form in 1998, and by 2000, the Ho Chi Minh Stock Exchange was officially put into operation, but the market capitalization

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INTRODUCTION

1 The urgency of the research subject

Vietnam's Securities market has strongly developed in both width and depth; after nearly 20 years of establishment and operation, the Stock market has grown strongly to become a new investment channel which is mobilizing mid and long term capital to supplement resources for the economy besides-credits from banks Thus, the Securities market playssan important role in the financial system in each country

During the past few years, the size of the Securities market, the liquidity and the numberrof investors participating in the market have continuously increased, which shows this is one of the investment channels attracting public attention Besides, the development of the Securities market has served and supported for restructuring the economy, renewing the growth model and stabilizing the macroeconomy In detail, the most important step is to promote equitization; reorganize and renewwstate-owned enterprises Along with supporting to restructure the banking system and improving the financial system thanks to the development of the Securities market

In the market, the stock price is a factor that investorssspecially pay attention

to when making investment decisions In recent years, the factors affecting stock pricesshave been a topic which is specially concerned by many financial researchers because of its important implications So, what are the factors impacting stock prices in Vietnam's Securities market and how is their impact level going on; if these problems were clarified, it would have helped investors be more favorable in terms of approach, capture information, analyze and forecast On that basis, investors can make a better choice in creating an appropriateeinvestment portfolio Being aware of this core issue in Vietnam is quite important but, at present, no one has studied a luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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comprehensive, methodical method because most of the authors only researched price fluctuations based on each separate industry group Therefore, with the desire to find out the factors affecting stock pricessacross the Vietnamese market, I decided to choose the topic “Factors affecting the Stock prices in Vietnam”

2 Research Objectives & Research mission

Recommend someeissues related to the Securities market and stock prices

3 Research object and research scope

3.1 Research object

The object of the thesis is the factors affecting stock prices in the Vietnam Stock market in general and on Ho Chi Minh Stock exchanges in particular

3.2 Research scope

 In term of space: The study is based on VN-Index of Ho Chi Minh

Stock Exchange and macro data

 In terms of time: Although the Vietnam Stock market began to form

in 1998, and by 2000, the Ho Chi Minh Stock Exchange was officially put into operation, but the market capitalization only more orrless than 1% of luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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GDP, there was not much change until 2005 But starting in 2006, when the Securities Law was enacted by the National Assembly and officially took effect in early 2007, gradually improved the inadequacies and conflicts With other legal documents, helping the Vietnam Stock market be more integrated with international and regional capital markets Vietnam's stock market becomes safer and more transparent, increasing the ability of management and supervision for state management agencies Therefore, due to the characteristicsoof the research data, the data of the thesis was taken between

2006 and 2018

4 Research methods

Based on the research, collecting relevant information materials, during the thesis implementation, using the methods of synthesis, comparison, statistics, analysis, and regression modeling to clarify the content of the topic

To solve the research mission, during the study and implementation of the topic, the author used the following methods:

▪ Inheritance method: Considering studied documents with clear and

reliable sources

▪ Statistical method: Collecting data through securities finance

channels such as Vndirect, World Bank, etc., thereby summarizing and calculating to serve the analysis and evaluation of factors affecting stock prices on the market With the synthesissmethod, the author hassresented the theoretical basis of stocks and the factors affecting stock prices

▪ Quantitative method: Based on some optimal models in the world,

the author created a model of factors affecting Vietnam's stock prices After that, select the data to run the regression model as well as calculate, measure, check the correlation between variables, etc., by using econometric models, mathematical models through the software such as Eviews 8, Excel 2010 to luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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identify factors that have a strong impact on stock prices At the same time, this methoddhas answered the question which is the main factor affecting the volatility of Vietnam's stock prices in the past

5 Structure of the thesis

The content of the graduation thesis consists of three chapters as follows:

Chapter 1: Theoretical about factors affecting the stock prices

Chapter 2: Factors affecting the stock prices in Vietnam

Chapter 3: Recommendations and Conclusion

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1.1.1.1 The concept of Securities market

Stock market or Securities market is an important part of the capital market, its activities to mobilize small savings in society and focused on large long-term funding for companies, business organizations, and the government to develop production, economic growth, or investment projects

The Securities market is a place where activities of buying and selling securities areetaking place This trade is conducted in the primary market when the buyer buys securities for the firstttime from the issuers and in the secondary market when there is a resale of securities issued in the primary market Hence, the Securities market is where securities areeissued and exchanged

Goods traded on the Securities market are stocks, bonds, and several other financial instruments with a term of less than 1 year which are goods of the money market

The Stock market has the following main characteristics:

▪ The Securities market is characterized by direct financial forms, people needing capital, and people who can provide capital directly participate in the market, there are no financial intermediaries between them

▪ The Securities market is a market close to the perfectly competitive market Everyone is free to participate in the market There is no imposition

of prices on the Securities market, but the prices here are based on the supply luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

1.1.1.2 Stock market classification

Depending on the purpose of the research, the structure offthe stock market can be classified according to many different criteria Based on the characteristicssof the stock market, the market is classified into 3 categories: commodity, capital turnover, and organized form

 Classification by commodity:

According to commodities traded in the market, one can classify the stock market into a bond market, a stock market, a derivatives market The bond market issthe market in which goods are traded there Bonds are debt instruments that are issued by issuers of loans in the form of repaying both principal and interest The stock market is the place for buying, selling, exchanging papers certifying the contribution of shareholders Shareholders are theoowners of the company and must be responsible for their contribution The derivativessmarket is a market where derivatives are bought and sold Typical for these instruments are futures, options, stock options …

 Classification by capital turnover:

The market is classified into primary market and secondary market The primary markettissthe market for issuing securities or the first place to buy and sell securities In this market, the price of a security is the issuing price The stock exchange in the primary market increases capital for issuers Characteristics of the primary market: The primary market is theoonly place x luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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1.1.2 Security

The strong development of the economy increased demand for capital, especially long-term capital To meet the capital needs, businesses and the state have issued debt certificates to borrow money from the public, which is called bonds On the other hand, with the advent of joint-stock companies, stocks were born, are a means of raising capital contribution to the company This is a certificateeconfirming the ownership of the Company in proportion

to its capital contribution to the Company A stockholder has partial ownership of the Company, meaning that the Company will share both its profits and risks

Bonds and stocks are evidence that individuals have invested money in the form of direct loans or capital contribution to the joint-stock company and also proof giving people certain rights which is the basic right to income Therefore, bonds and stocks are both called securities Today, in addition to stocks and bonds are the two main types of securities, along with the development of the market economy, many new types of securities have appeared

Securities are evidence confirming the lawful rightssand interests of the owner over assets or capital of the issuing organization Securities are presented in theeform of certificates, book entries, or electronic data Securities include types of stocks, bonds, investment fund certificates, derivatives

We can see that the securities represent a certain amount of money that investors have advanced and the basiccthing is that it gives the stockholders the right to certain future earnings Therefore, securities can be traded and circulated as commodities

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1.1.3 Stock

The history of the stock is linked to the historyyof forming a joint-stock company In other words, the stock is a privateeproduct of a joint-stock company When a company is established, the charter capital is divided into equal parts called shares The buyer of shares is called a shareholder A shareholder is issued a certificate of ownership calledda stock Stock means a certificate of ownership of a shareholderiin a joint-stock company The ownership of shareholdersain the company corresponds to the number of shares held by shareholders Therefore, stocks are alsooknown as equity securities

Normally in countries when consideringgthe stock of a joint-stock company, there is a distinction between the authorized stock, issued stock, treasury stock, and outstanding stock

 Authorized stock When a joint-stock company is established, it is allowed to issue stocks to raise capital But the laws require the company to register the total number of stocks of the company and that it must be stated in the company's charter The number of stocks allowed to be issued is the maximum number of shares that

a company can issue from the beginning of its establishment as well as during its operation If there is a need to change the number of stocks permitted to be issued, it must be approved by the majority of shareholders and must change the company's charter

 Issued stock Issued stock is the number of shares the company has issued to investors, it is smaller or maximum equal to the number of shares allowed to be issued

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 Treasury stock Treasury stock is stocks issued by the company but for certain reasons, the company pays to buy back some stocks of its own company These stocks may be retained by the company for a later time and then sold again, but in other countries, the law stipulates that the shares that the company has bought must not be sold but canceled The company's acquisition of shares of its own company must comply with the provisions of law Treasury shares are not outstanding shares, have no capital, and therefore cannot participate in the dividend distribution and have no right to vote

 Outstanding stock Outstanding stock is the number of shares issued to the public and held by shareholders The number of outstanding shares is determined as follows:

Outstanding stock = Issued stock- Treasury stock

In case the company has both common and preferred stocks, one will be specific to each one The number of common stock in circulation is an important basis for distributing dividends in the company

Based on the form of stock, we can distinguish between registered and anonymous shares Based on the benefits the stock gives to its holders, it is possible to distinguish between common stock and preferred stock This is the most common classification When it comes to the stock of a company, people often refer to common stock and preferred stock

1.1.4 Price

1.1.4.1 Concept of price

Price is the monetary value of a unit of goods, services, assets or factor inputs

In some markets, prices are completely determined by the market or the supply and demand forces (for instance, perfectly competitive market) In other markets (for example, monopoly markets), large suppliers have a luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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significant impact on market prices In some cases, prices can be regulated or regulated by the government with the tools of price and income policy

1.1.4.2 Factors affecting the formation and movement of prices

Chart 1.1.4.2: Factors affecting the formation and movement of prices

1.1.5 Stock prices

Types of stock prices:

 Present share price Based on annual dividends and discount rates to determine the current price of the stock

 Par value shares Par value of common shares: Par value, also called nominal value, is the value that a joint-stock company assigns to stock and is stated on the stock

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Par value of common shares is often used to record the company's accounting books The par value of a stock has no actual value to an investor after it has invested, so it is not related to the market price of that stock The Par value of stock only has an important meaning at the time the company issues common shares for the first time raising capital to establish a company Face value represents the minimum amount the Company must receive per share that the Company issues Some countries allow joint-stock companies to issue ordinary shares with no par value

 Book value The book value of a stock is usually the value of a stock determined based on

a company's accounting records

In case the company only issues common shares, the book value of a stock is usually determined by taking equity or the total net asset value (the value of the difference between the total value of assets and the total debt) of the company divided by the total number of common shares outstanding

In case the company issues both preferred stocks, the total net asset value minus the value of preference shares will be divided by the number of common shares outstanding

The value of preferred shares is calculated according to the par value or repurchase price depending on the preferred shares issued by the company and the remaining dividends the company has not paid to the preferred shareholders in the previous period (if any)

The consideration of book value allows Shareholders to see the increase in the value of ordinary shares after a period the company operates compared to the initial capital contribution

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 Market value Market value: is the current market value of common shares, expressed in the last recorded transaction Market value is also known as market value In fact, the market price of a stock is not determined by the company nor decided by anyone else, but the market price of a stock is determined by the uniform price that the seller is willing to sell and the price is high Most buyers are willing to buy it

In summary, the market price of a stock is determined by the supply-demand relationship in the market The stock market value of a company depends on many factors, so it often fluctuates

1.1.6 Price to Earnings ratio

The price-to-earnings ratio (P/ E) is one of the important analytical indicators

in investors' securities investment decisions Earnings from stock will have a decisive influence on its market price P/ E ratio measures the relationship between the market price (P) and earnings per share (EPS) and is calculated

as follows:

P/E Ratio=

In which the market price of the stock P is the price at which the stock is being traded at the moment; Earnings per EPS share is the net profit after tax the company has divided among common shareholders in the most recent financial year

P/ E shows how much the current share price is higher than its earnings, or how much the investor has to pay for a single share of income P/ E is calculated for each stock and averaged for all stocks and this coefficient is often published in the press

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If the P/ E ratio is high, it means that investors expect a high rate of dividend growth in the future; stocks have low risk so investors are satisfied with low market capitalization The company is expected to have a moderate growth rate and will pay high dividends

1.1.7 Gross domestic product

Gross domestic product measures the total value of the final goods and services produced in the country in a given period (usually a year) Thus, GDP is the result of millions of economic activities occurring within the territory of the country These activities may be produced by the Company, the enterprise of a citizen of that country, or a foreigner produced in that country But GDP does not include the results of the activities of their citizens

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- NX (Net export): NX is the trade balance, the "net export" of the economy

Net Export= Exports - Imports

1.1.7.2 Classification

Nominal GDP is the value of goods and services at current prices or the sum

of the goods and services produced in a year multiplied by the price of those goods and services during that year

 Real GDP Real GDP is the value of the current output of goods and services of the economy, calculated on a fixed price of 1 year selected as the base year or the total of goods and services produced in a year multiplied by the constant price

of such goods and services in the base year (base year)

The goal of GDP calculation is to capture the performance of the entire economy Real GDP reflects the amount of goods and services created in the economy, so it also indicates the capacity to satisfy the needs and desires of luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

GDP Price Deflator =

1.1.8 Inflation rate

1.1.8.1 The concept of inflation rate

Inflation is an increase in the general price level When the price goes up is called inflation, when the price goes down it is called deflation So inflation is

an increase in the average price over time Inflation is characterized by the general index of prices and the type of inflation expression index called the inflation index or the overall price index of the whole economy which is the nominal GNP and real GNP In practice, it is often replaced by one of two other common price indexes: consumer price index or production price index

Inflation is born due to certain conditions:

Firstly, the price increase must be continuous, not a random event The price

of an item may grow dramatically, but may not necessarily be inflation Such price changes are called "relative price fluctuations" and often occur due to the supply and demand of a particular commodity Prices will stabilize as supply rises to meet demand On the other hand, in the inflation process, the price increase is continuous, does not stop at a stable level

Secondly, inflation implies a general increase in the prices of goods and

services While "relative price volatility" usually means an increase in the luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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price of one or two goods, inflation is the rise in prices of nearly all commodities in the economy

Finally, inflation is a long-term phenomenon with the general price increase

going on continuously for a long time Most modern countries make annual measurements of inflation Studies show that inflation usually lasts for years The measure of inflation rate: calculated by the consumer price index (CPI) is the index showing the average price of goods and services that a family buys

in this period compared to the base period

Formula:

Inflation rate =

In which:

CPI2 is the consumer price index of the current period

CPI1 is the consumer price index of the previous period

There are also some ways of calculating the inflation rate through other indicators such as:

Producer Price Index (PPI): reflects the average price of a basket of goods that a business buys in this period compared to with base period The GDP reduction index reflects the change in the average price of all goods and services produced in the current year (previous year) compared to the base year

1.1.8.2 Classification of inflation

 According to the degree luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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Moderate inflation: prices rise slowly, predictably, at one figure a year

Moderate inflation does not have much impact on the economy, it also can simulate

Galloping inflation: prices rise rapidly, at two or three digits a year This

inflation, if sustained, will cause serious economic distortions and eliminate the drivers of economic development

Hyperinflation: price increases very fast, the inflation rate is 50% a month or

more (over 13000% a year) Hyperinflation destroys the economy, destabilizing the domestic political and security situation

 Classified by the property:

Expected inflation: due to psychological factors, forecasts of individuals on

the future price growth rate, into past inflation

Unexpected inflation: due to external shocks and unexpected factors in the

economy

1.1.9 Interest rate

Interest rate is the percentage of interest (or accrued expense) on a certain amount of money to own and use the money for a pre-agreed period In other words, the interest rate is the price of the right to use the loan for a while that the user pays to its owner

In a market economy, interest rates are one of the macroeconomic variables that are concerned and closely monitored If interest rates are low, it is considered to be risky and can lead to high booms in real estate and the stock market

Interest rates can be specified-in-two ways, the most common way is in percentages (%) and the-second way is-calculating by the basis point, 1 basic point equals 0.01 %

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Methods of calculating the interest rate:

 Simple Interest Simple interest is a-quick-and easy method-of calculating-the interest-charge on-a loan It is calculated-by multiplying-the daily-interest rate by the principal, by the number-of days that-elapse between-payments

Simple Interest= P×I×N

Where:

P=-Principle I= Daily-interest rate N= Number-of days-between-payments

 Compound Interest Rate Compound interest or interest-on interest is the borrower pays even more in interest Compound interest is used to the principal but also on the accrued interest of previous times

Compound interest= P× [(1+Interest rate) N −1]

Where:

P=-Principal N=-Number of-compounding-periods

1.1.10 Exchange rate

The exchange rate is the price of one currency expressed in another currency

Types of exchange e rate:

 Determine the exchange rate

Nominal exchange rate: is the exchange rate determined without taking into

account the correlation of inflation between the two countries

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Real exchange rate: is the exchange rate determined to take into account the

inflation correlation between the two countries

 Based on the form of foreign currency trading

Cash exchange rate: is the exchange rate used to conduct the purchase and

sale of foreign currency cash

Transfer exchange rate: is the exchange rate applied in the foreign currency

transfer transaction

 Based on the time of buying and selling foreign currencies

Opening exchange rate: is the exchange rate applied when making the

purchase and sale of the first foreign currency item at the first hour of trading

on the day in foreign exchange markets

Closing exchange rate: is the exchange rate applied when buying and selling

the last foreign currency in a trading day on foreign exchange markets

 Based on the method of trading foreign currencies

Spot exchange rate: is the exchange rate for buying and selling foreign

currencies and delivery and receipt of foreign currencies made after two working days from the time of transaction

Forward exchange rate: is the exchange rate for buying and selling foreign

currencies that the delivery and receipt of foreign currencies are made after a certain period from the time of transaction

 Based on the foreign currency trading of the bank

Buying rate: is the bank rate used to buy the foreign currency of customers or

exchange rates of customers selling foreign currencies to banks

Selling rate: is the bank rate used to sell foreign currencies to customers or the

exchange rate of customers buying foreign currencies of the bank

 Based on the foreign exchange control regime luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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Official exchange rate: the rate announced by the State

Business exchange rate: the exchange rate used to buy and sell foreign

currencies

Black market exchange rate: this rate is formed from surreptitious foreign

currency and foreign exchange trading activities to avoid State control

1.2 Impact of different factors on the performance of the Stock prices

1.2.1 Price to Earnings ratio

P/ E shows the current stock price is higher than the net income from that stock; In other words, how much an investor pays for-an income P/ E is calculated on the average of share price and often published in the mass media

This is the financial ratio used to assess the relationship between the current market price of a stock (stock price in a stock market) and the income per share ratio; or indicate how-much an investor is willing to pay for a stock in the stock market

Theoretically, P/E indicates the amount of money that investors are willing to pay for a unit of profit that has been generated in a given period A high coefficient means that investors expect the company's ability to make profits

in the future, which will be higher and vice versa However, the ratio is too high is not necessarily good if-speculation occurs or too many investors focus

on one stock (too expensive) Besides, the coefficient is too high also means that the stock contains many risks If the business operations of the enterprise are not favorable and the results are not as-expected, the possibility of the stock price-decline will be stronger; thus the possibility of risk to investors is greater

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1.2.2 Gross domestic product

GDP provides the most comprehensive data on the overall economy Because economic growth will help boost the company's profitability, from which the stock price will rise in the long-run

1.2.3 Inflation rate

When inflation rose in the context of strong money supply and expanded government spending, the fast-growing stock market made stock prices increase In a monetary tightening environment, if inflation rises out of control, the stock market will decline rapidly, leading to a fall in stock prices

In the opposite state, when inflation falls in the context of enforcing monetary policy and loosening fiscal, stock prices grow again Finally, in a neutral state, for a narrowed monetary environment, if inflation rises moderately, the stock market will hesitate

In the high inflation environment, stock prices are generally affected randomly through the effective mechanism of tightened monetary policy

1.2.4 Interest rate

Interest rates are one of the vital macroeconomic factors, directly relevant to economic growth For borrowers, the interest rate is the charge of borrowing money For lenders, the interest rate is the charge of the loan

If the stock market is ineffective and the bank increase interest rates for depositors, people will transfer capital from the stock market to the bank This will lead to a reduction in demand for stocks and stock prices will fall and vice versa Besides, when the interest rates and lending rates increase, leading

to investment in the economy decrease, and a decline in stock prices and vice versa Thus, in theory, interest rates negatively affect stock prices

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1.2.5 Exchange rate

The exchange rate has always been a hot issue in the financial markets which can cause the market to drop suddenly or still increase stably Some import-export businesses will increase or decrease revenue when the exchange rate adjusts This is also a concern of investors because the exchange rate has a significant impact on the stock market

The adjustment to increase the exchange rate will help export companies have many advantages when having revenue in foreign currencies The level of positive influence on each business varies depending on the revenue structure The positive effects are not only the direction of increasing the stock prices in the market but also can help stock prices not to be deeply adjusted in a general downtrend of the market In contrast, the import businesses will suffer but also depending on the characteristics of each company Those importing for re-export or able to adjust the price of output to compensate for the additional cost of inputs will be able to minimize the negative effects Thus, the stock price movements will also depend on their characteristics

1.3 Empirical evidence

Factors affecting the profitabilityoof stocks have been the subject of special attention of many researchers in recent years Factors affecting-stock prices-found-in published-empirical studies include macro and fundamental factors related to the financial position and-performance of companies Because it is hard toolist all relevant studies, in this section I list only a few representative studies-that-underpin-our research

Al- Qenae, Carmen Li, Rashid and Bob Wearing (2002) measured the impact

of Earnings per share factors, grosssnational product, interest rates and inflation on the prices of stocks listed on the Kuwait Stock Exchange during

1981 to 1997 Research results illustrate that stock prices-are luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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correlated with EPS and gross national product variables, but correlated with-interest and inflation

negatively-Next, Al-Tamimi and Hussein (2007) studied-the factors affecting the prices

of stocks listed-on the UAE Securities market (United Arab Emirates) This research uses the price-data of seventeen stocks collected-during 1990 and

2005 The-results show that EPS is a strong and-positive impact on the-price of-the stock The factors of money supply and GDP are positively correlated with the-prices of stocks-but are not statistically-significant Also, this-study also-shows that-the CPI and interest are inversely-correlated with the stock prices listed on the UAE stock market Nevertheless, only-the relationship-between the CPI and the price of stocks is statistically-significant Thus, there are two factors affecting the price of stocks-found in this study: EPS, consumer price index

Mehr-un-Nisa and Nishat (2012) studied the-effect of corporate-financial ratios and macro-factors on the prices-of stocks-listed on the Karachi Stock Exchange (Pakistan) Using the Generalized Method of Moments method on

221 companies’ data from 1995 to 2006, the authors-found-a positive correlation between the price of a stock and capital structure, value ratio market on book value, EPS and company-size Regarding macroeconomic factors, research results show-that stock prices-are positively correlated with GDP growth, money-supply and financial depth In contrast, stock prices-are negatively correlated with interest rates and inflation rates

In another study, Uddin, Zahidur Rahman, Reaz and Rajib Hossain (2013) studied-the factors-affecting the prices of stocks of the-financial sector in Bangladesh Data-used in the research were collected from financial-statements of 67-companies listed on the Dhaka Stock Exchange between

2005 and 2011 The regression-analysis results indicate that EPS, asset value luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

Eita and Joel Hinaunye (2012) studied the influence of macro-factors on the stock prices on the Namibia market This research spends time data with a quarterly-frequency of the price of stocks, money supply, inflation rate, Gross domestic product, interest rates and exchange rates for the period 1998-2009 Consistent with the results of previous studies, this study shows that the prices

of stocks are negatively correlated with interest rates and inflation rates luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

Hussainey, Khaled and Le Khanh Ngoc (2009) studied the effects of Vietnam's macro factors (industrial-production-value, consumer price index, interest rate) and the US (S&P-500-index, industrial production value), consumer price index, the interest rate on government-bonds) to the-price of stocks in Vietnam The research-results show that-the value-of industrial production-in both Vietnam and the US is positively correlated with the prices

of stocks in Vietnam In addition, this study-also found an inverse relationship between interest rates and stock prices-but was not statistically significant Morales (2009) considered the relationship between exchange rates and stock prices in four different markets in Easter European namely Czech Republic, Poland, Hungary, and Slovakia, using stock price and exchange rate-data from these-countries, as-well as stock prices-from the-USA, Germany, and the-UK between-1999 and 2006 Both-the short-run and-the long-run between-these variablesowere0analyzed The research used the Johansen-cointegration technique, Vector_Error Correction Modeling and-the standardơGranger causality test-to_analyze the correlation-between these two luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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variables The findings of the research determined that there is no proof of exchange rates and stock prices moving together either in the long-run or in the short-run, except for Slovakia, where cointegrating relationships were discovered

The approach of Dornbusch and Fisher (1980) shows a positive relationship between stock prices and exchange rates They reasoned that domestic currency was undervalued, domestic enterprises would more competitive, increasing their export activities and stock price However, the result will be the opposite if these businesses spend a lot of import costs on input products

An increased cost of products due to undervalued domestic currencies could cause their revenues and profits to fall, which would cause the share prices of these businesses to decline

Macmillan and Humpe (2007) show that there exists a long-run negative relationship between long term interest rate and stock prices only in the US, using the US and Japanese data In Singapore Maysami, Howe and Hamzah, (2004) also find a negative relationship between long term interest rate and stock returns while Nasseh and Strauss (2000) determine the same relation in six different developed countries Nevertheless, Ratanapakorn and Sharma (2007) in the US find that the stock prices were negatively relevant to the long-term interest rate, while a positive relationship between stock prices and the short-term interest rate is recorded

Rahman (2009) investigated the relationship between exchange rates and stock prices in three different countries of South Asia Their research estimated average monthly nominal exchange rates of US dollar in terms of Indian Rupee, Bangladeshi Taka, and Pakistani Rupee and monthly values of Bombay Stock Exchange, Dhaka Stock Exchange General and Karachi Stock Exchange from January 2003 to June 2008 to handle the study The empirical luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si

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result explained that exchange rates and stock prices statistics series are stationary and integrated of order one They also applied the Johansen method tootest for the possibility of a cointegrating relationship The consequence showeddthere was no connectionsbetween stock pricessand exchange rates in three countries

non-Alam and Uddin (2009) measured evidence supporting the reality of stock market efficiency based on data between the interest rate and stock index for

15 advanced and advancing countries which are found that interest rate has a negative relationship with the share price They also state that if interest rates were controlled for these countries, it would be the great benefit of these countries’ stock exchange through the pull of demand from many investors in the stock market and the way to boost the supply to expand investment of companies

Pilinkus (2009) examined the short-run correlation between stock prices and macroeconomic variables in Lithuania The Augmented Dickey-Fuller test was used to investigate the stationary of the chosen time series since a spurious regression may happen if a time series is not stable The research employed the Impulse function to test the short-run relationship between share prices and macroeconomic variables As a result, sixteen of the Impulse response function are reliable only with a fixed time series, the data was turned into the stable after the second difference The consequences of the research showed that macroeconomic variables are important determinants for stock market prices in Lithuania Their study concluded that there is a negative relationshipibetween stock prices and short-term interest rates, unemployment rates, exchange rates

When approaching the exchange rate as an asset (the price of a unit of foreign currency) in the asset market, Gavin (1988) in the monetary model asserted luan van tot nghiep download luanvanfull moi nhat z z @gmail.com Luan van thac si