HỌC VIỆN NGÂN HÀNG BÁO CÁO TỔNG KẾT ĐỀ TÀI THAM DỰ CUỘC THI “SINH VIÊN NGHIÊN CỨU KHOA HỌC” CẤP HỌC VIỆN NGÂN HÀNG NĂM HỌC 2021-2022 TÊN ĐỀ TÀI: THE NEXUS BETWEEN THE OIL PRICE, GOLD PRICE AND ASEAN+3’S STOCK MARKET INDEXES, AND THE CONTRIBUTION OF THE COVID-19 PANDEMIC LĨNH VỰC: KINH TẾ CHUYÊN NGÀNH: QUẢN TRỊ TÀI CHÍNH Hà Nội, Tháng 5 Năm 2022HỌC VIỆN NGÂN HÀNG BÁO CÁO TỔNG KẾT ĐỀ TÀI THAM DỰ CUỘC THI “SINH VIÊN NGHIÊN CỨU KHOA HỌC” CẤP HỌC VIỆN NGÂN HÀNG NĂM HỌC 2021-2022 TÊN ĐỀ TÀI: THE NEXUS BETWEEN THE OIL PRICE, GOLD PRICE AND ASEAN+3’S STOCK MARKET INDEXES, AND THE CONTRIBUTION OF THE COVID-19 PANDEMIC LĨNH VỰC: KINH TẾ CHUYÊN NGÀNH: QUẢN TRỊ TÀI CHÍNH SINH VIÊN THỰC HIỆN: Phạm Hồng Phúc Nguyễn Thanh Hằng Nguyễn Minh Hoàng Bùi Hà Hạnh Nguyên Nguyễn Thị Thu Uyên NGƯỜI HƯỚNG DẪN CHÍNH: GV Ngô Thị Hằng HỌC VIỆN NGÂN HÀNG THÔNG TIN SINH VIÊN THỰC HIỆN ĐỀ TÀI 1. Tên đề tài: THE NEXUS BETWEEN THE OIL PRICE, GOLD PRICE AND ASEAN+3’S STOCK MARKET INDEXES, AND THE CONTRIBUTION OF COVID-19 PANDEMIC 2. Lĩnh vực: Kinh tế 3. Chuyên ngành: Quản trị Tài Chính 4.
Giáo viên hướng dẫn: Họ và tên: Ngô Thị Hằng Học hàm, học vị: Thạc sĩ Chức vụ: Giảng viên khoa Tài Chính HVNH Điện thoại: 0968075977 Email: ngohang@hvnh. Sinh viên/nhóm sinh viên thực hiện đề tài: Mã số ĐH năm Điện STT Họ và tên Lớp Khoa Email SV thứ thoại 1Phạm Hồng CA7-075 CA7A 08625782 phucpha 1 Phúc 00 m816@g mail.com 2Nguyễn CA7-031 CA7C 09699321 thanhha 2 Thanh Hằng 67 ng2720@ gmail.co Quản trị m 3Nguyễn Minh CA7-040 CA7C Kinh 4 09622812 minhoang 3 Hoàng doanh 30 ng@gmai CityU l.com 4Bùi Hà Hạnh CA7-071 CA7C 07883236 nguyenbu 4 Nguyên 88 i2310@g mail.com Nguyễn Thị CA7-112 CA7C 09664946 socoladen 5 Thu Uyên 19 uyen@g mail. Lựa chọn đề tài tham dự các cuộc thi (Tích dấu X vào ô lựa chọn) Cuộc thi cấp Bộ GDĐT X Cuộc thi Euréka X Ngoài việc tham khảo Sinh viên lựa chọn tham gia cuộc thi, Hội đồng Khoa học của Học viện sẽ xem xét quyết định lựa chọn đề tài gửi dự thi theo các tiêu chí của các cuộc thi. Ngày 16 tháng 05 năm 2022 Sinh viên chịu trách nhiệm chính thực hiện đề tài (ký và ghi rõ họ tên) Nguyễn Thanh Hằng i CONTENTS CONTENTS.
Rationale and Research Questions. Organization of The Research. Stock Market and Its Relationship with World Oil Price. Stock Market and Its Relationship with World Gold Price.
Stock Market and Its Relationship with Other Control Variables. CONCLUSION AND RECOMMENDATIONS .43 ii TABLES Table 0. Summary Table of the Dataset. Unit Root Test for Time Series: Whole Period (January 2010 - December 2021).
ARDL model: Whole period (January 2010-December 2021). Impulse response: Whole period (Jan 2010-Dec 2021). Variance Decomposition: Whole period (January 2010-December 2021). Variance Decomposition: Before COVID (January 2010-February 2020).
Variance Decomposition: During COVID (March 2020-December 2021) .30 iii ABBREVIATIONS OP World Oil Price GP World Gold Price CPI Consumer Price Index PR Central Bank Policy ER Exchange Rate SP Stock Price Index ARDL Autoregression Distributed Lag ADF Augmented Dickey-Fuller Test VECM Vector Error Correction Model VAR Vector Autoregressive Model PP Phillips-Perron 1 CHAPTER 1. Rationale and Research Questions Gold is a precious metal that acts as both an industrial commodity and a monetary or investment asset, used for the purpose of hoarding or exchanging. Gold is a liquid, counter-cyclical asset that can help investors accomplish their basic objectives of safety, liquidity, and return by acting as a long-term store of value (Yousef and Shehadeh, 2020). Besides, gold is also known as a leading indicator reflecting the level of inflation, and is always considered as a hedge against inflation, diversifying risks when a financial crisis occurs (Gokmenoglu and Fazlollahi, 2015).
When there are fluctuations in the economy, the risk of investing in channels increases, investors will tend to look for gold. Gold is also kept in significant quantities by central banks and international financial organizations for diversification and economic security purposes. Oil price can be considered as an indicator of volatility, because fluctuations in world oil price are influenced by the unexpected changes in supply and demand, leading to fluctuations of the exchange rate of an oil importing economy. Understanding the volatility of crude oil prices is critical because it can affect many sectors of the economy and contribute to economic instability in both exporting and importing countries (Gokmenoglu and Fazlollahi, 2015).
In detail, most businesses use oil as an input fuel, therefore as the price of oil swings around the world, it affects firms' input costs, causing performance to fluctuate. This will have a direct impact on company stock indexes (Nguyen, 2016). Instead of choosing to invest safely in gold and other precious metals, the emergence of the stock market offers diversification in the portfolio investment, which has greater appeal to investors. With a similar amount of money, investors can choose to invest in businesses that perform well, bring higher returns on investment, but also are possibly exposed to higher risks in comparison to traditional investments including gold.
Gold, Oil and Stock Market not only provide investors with different investment channels, but also reflect and simultaneously direct economic activities through their markets’ transaction volume and prices. The movements of oil price, gold price and stock 2 price coupled with their interactions serve as important economic indicators for policymakers in regulating the economy. As a result, the relationship between gold price, oil price and stock market has always been a topic of interest to researchers and policymakers. Previous studies provide mixed findings about the relationship between the oil and gold markets with the stock market.
Specifically, Gokmenoglu and Fazlollahi (2015) conducted research on the Interactions of Gold, Oil, and Stock Market in the United States, mentioning the long run and short run impact of gold and oil price on S&P 500 stock market price index. The stock markets of the ASEAN-5 countries were found to interact dynamically with their respective significant macroeconomic issues including GNP – Gross National Product, Money Supply, Consumer Price Index and Money Market Rate, according to Wongbangpo and Sharma (2001). The long-run relationship is confirmed in Gokmenoglu (2015) indicated that Oil price would lead to a decrease 18% in stock market in long-run, Alamgir and Amin (2021) found the positive relationship between World Oil Price and Stock Market with the evidence from South Asia, Nguyen, Nguyen & Ta (2020) shared a similar result, Oil Price positively affect Vietnam Stock Market. Whereas short-term interaction is explored in other previous studies including Nguyen (2018) showed that in short-run, Gold Price produced no effect on Vietnam Stock Market Index, Tursoy (2017) demonstrated that Turkey experienced a negative relationship between gold price and stock price, and positive relationship between crude oil and stock prices.
Besides, the emergence of the unprecedented COVID-19 pandemic, affecting and changing various economies across the globe, has been suspected to distort the relationship between oil, gold and stock market. The research revolves around focusing on studying the relationship of macro variables, such as wealth or gold to the stock market, but focusing on developed economies. In particular, Singh et al. (2021) found the negative relationship between the exchange rates, stock market return and the number of COVID – 19 infections in G7 countries.
Pak et al (2020) also agreed with Singh’s results, by conducting research on the impact of the number of infection cases on the stock market in US, Italy, Spain, 3 Germany, France, Iran and South Korea and revealed that the number of infection cases and stock market indexes experienced a negative interaction. In Asia, Arisandhi and Robiyanto (2022) studied the relationship only of gold price and currency rates on the stock market in 5 countries: Thailand, Singapore, Malaysia, Philippines and Indonesia, found that exchange rate was produced a positive correlation with stock price, and be considered as a better investment in compared with gold. To be the best knowledge of the authors, there is no prior literature covering the relationship between oil, gold, and stock markets for ASEAN, and even ASEAN+3 markets. Moreover, a limited number of recent studies have just discovered the impact of the COVID-19 epidemic on the stock market, leaving the contribution of COVID-19 pandemic to the aforementioned relationship open for further discussion.
Therefore, we decided to carry the study entitled “The nexus between the oil price, gold price and ASEAN+3’s Stock Market Indexes, and the contribution of the COVID-19 pandemic”. The novelty of the study includes: (i) the study, by deploying various appropriate empirical models (VAR – Vector Auto Regression, VECM – Vector Error Correction Model, and ARDL – Auto Regressive Distributed Lag) into scrutinizing the relationship between the two commodities markets with the stock market, provide reliable findings to enrich the research field of finance and economics; (ii) the study makes an attempt to investigate the impact of the pandemic on the relationship; (iii) the dataset combines both macro variables with oil and gold prices to bring about the most objective result. To successfully achieve those contributions, the study focuses on shedding lights on following research questions: (i) Do world oil price and gold price have either a short run or long run relationship with the stock market of every single country in ASEAN+3? (ii) How are these relationships different among countries? (iii) Does COVID-19 have any impact on these relationships ? 4 1. Organization of The Research This research paper includes six chapters.
Chapter 1 is the introduction which consists of three main parts, namely the rationale; research objectives, questions, and scope; organization of the study. Chapter 2 presents the theoretical framework related to the relationships between the Stock Market and the other five macroeconomic variables which are Oil Price, Gold Price, Consumer Price Index, Central Bank Policy Rate, and Exchange Rate. Chapter 3 reveals the international and ASEAN literature review based on the previous findings of several authors. Chapter 4 names an empirical framework that gives the research data description and methodology.
Chapter 5 presents the empirical results combined with the analysis. Chapter 6, the final part, summarizes the main outcomes withdrawn in this paper the base, the policy recommendations, and indicates the study limitations. Stock Market and Its Relationship with World Oil Price Oil has been the cornerstone of the economy in this modern world (Huang et al. It provides energy to the power industry, creates heat, generates electricity and extracts fuel for running vehicles and planes.
Moreover, it is also essential for the manufacturing of everyday life necessities including plastics, fertilizers, paints, medicines and so on. This demonstrates that oil can be widely used as an indicator to evaluate economic stability since the dependence of production on oil is ineluctable. Higher oil prices implicates higher production cost (Gisser and Goodwin, 1986), entailing the rise in price of products and services, the corollary is that input costs will also go up which then hurt the businesses’ financial performance. The definition of stock market, which is a gathering of transactions in which investors can buy and sell shares of any enterprises and other securities, indicates that the stock market index is determined by the investors' buying and selling decisions (Chen, 2022).
These investors’ decisions rely on their expectation or judgment on that company’s performance. Following this logic, during the period of high oil price, the investors themselves perceive it as a risky and not suitable situation to make investment as they understand how oil price could impact on companies’ robust growth. Besides, they also have to tighten consumption expenditure to afford higher energy sources, which impedes their decision of consuming products and investing in the stock market. All of these explain conventional beliefs that oil's volatility inversely correlates with the stock market index.