Mối quan hệ giữa các nhân tố kinh tế vĩ mô và thị trường chứng khoán Việt Nam

Asmy, Mohamed; Rohilina, Wisam; Hassama, Aris and Fouad, Md 2010, Efects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach of Error Correction Model.. Mougoue 1996, On

Tp.

Quý t ôi xin i

Trang

1 1

2 2

3 2

4 3

5 3

: 1.1 n 4

4

-Index 5

1.2 TTCK 6

6

7

9

9

10

10

12

1.2.6 ên TTCK 13

1.2.7 TTCK 13

nhân mô và TTCK 15

15

17

19

23

:

24

2.1 24

25

26

27

28

28

29

-Index 29

-Index 31

-Index 33

2.2.2.4 -Index 34

2.2.2.5 -Index 36

-Index 37

2.2.2.7 -Index 38

41

: 43

43

44

44

phát 44

44

45

45

46

46

47

47

3.2.2 Mô hình 47

47

48

48

48

50

n 56

67

69

69

73

75

: 77

77

79

83

84

86

90

APT : Arbitrage Pricing Theory

24

43

49

51

57

58

67

-Index 73

25

26

27

-Index 30

-Index 32

-Index 33

7 -Index 35

8 -Index 36

-Index 38

.10 -Index 39

- 71

1

lia;

-2

ìn ban

3

Nam

-4

khoán, phân tích phân rã ph

5

xP Q

xP Q Index

i

i i

n

i

i t i t

Maysami và Koh (2000) và Kwon & Shin (1999)

2009)

oanh

trên

n

t

t e

t

k

D V

1 ( 1 )

e

t

Zealand, Christopher Gan và c

và Naka (

giá (Mukherjee và Naka, 1995)

ra

1.2.5

n

Maghayereh (200

1.2.7

Bodie (1976), Geske và Roll (1983), Pearce và Roley (1983, 1985) Fischer và

(Vector error correction model

0

Granger và

land,

-

,

;

VAR (Johansen, 1988) và

Malaysia

-n

Conditional Heteroscedasticity Model

GARCH-khoán Thái Lan

tài chính uy t

VN

Index, hay -

-Index

NHNN

không

2.4, m-Index

https://www.vndirect.com.vn , IFS

VNI EX

https://www.vndirect.com.vn , IFS

:

,

VNI FE

https://www.vndirect.com.vn và IFS CD ROM và tính

có

tài

-2/2007

ng cao, -

-n

-

https://www.vndirect.com.vn , IFS

-

https://www.vndirect.com.vn ,

heo

c 10

I

3/2007 và 9/2008

VNI OP

https://www.vndirect.com.vn , IFS CD ROM

n 8/2008

-

bình ,

ba

-

các

Tuy nhiên,

an,

mà khi nghiên Ngoài ra,

g? Tác ,

M

,

mà c

IFS CD-ROM

3.1.2.6

http://www.gso.gov.vn

3.1.2.7

nó

sau trung bình hàng

IFS CD-ROMUSD/thùng

và mô hình

N

-Indehay không

01 và H02)

,

,

nghiêng ,

hông tin này nó

trên

D

Osman

K, vì ,

lý

,

do r -

125

4

5

u càng

ù (1989)

Do ,

Trên

Nói cách khác,

N

Jordan,

, thì

trong dài

? Và

Tuy nhiên,

3.3.4 H

chquá trình h

Determinant resid covariance (dof adj.) 2.65E-28

6

Index trong 3

chúng

2 4 6 8 10 12 14 16 18 20 22 24

Response of VNI to CPI

-.10 -.05 00 05 10 15

2 4 6 8 10 12 14 16 18 20 22 24

Response of VNI to FE

-.10 -.05 00 05 10 15

2 4 6 8 10 12 14 16 18 20 22 24

Response of VNI to M2

-.10 -.05 00 05 10 15

2 4 6 8 10 12 14 16 18 20 22 24

Response of VNI to OP

Response to Generalized One S.D Innovations

lãi su

Variance Decomposition of VNI:

Tuy nhiên,

=-0.042,

hàm ý

-Ngoài ra, sau khi

VN

-Có hay không liên quan

:

nhân

M2

và OP

TTCK

có TTCK N

và hành vi k

,

: theo duy trì

chính sách tài khóa

i

p

và hành vi

,

,

liên qu

khách

4.3

-ào mô hình nghiên

Macroeconomic Variables in the Small , Open Economy of Jordan JKAU: Econ

& Adm., Vol 17, No 2, pp 3-12 (1424 A.H./2003A.D.)

2 Asmy, Mohamed; Rohilina, Wisam; Hassama, Aris and Fouad, Md (2010), Efects of Macroeconomic Variables on Stock Prices in Malaysia: An Approach

of Error Correction Model MPRA Paper No 20970, posted 25 February 2010,

Online at http://mpra.ub.uni-muenchen.de/20970/

3 Aggarwal, R (1981), tock Prices:A Study of the US

, Akron Business and Economic

Review 12 (1981): 7-12

4 Ajayi, R.A and M Mougoue (1996), On the Dynamic Relation between Stock

Prices and Exchange Rates , The Journal of Financial Research, 1996, No 19,

International Stock Markets and Macroeconomic Variables on the Thai Stock

Market Online at http://ro.uow.edu.au/commpapers/379

8 Chen N.F., R Roll and S.A Ross (1986), Economic Forces and the Stock

Market , Journal of Business, 1986, Vol 59, No 3, pp 383-403

Journal of International Economics (1993), pp 181-92

10 DeFina, R H (1991), Does Inflation Depress Stock Market? Business Review ,

Federal Reserve Bank of Philadelphia, 3-12

Financial and Quantitative Analysis, Vol 25, No 3, September, pp 387-398

Stock Market and Macroeconomic Variables in the Presence of Structural Breaks:

The Turkish Case International Research Journal of Finance and Economics

ISSN 1450-2887 Issue 48 (2010)

13 Esen Erdogan & Umit Ozlale (2005), Effects of Macroeconomic dynamics on

stock returns: the case of the Turkish stock exchange maket Journal of

Economic Cooperation 26, 2 (2005) 69-90

American Economic Review, 1981, Vol 71, No 4, pp 545-565

15 Fama, E.F (1990), Stock Returns, Expected Returns, and Real Activity ,

Journal of Finance, 45, 1089-1108

16 Gautam Goswami & Sung-Chang Jung (1997), Stock Market and Economic Forces: Evidence From Korea

17 Gan C., Lee M., Yong H.H.A & Zhang.J (2006), Macroeconomic variables and

stock market interactions: New Zealand evidence Investment Management and

Financial Innovations, Volume 3, Issue 4, 2006

18 Geske R and R Roll (1983), The Fiscal and Monetary Linkage between Stock

Returns and Inflation , Journal of Finance, 1983, Vol 38, No 1, pp 7-33

19 Gujarati, D N (2004) Basic Econometrics, 4rd ed., New York: McGraw-Hill

20 Islam S.M N, Watanapalachaikul S & Billington N (2004), Atime series

analysis and modelling of the Thai stock maket International Business

Management Conference 2004

Inference on Cointegration with Applications to the Demand for Money ,

Oxford Bulletin of Economics and Statistics, 52, 169-210

22 Humpe, A & Macmillan, P.D (2005), Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan , CRIEFF Discussion Papers 0511, Centre for Research into Industry, Enterprise, Finance and the Firm

23 Ibrahim, M & Yusoff (1999), Macroeconomics Variables and Stock Price in

Malaysia: an Empirical Analysis Asian Economic Journal, 13(2), 219-231

24 Ibrahim, M H (1999), Macroeconomic variables and stock prices in Malaysia:

An empirical analysis Asian Economic Journal, 13, 219-231

price: A Malaysian perspective IIUM Journal of Economics and Management

9, no 2: 141-63

26 Koop, G., Pesaran, M.H and Potter, S.M (1996), Impulse response analysis in

nonlinear multivariate models Journal of Econometrics 74, 119 147

Macroeconomic Variables and Stock Market Returns , Global Finance Journal,

Vol 10, No 1, pp 71-81

28 Maysami, R.C and T.S Koh A Vector Error Correction Model of the

Singapore Stock Market , International Review of Economics and Finance, Vol

Macroeconomic Variables and the Japanese Stock Market: An Application of a

Vector Error Correction Model , Journal of Financial Research, Vol 18, No 2,

pp 223-237

31 N.Gregory Mankiw, Macroeconomics, Second edition, Worth Publisher New

York, 1995

Review of Economic Studies, Vol 61

33 Phillips, P C B and P Pen-on (1988), Testing for a Unit Root in Time Series

Regression , Biometrica, 75, 1551-1580

multivariate models , Economics Letters 58, 17-29

Market , Journal of Business and Accounting, Vol 18, No 5, pp 619-636

36 Rahman A.A, Sidek N Z M2 & Tafri F H (2009), Macroeconomic

Management Vol.3 (3), pp 095-106, March, 2009

37 Ross, S.A (1976), The Arbitrage Theory of Capital Asset Pricing , Journal of

Economic Theory, Vol 13, No 3, pp 341-360

Journal of Business and Econometric Statistics, Vol 7, No, 2, pp 147-159

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tháng

c ch th 03

chính th c vào ngày 26/12 Trong su t th i k này có r t nhi u tranh cãi v giá kh i

cách th c IPO c a ngân hàng này Cu

-

-2% vào ngày

-NHNN, ngày

0,75% lên

+/-USD/thùng lên 131,52 USD/thù

LSCB

75 12%

LSCB 14%

tác

cho công t

gd sàn vàng

30/10 NHNN công

23/7 Dow Jones

-

VN

-1.3.3

vào ngày 31/3

NHNN, và trên

-

-tháng 7,

VN

Index

-gang duy -

c

Index Vì

:

2

OLS) (Granger và Newbold, 1974)

(Augmented Dickey-Fuller) và PP

t t t

t t

t

e W X Y

W X Y

W

X

Y

1 1 1

1 1

Yt

1Zt-1 = ([ 11 11 + 12 12] [ 11 21 + 12 22] [ 11 31 + 12 32])

1 1 1

t t t

W X

Y

(9)

1Zt-1 = 11( 11Yt-1 + 21Yt-1Xt-1 + 31Wt-1) + 12( 12Yt-1 + 22Yt-1Xt-1 + 32Wt-1) (10)

11 và 12

) 1

max)

n

r i

t t

a a

a

1

1 0 1

0

*

1 1

t t

01 02 03 04 05 06 07 08 09 10

C hi so gia tieu dung

1.2 1.6 2.0 2.4 2.8 3.2

01 02 03 04 05 06 07 08 09 10

D u tru ngoai hoi

9.0 9.5 10.0 10.5 11.0 11.5

01 02 03 04 05 06 07 08 09 10 San luong cong nghiep

01 02 03 04 05 06 07 08 09 10 Cung tien mo rong M2

2.5 3.0 3.5 4.0 4.5 5.0

01 02 03 04 05 06 07 08 09 10

Gia dau the gioi