MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIET NAM BANKING UNIVERSITY OF HO CHI MINH CITY PHUNG THIEN AN THE RELATIONSHIP BETWEEN MACRO ECONOMIC FACTORS AND THE BANK STOCK PRICE IN VIETNAM STOCK MARKET FROM 2012 TO THE FIRST QUARTER OF 2018 GRADUATION THESIS MAJOR: FINANCE – BANKING CODE: 7340201 - HO CHI MINH CITY, MAY 2018 HO CHI MINH CITY - 2018 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIET NAM BANKING UNIVERSITY OF HO CHI MINH CITY PHUNG THIEN AN THE RELATIONSHIP BETWEEN MACRO ECONOMIC FACTORS AND THE BANK STOCK PRICE IN VIETNAM STOCK MARKET FROM 2012 TO THE FIRST QUARTER OF 2018 GRADUATION THESIS MAJOR: FINANCE – BANKING CODE: 7340201 INSTRUCTOR M. LIEU CAP PHU HO CHI MINH CITY - 2018 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com BANKING UNIVERSITY OF HO CHI MINH CITY VIETNAM High-Quality Program of Banking and Finance ABSTRACT Author AN, Thien PHUNG Title The relationship between macro-economic factors and bank stock price in Vietnam stock market from 2012 to the first quarter of 2018 Year 2018 Language English Supervisor PHU, Cap LIEU In the current overall development of the economy, the role of analyzing the effects of macroeconomic factors is indispensable in order to figure out viable remedies to retain the sustainable growth of the country’s economic system. One of the most concerns of the public is the stability and development of the stock market. In this thesis, the author chooses to show deep insight into the relationship between four macroeconomic criteria including Exchange rate, Money supply M2, Inflation rate and short-term lending interest rate and the bank stock price in the Vietnam stock market.
Assumptions are Inflation rate, Exchange rate and Short-term interest rate have a reverse correlation to the bank stock price whereas Money supply M2 observes an opposite pattern. Results indicate that all assumptions are favorable and the author also analyses all factors in more details through graphs, showing the fluctuations in each criteria in bank stock price. Last but not least, this study could partly contribute to the research of relevant issues in stock market and provide a little necessary information for the future experiments. Key words: Inflation rate, Money supply M2, Exchange rate, Short-term lending rate, Bank stock price LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ĐẠI HỌC NGÂN HÀNG THÀNH PHỐ HỒ CHÍ MINH Chương trình Cử nhân Chất lượng cao – Chuyên ngành Tài chính Ngân hàng TÓM TẮT Sinh viên thực hiện Phùng Thiên Ân Tên đề tài Mối quan hệ giữa các yếu tố vĩ mô và giá cổ phiếu ngành ngân hàng trên thị trường chứng khoán Việt Nam giai đoạn 2012-quý 1/2018 Năm thực hiện 2018 Ngôn ngữ Tiếng Anh Giảng viên hướng dẫn Ths.
Liêu Cập Phủ Trong sự phát triển chung của nền kinh tế, vai trò của việc phân tích tác động của các yếu tố kinh tế vĩ mô là không thể thiếu để tìm ra các biện pháp khả thi nhằm duy trì sự phát triển bền vững của hệ thống kinh tế của đất nước. Một trong những mối quan tâm nhất chính là sự ổn định và phát triển của thị trường chứng khoán. Trong luận án này, tác giả chọn phân tích về mối quan hệ giữa bốn tiêu chí kinh tế vĩ mô bao gồm tỷ giá, cung tiền M2, tỷ lệ lạm phát và lãi suất cho vay ngắn hạn đến giá cổ phiếu ngân hàng trên thị trường chứng khoán Việt Nam. Tác gải đặt ra giả định là tỷ lệ lạm phát, tỷ giá hối đoái và lãi suất ngắn hạn có sự tương quan nghịch với giá cổ phiếu ngân hàng trong khi cung tiền M2 có tác động cùng chiều đến giá cổ phiếu ngành ngân hàng.
Kết quả cho thấy rằng tất cả các giả định đều thuận lợi và tác giả cũng phân tích tất cả các yếu tố chi tiết hơn thông qua biểu đồ, cho thấy sự biến động trong từng tiêu chí trong giá cổ phiếu ngân hàng. Cuối cùng nhưng không kém phần quan trọng, nghiên cứu này một phần có thể góp phần vào việc nghiên cứu các vấn đề liên quan trên thị trường chứng khoán và cung cấp những thông tin cần thiết cho các nghiên cứu trong tương lai. Từ khóa: Tỷ lệ lạm phát, Cung tiền M2, Tỷ giá hối đoái, lãi suất tiền gửi ngắn hạn, giá cổ phiếu ngành ngân hàng. ii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com DECLARATION I, Phung Thien An, declare that this minor thesis on “The relationship between macro- economic factors and bank stock price in Vietnam stock market from 2012 to the first quarter of 2018” is a presentation of my original research work.
Whether contributions of others are involved, every effort is made to illustrate this clearly, with the reference to the literature, and acknowledgement of collaborative research and discussions. The thesis is for the partial fulfilment of the requirement for the degree of Bachelor of Banking and Finance, and it is an original work. It has not been summited earlier, either partly or wholly to any other University or Institution has not been published in any other journal or magazine. The work was done over the guidance of Lieu Cap Phu, MA at Banking University of Ho Chi Minh, Vietnam.
[Author’s name and signature] iii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ACKNOWLEDMENTS I would first like to appreciate my thesis advisor Ms. Lieu Cap Phu of the Banking Faculty at Banking Ho Chi Minh City. The door to Ms. Phu’s office was always open whenever I ran into a trouble spot or had a question about my research or writing.
She persistently and consistently allowed this paper to be my work but steered me in the right direction whenever she thought that it was of essence for me. She has been the ideal thesis advisor. Her previous advice, insightful criticisms, and gentle encouragement aided the writing of this thesis in countless ways. I take this opportunity to express gratitude to all of the High-Quality Program Department members for their great assistance.
I would also like to thank my friends for accepting nothing less than excellence from me. Last but not least, I must express my profound gratitude to my family, especially my parents for providing me with unfailing support and perpetual encouragement throughout my years of study and through the process of researching and writing this thesis. This accomplishment would not have been possible without them. I also place on record, my sense of gratitude to one and all, who directly or indirectly, have given their hand in this venture.
Wholeheartedly appreciate for all your stimulation and encouragement. iv LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com TABLE OF CONTENT ABSTRACT. iv LIST OF CHARTS. vii LIST OF FIGURES.
viii LIST OF APPENDICES .x CHAPTER 1: THE OVERVIEW OF THE THESIS. Purpose of research. Significance of research. Object and scope of the study.
Structure of the themes .5 CONCLUSION OF CHAPTER 1 .7 CHAPTER 2: AN OVERVIEW OF SYSTEMATIC RISK AND MACROECONOMIC FACTORS AFFECTING STOCK PRICES IN THE BANKING SECTOR. Systemic risk and factors that create systemic risk in stock investment. Systematic risk in stock investment. Review of literature.
Macro-economic factors affect the price of bank stock .4 Short-term interest rate .16 CONCLUSION OF CHAPTER 2 .17 CHAPTER 3: RESEARCH METHODS AND DATA BASIS .1 Description of variables .18 v LUAN VAN CHAT LUONG download : add luanvanchat@agmail.2 Methods for data processing and proposed research methods. Methods for data processing .25 CHAPTER 4: RESEARCH RESULTS. Measured results by ADRL model. Unit-root Test.
Latency selection for ARDL model. Model estimation in the long run. Short-term model estimation. Defects verification of the model.
Stability test of the model. Granger causality test. Overview of the results. Short-term interest rate .43 CONCLUSION OF CHAPTER 4 .44 CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS.
Summary of the research. Contributions of the research. Research contributions and its significance. Recommendations for investors, bank executives and policy makers.
Limitations of research and suggestions for future research .48 CONCLUSION OF CHAPTER 5 .53 vi LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com LIST OF CHARTS Chart 4.1: Descriptive statistics of variables .2: Fluctuations in LM2 and LG .3: Fluctuations in Exchange rate and Bank Stock Price .4: Fluctuations in Inflation rate and Bank Stock Price .5: Fluctuations in Short-term interest rate and Bank Stock Price .6: Unit-root Test on variable .7: The critical value of Unit-root test .9: Long-term Relationship Test .10: Long-term Coefficient.11: Short-term Coefficient .12: The variables are statistically significant in the short run.14: Results of Granger Causality Test. 40 vii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com LIST OF FIGURES Figure 4.2: Top 20 models according to AIC .3: CUSUM Test about stability in the model……………………………….4: CUSUM square Test in stability in the model. 39 LIST OF APPENDICES Appendix 1 ADF Test. I ADF Test for LG at I(0).
I ADF Test for LG at I(1). II ADF Test for LM2 at I(0). III ADF Test for LM2 at I(1). IV ADF Test for LER at I(0).
V ADF Test for LER at I(1). VI ADF Test for LLP at I(0).VII ADF Test for LIR at I(0). VIII Appendix 2 PP Test. IX PP Test for LG at I(0).
IX PP Test for LG at I(1). X PP Test for LM2 at I(0). XI PP Test for LM2 at I(1) .XII PP Test for LER at I(0). XIII PP Test for LER at I(1).
XIV PP Test for LLP at I(0). XV viii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com PP Test for LIR at I(0). XVII Appendix 3 Latency Selection in Ardl Model. XVIII Appendix 4 Bound Test.
XVIX Appendix 5 Short-term and Long term relationship between criteria. XX Appendix 6 LM Test. XXI Appendix 7 Ramsey Test. XXII Appendix 8 Breusch-Pagan-Godfrey Test.
XXIV Appendix 9 Granger Causality Test. XXV ix LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ABBREVIATIONS ADF Augmented Dickey-Fuller APT Arbitrage Pricing Theory ARDL Autoregressive Distributed Lag BIDV Bank for Investment and Development of Vietnam CAPM Capital Assets Pricing Model CPI Consumer Price Index CUSUM Cumulative Sum Control Chart DCF Discounted Cash Flow ECM Error Correction Model GDP Gross Domestic Product GICS® Global Industry Classification Standard HOSE Ho Chi Minh City Stock Exchange HNX Hanoi Stock Exchange ICB Industry Classification Benchmark IFS International Financial Statistics IMF International Monetary Fund OLS Ordinary Least Squares PP Phillips-Perron SBV State Bank of Vietnam VAR Vector Auto regression VACM Vietnam Asset Management Company VECM Vector Error Correction Model x LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com CHAPTER 1: THE OVERVIEW OF THE THESIS 1. Research background The stock market is an effective way to raise capital. Since its inception and development, it has played an indispensable role in the operation and development of the economy.
In some rapidly growing stock markets such as New York, London, Japan… besides helping capital to flow quickly, the stock market is also a good investment place for many organizations and individuals to participate and seek profit in the market as well. In Vietnam, although the market has been operating since 2000, it is relatively new compared to other stock markets in the world. However, over the past 15 years, Vietnam stock market has been increasingly improving and expanding. In the process of development of the economy, the circulation of capital on the stock market contributes to making the production machinery operate smoothly when participating in securities investment in the market more attractive.