VIETNAM NATIONAL UNIVERSITY HANOI UNIVERSITY OF ECONOMICS AND BUSINESS FACULTY OF FINANCE AND BANKING Doe Bow GRADUATION THESIS Lecturer : PhD. Le Hong Thai Student : Pham Truong Son IDcard : 19050728 Class : QH-2019E - TCNH CLC 3 Ha Noi - 2023 DECLARATION I hereby declare that this graduation thesis is my own work, with the support of my supervisor, and has not copied the work of others. This is my own research work. The data and secondary information used in the thesis are sourced and clearly cited.
This statement is entirely my responsibility. ACKNOWLEDGEMENTS A completed study would not be done without any assistance. Therefore, the author who conducted this research gratefully gives acknowledgement to their support and motivation during the time of doing this research as a requirement of completing my thesis. The author would like to thank the Board of the University of Economics and Business-Vietnam National University for creating favorable conditions for the author to complete this thesis.
The author would like to thank the lectures of the Faculty of Finance and Banking, University of Economics and Business-Vietnam National University for their help the author in the thesis implementation process. In particular, I would like to express my endless thanks and gratefulness to my supervisor PhD. Le Hong Thai who always gives me continuously advices throughout the process of completion of my thesis. His encouragement and comments had significantly enriched and improved my work.
Without his motivation and instructions, the thesis would have been impossible to be done effectively. Thank you sincerely! TABLE OF CONTENTS 0200.cscssssssssssssnsneeesessessnsnenennseeseseneenenenseeeseaeeceneneeeaeaeaeaceeenensersnananeneeeeeseananes iii LIST OF ABBREVIATION .csssssssssssssssssssessessseseseesesseaeeseneseseaeaeaeeseeeneseuaneceseneseosseasateneneeseeeeananenens vi LIST OF FIGURES .ccssesssesesssessssesessssssesersreceeeneessenereeensseneoreseanecesenenserueceueasneneneoraeenenentennsoranenenes vii LIST OF TABLLES. viii CHAPTER 1: INTRODUCTION .---‹---ss-s«++++++xe+rkeErketkkeErketrkrtrkrtrkrEkkirtrirrrkirrrirrrkrrrirrrrrrrrrkerrikee 1 1. Research Oj©@CEÏV©S.
sec HH HH HH HH HH HH H11 gHtrkrrrrretrrkerrrtree 2 1. Research QU€SfÏOTIS.---c--ss+tE tr HH1. Structure Ofthe thesis oe eesessessessesseesseeseeseesessseesseesesssssaseesessesseesseeeaeeseeateeseeesesateenseness 3 CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW. HH1 HH TH HH HH TH TH TH HH HH HH.1, SOCK HOT KẾT ss:2sss:555:51515155505555555252121515552393556555135255554515111354553555535555151515225591545E355555545151512155553E 4 2.
IDV€SfOT SENTIMENL cessssesesneneeeeerseersesensneeeneeaeaearerseeeeeneceseraneeaeaeaeeeseneneneeeeeranarareneeensesenens 16 2.-- «cty ng HH HH HH1 HHT1111111 1181111911111 18 2. - «cà TH Hà Hà Hà Hà HH HH HH 1trkrrtrrrree 26 2. 26 CHAPTER 3: RESEARCH METHODOLOGY. 30 CHAPTER 4: EMPIRICAL RESULTTS.
HH HH HH HH HH HH1 1111101111111. The co-movement between investor sentiment in the stock market and price returns in the cryptocurrency Marketa. The co-movement between investor sentiment in the stock market and the trading volume in the cryptocurrency Market. cecessssssecseessesseesseesesseesteesteesteesteesseesteeaseeateenteenteeateeneees 45 CHAPTER 5: CONCLUSION.
Summary of research results. Limitations of the present study and directions for future research.ccscsssssssesssesssesscssnsnesnsaeessenssesseeaeensansasesessensaneaseneaseasessensansaneseessansaeeneeseansaneneensansaseasanes 54 LIST OF ABBREVIATION Abbreviations Full name BTC Bitcoin ETH Ethereum LTC Litecoin XRP Ripple GDP Gross Domestic Product HOSE Ho Chi Minh Stock Exchange HNX Hanoi Stock Exchange COVID - 19 Coronavirus disease 2019 USD United States Dollar VND Vietnam Dong IPO Initial public offering GFI Greed and fear index SEC Securities and Exchange Commission EMH Efficient Market Hypothesis FEARS Financial and Economic Attitudes Revealed by Search MP Market Psychology HOSE Ho Chi Minh Stock Exchange HNX Hanoi Stock Exchange CSFB Credit Suisse Fear Barometer GGM Gordon Growth Model vi LIST OF FIGURES Figure 2.1: The variation of dividend discount model (DDM).2: The theories of behavioral finance.1: The movement of GFI Ïn©X. sàn By HH TH KH HH Hinh 31 Figure 4.2: The movement of cryptocurrencies price from 2019 to 2023.3: The movement of cryptocurrencies volume from 2019 to 2023.4: Bitcoin (BTC) price and GEÌL.---«---xsscxs+xvs+rtstrrttrkttrrtkrrtrtirrrrrerree 39 Figure 4.5: Ethereum (ETH) price and GÌ .---s-- sse+x+terxeterxetrrkrtrrkrrrrkrrrrkrrtrkrrrrkrrrke 41 Figure 4.6 : Ripple (XRP) price and GFÌ.7 : Litecoin (LTC) price and GEÌ.8 : Bitcoin (BTC) volume and GFÌ.----«--s<+ce++rtt+rtexketxretrkrrtkrttrrrtrrrrrrrkee 46 Figure 4.9 : Ethereum (ETH) volume and GFÌ.10 : Ripple (XRP) volume and GÌ ,.----s-ccs+crssrrtrrerrrtrrrrrrrrrrrrrrrrerrrerrrerrrer 48 Figure 4.11 : Litecoin (LTC) volume and GF ui. esceessesssesssecssecseesseecseecstecseesseecaeesseesatesneesneesseesseesse 49 vii LIST OF TABLES Table 2.
Different characteristics of coins and toÌK©nis. Different characteristics of coins ANd MEME COÏI. 37 viii CHAPTER 1: INTRODUCTION 1. Research background The cryptocurrency market is a new and growing market that competes directly with the traditional financial markets.
In a short history of formation, the cryptocurrency market shows amazing growth. The value of cryptocurrencies has increased many times in only a few years, the size of the market capitalization is constantly expanding from 1 billion U. dollars in 2019 to 783 billion U. dollars till November 2021 (Coinmarketcap.com) cryptocurrencies are increasingly proving their dominance in the global financial market.
Therefore, the analysis of the financial market in general is always one of the interesting areas of research, especially as the markets are developing strongly as the stock market and the cryptocurrency market. Traditional economic theories, Baker et al.(2004) investors are rational, there is the argument that markets are efficient and asset prices reflect all information. If asset prices move away from their intrinsic value, arbitrage will bring them back to fair value (Fama, 1970). However, this argument has many contradictions when viewed in the field of behavioral economics.
Behavioral economics studies have shown that investors are not entirely rational, and asset prices can be strongly influenced by their psychology, emotions, and beliefs. Black et al. (1986) shows that noise traders tend to trade stocks mainly based on sentiments and not on information; This causes prices in the market to fluctuate without following the fundamentals of traditional economics. Shleifer and Summers (1990) simultaneously showed that arbitrageur behavior cannot change stock prices back based on arbitrage theory fundamentals.
Therefore, it can be said that investor psychology is an important factor for investors' decision making on the stock market in particular and the financial market in general. In particular, so far, there have been studies on the spillover effect of investor psychology among markets. For example, research by Nie (2018) shows that profit fluctuations in the virtual currency market are highly likely to come from the stock market. Lopez et al.
(2019) show that investor sentiment towards stocks can predict the price movement of Bitcoin. In any market, the development process must also go through many different periods. And in each period, the market has its own characteristics. The COVID-19 pandemic represents a time of shaking stock markets around the world and this can be a factor that strongly affects the performance of investors if not controlled.
Currently, there are no adequate and systematic studies on the various effects of investor sentiment on the cryptocurrency market to serve as a basis for proposing policies to manage this money. Recently, studies have shown that text-based sentiment indicators may contain more noise than market-based sentiment indicators (e., investor sentiment by Baker et al. (2006)), however studies using these market indicators have emerged only recently. Therefore, a comprehensive study of cryptocurrencies and stock market sentiment to make policy recommendations is very important and urgent in the current context.
Based on the above requirement, the thesis has chosen the topic "Examining the co-movement between stock market sentiment and cryptocurrency market".2 Research objectives This thesis aims to achieve the following research objectives: - To synthesize different types of investor sentiments in the stock market. - To assess the co-movement between stock market sentiments and features of the cryptocurrency market in different contexts: before, during and after the break-out of COVID-19 pandemic. - To propose some policies for the stable development of the stock market and the cryptocurrency market in the future. Research questions The study focuses on answering the following three main questions: - Does the co-movement exist between stock market sentiment and the trading volume as well as the price returns of the cryptocurrency market? - Does the COVID-19 pandemic affect such a co-movement? - What recommendations should be made to avoid the influence of sentiment factors in order to improve investment efficiency and develop stably the stock market and cryptocurrency market in the future? 1.
Research scope - Scope oftime: 1/1/2019 - 3/4/2023 - Scope of space: Cryptocurrency market and stock market - Scope of content: the co-movement between stock market sentiment and the trading volume as well as price returns of cryptocurrencies. Research contributions The research topic aim to contribute in two main aspects: - On the theoretical side: This research systematizes issues related to the stock market, the cryptocurrency market (including: the definitions, characteristics, roles, participants and classifying markets.) and provides an overview of all types of investor sentiment existing in the stock market and their influence on cryptocurrency market and other markets (gold market, commodities market, oil market, bond market). - On the practical side: The research provides empirical evidence on the influence of the stock market sentiments on the cryptocurrency market through quantitative research. Besides, this study analyzes the co-movement of the stock market sentiment and the cryptocurrency market on the global scale.
Therefore, some recommendations and solutions are proposed to improve the management efficiency of agencies in countries around the world as well as improve investment efficiency in the cryptocurrency market and the stock market. Structure of the thesis Chapter 1: Introduction Chapter 2: Theoretical Basis and Literature Review Chapter 3: Research Methodology Chapter 4: Results Chuong 5: Conclusion CHAPTER 2: THEORETICAL BASIS AND LITERATURE REVIEW 2. Chapter introduction This chapter summarizes the theories related to the stock market, the cryptocurrency market and the theories of investor sentiments in the stock market. First, the chapter will clarify the definition and related terminology, the characteristics of the markets and how to classify these markets.
Then, this chapter will summarize the types of investor sentiment existing in the stock market. Finally, the thesis displays previous studies related to this topic. The Definition of the stock market “Market” is a basic concept in economics. So far, there have been many different definitions about this.
In essence, the market is an integrated economic relationship of 5 components: goods, supply and demand, prices, transaction and payment methods. Thus, wherever/whenever there are enough 5 elements, there will be a market and existing market activities. There are many different types of markets such as: commodities market, gold market, foreign currency market, stock market, etc. The security market is also considered a market where the main goods are securities (stocks, bonds, etc.) and this market shows the relationship between supply and demand for capital.
The prices of securities contain information about the cost of capital, also known as the price of invested capital. The security market is a part of the financial market, where the process of issuing, buying and selling securities, that is both debt securities and equity securities. To sum up, we have a simple concept of the security market as: “The market where activities such as issuance, trading and buying and selling of securities take place. Initial issuance is done in the primary market, and is traded over and over in the secondary market.
Characteristics and classification of the stock market Characteristics First, stock market offers special goods and services Goods on the securities market are different from ordinary goods, that is securities such as: stocks, bonds, investment fund certificates, derivative securities. Therefore, when investing in securities, investors do not need to care much about their external appearance/outside, but investors need to care about profitability, potential risks, liquidity. Second, trading activities on the security market are mainly done through brokers. Because the goods of this market are value-transmitting instruments, it is difficult for investors to distinguish securities that meet their legal requirements as well as their quality.
Therefore, most countries stipulate that securities trading must go through intermediary organizations to ensure the interests of investors and stabilize the security market. Investors who want to buy or sell securities cannot come to the market to negotiate but must place buy/sell orders through stockbrokers. Third, the stock market is basically a continuous market. After the security is issued in the primary market, it can be bought and sold again and again in the secondary market.
The stock market ensures that investors can convert their securities holdings into cash anytime they want. Fourth, the stock market has the characteristics of a perfectly competitive market.