UNIVERSITY OF ECONOMICS AND BUSINESS VIETNAM NATIONAL UNIVERSITY - HA NOI Ace FACULTY OF BANKING & FINANCE GRADUATION THESIS THE IMPACT OF POLITICAL AND ECONOMIC EVENTS ON THE VIETNAMESE STOCK MARKET Hanoi, May 2023 UNIVERSITY OF ECONOMICS AND BUSINESS VIETNAM NATIONAL UNIVERSITY - HA NOI Ace FACULTY OF BANKING & FINANCE THE IMPACT OF POLITICAL AND ECONOMIC EVENTS ON THE VIETNAMESE STOCK MARKET SUPERVISOR: Ph.D To Lan Phuong STUDENT NAME_: Ngo Hoang Linh STUDENT CODE_ : 19050680 CLASS : QH2019-E TCNH CLC 3 Hanoi, May 2023 DECLARATION I solemnly declare that the research conducted in my graduation thesis titled "The impact of political and economic events on the Vietnamese stock market" is the result of my own study. In the reference section ofthe thesis, proper acknowledgment is given to all the sources used. The information and findings presented in the thesis are accurate to the best of my knowledge. In the event of any inaccuracies, I accept full responsibility and will abide by all the regulations and guidelines set forth by the subject and the university.
Signature of teacher instruction Signature of student Ph. To Lan Phuong Ngo Hoang Linh ACKNOWLEDGEMENTS First of all, I would like to express my deep gratitude to the lecturers at the University of Economics and Business, VNU. Especially, I would like to extend my deepest appreciation to Ph. To Lan Phuong for her wholehearted support, guidance, and direction in completing my graduation thesis.
Throughout the 4 years of my university journey, I have learned a great deal from her and she has been instrumental in shaping and sharing valuable insights with me. These have laid a solid foundation for me to confidently embark on my future career path. Additionally, I would like to express my profound gratitude to the professors at the Faculty of Finance and Banking - UEB for providing me with valuable information to complete my thesis. Although my thesis still has some errors and weaknesses due to limited knowledge and reasoning ability, I sincerely hope that the feedback and contributions from my teachers will help improve its overall quality.
Best regards, TABLES OF CONTENT LIST 0)2. 1 LIST OF TABLES.ÔỎ 2 LIST OF CHARTS.-- 5-55 525+ tt hà HH HH grrrrrirrrerrree 6 1. The urgency Of the tOpÌC.-- «tt HH HH tren 6 1. Research objectives and taSÌKS.----s--+c+chnHHnHHH HH HH gà 7 TA ( Šu ii hố.
Research subjects and scope 1. The distribution of research. CHAPTER II: RESEARCH OVERVIEW AND THEORETICAL BASIS ON VIETNAMESE STOCK MARKET, THE POLITICAL AND ECONOMIC EVENTS, AND THE IMPACT OF POLITICAL AND ECONOMIC EVENTS ON VIETNAMESE STOCK MARKET. Overview offoreign research.
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FOr INVCStOTS nan. 60 LIST OF ABBREVIATIONS GDP Gross Domestic Product CPI Consumer Price Index M2 Money supply VAR Model Vector autoregression model Generalized autoregressive conditional GARCH model heteroskedasticity model SSV Shinhan Securities Vietnam LIST OF TABLES Table 2.1 | Timeline of the history of the Vietnam stock market Table 3. | The list of outstanding political events between 2012 and 2022 Table 3.2 | The list of outstanding domestic economic events from 2012 to 2022 Table 3.3 | The list of outstanding foreign economic events from 2012 to 2022 Table 3. | The list of the other variables relevant to Vietnamese stock market Table 4.1 | The results of VAR model for prediction in step 2 (short-term effect) Table 4.
| The results of VAR model for prediction in step 16 (long-term effect) Table 4. | The results of VAR model for prediction in step 2 (short-term effect) Table 4.4 | The results of VAR model for prediction in step 16 (long-term effect) Table 4.5 | The results of VAR model for prediction in step 2 (short-term effect) Table 4.6 | The results of VAR model for prediction in step 16 (long-term effect) LIST OF CHARTS Chart 3.1 The research process Chart 3.2 Data collection process Chart 4.1 The residual error plot after the model has been estimated and used to predict the data (DEE) Chart 4.2: The estimated value of the response of the DEE to the MARKET remains constant, while other variables vary Chart 4.3: The estimated value of the response of the DEE to the GDP remains constant, while other variables vary Chart 4.4: The estimated value of the response of the DEE to the M2 remains constant, while other variables vary Chart 4.5 The estimated value of the response of the DEE to the CPI remains constant, while other variables vary Chart 4.6 The estimated value of the response of the DEE to the TYGIA remains constant, while other variables vary Chart 4.7 The estimated value ofthe response of the DEE to the IRLNH remains constant, while other variables vary Chart 4.8 The estimated value of the response of the DEE to the LSTPCP remains constant, while other variables vary Chart 4.9 The residual error plot after the model has been estimated and used to predict the data (FEE) Chart 4.10 | The estimated value of the response of the FEE to the MARKET remains constant, while other variables vary Chart 4.11 The estimated value of the response of the FEE to the GDP remains constant, while other variables vary Chart 4.12 | The estimated value of the response of the FEE to the M2 remains constant, while other variables vary Chart 4.13 | The estimated value of the response of the FEE to the CPI remains constant, while other variables vary Chart 4.14 | The estimated value of the response of the FEE to the TYGIA remains constant, while other variables vary Chart 4.15 The estimated value of the response of the FEE to the IRLNH remains constant, while other variables vary Chart 4.16 | The estimated value of the response of the FEE to the LSTPCP remains constant, while other variables vary Chart 4.17 | The residual error plot after the model has been estimated and used to predict the data (PE) Chart 4.18 | The estimated value of the response of the PE to the MARKET remains constant, while other variables vary Chart 4.19 | The estimated value of the response of the PE to the GDP remains constant, while other variables vary Chart 4.20 | The estimated value of the response of the PE to the M2 remains constant, while other variables vary Chart 4.21 The estimated value of the response of the PE to the CPI remains constant, while other variables vary Chart 4.22 | The estimated value of the response of the PE to the TYGIA remains constant, while other variables vary Chart 4.23 | The estimated value of the response of the PE to the IRLNH remains constant, while other variables vary Chart 4.24 | The estimated value of the response of the PE to the LSTPCP remains constant, while other variables vary ABSTRACT In today's unpredictable economic and political climate, it is difficult to predict financial market fluctuations, particularly in the sensitive stock market of Vietnam. Any information related to the economy or politics has the potential to impact market volatility, directly affecting investor decision-making. As such, this study aims to investigate the impact of political and economic events on the Vietnamese stock market.
The study considers a total of 17 political events and 63 prominent economic events that occurred from 2012 to 2022. Economic events are further categorized into domestic and international events. The research employs a VAR model to examine the volatility of variables in response to event chains, assess event lag on variables, and provide future predictions of the impact of similar events. The study indicates that the impact of domestic economic events and political events on the Vietnamese stock market is not significant, while foreign economic events have a strong impact on the stock market in both the short and long term.
Besides that, the study investigates that there are some variables that are affected if each type of event occurs in both long-term and short-term in the future. Key words: Political events, economic events, Vietnamese stock market, macroeconomic factors CHAPTER 1: INTRODUCTION 1. The urgency of the topic In today's volatile economic environment, it is crucial to understand and have transparency in market information, particularly for sensitive markets such as the stock market. Cutler et al., (1989), Schwert, (1989) and investors are highly concerned with the movements in the stock market, in order to identify factors that impact the stock market and its profitability.
In addition to economic factors such as Gross Domestic Product (GDP), Consumer Price Index (CPI), interest rates, and exchange rates, political and economic events at both domestic and international levels also have a significant impact on the stock market and related factors. Studies on political and economic news have shown that such events influence the stock market. News on political decisions, which potentially affect domestic and international policies, are responded to by the stock market. According to Tan and Gannon (2002), news that increases investor expectations will lead to price increases, and vice versa.
Therefore, it can be seen that for developing countries like Vietnam, political or economic risks are important factors that need to be considered when assessing the profit potential of an investment in the stock market. In the past decade, Vietnam has undergone many political and economic fluctuations. The control of the economy depends heavily on the policies and ideas of the Vietnamese government. Therefore, when operating these markets, operators must comply with government regulations and policies to stabilize the market.
Particularly for the stock market in Vietnam, which is formed from the supply and demand fluctuations of listed company stocks, market fluctuations will depend heavily on the events of these companies. Thus, information on policies or fluctuations in political or economic events affects the Vietnamese stock market. Furthermore, these political and economic events also affect other factors related to the stock market such as Consumer Price Index (CPI), Gross Domestic Product (GDP), Money Supply (M2), exchange rates, interest rate, gold prices, export and import, etc. The reality is that, despite the significant impact of political and economic events on the Vietnamese stock market, there has yet to be a study that specifically quantitative examines the effects of such events.
Previous research in Vietnam has been limited to observations of market volatility and fluctuations, without a thorough analysis of the underlying causes. Therefore, given the existing research gaps in the practical aspects of the issue, the author has chosen the topic: "THE IMPACT OF POLITICAL AND ECONOMIC EVENTS ON VIETNAMESE STOCK MARKET". As such, this research aims to provide a detailed examination of the impact of political and both domestic and foreign economic events on the Vietnamese stock market. In addition, the study aims to provide forecasts of the impact of political and economic events on the Vietnamese stock market both in the present and in the future.