Phản ứng của giá cổ phiếu đối với biến động chính sách kinh tế thế giới và chính sách tiền tệ tại Việt Nam
DOI:
https://doi.org/10.24311/jabes/2018.29.3.4Keywords:
Stock price, Economic policy uncertainty, Monetary policy, Stock market, SVAR, VietnamAbstract
This paper makes an empirical analysis of stock index in response to the global economic policy uncertainty and monetary policy shocks in Vietnam. Applying Structural Vector Autoregressive Model (SVAR) imposed by short-run restrictions, and the monthly data from 2008:M1 to 2017:M12, we find an immediate response of VN-Index to the adjustment in global economic policies, indicating that an increase in Economic policy uncertainty leads to a deep fall in stock prices which may arise due to the changes in investors' sentiments and monetary policy intervention of the State Bank of Vietnam. Research results show that expansionary monetary policy represented by the increase in money supply and exchange rate raises stock prices while its response to short-term interest rate changes is statistically insignificant. Moreover, the findings also reveal that oil price shock leads to a temporary decrease in stock price
References
Abhyankar, A., Xu, B., & Wang, J. (2013). Oil price shocks and the stock market: Evidence from Japan. The Energy Journal, 34(2), 199–222.
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economic, 131(4), 1593–1636.
Bùi Kim Yến, & Nguyễn Thái Sơn. (2014). Sự phát triển của thị trường chứng khoán Việt Nam dưới ảnh hưởng của các nhân tố kinh tế vĩ mô. Tạp chí Phát triển và Hội nhập, 16(26), 3–10.
Camen, U. (2006). Monetary policy in Vietnam: The case of a transition country. Monetary policy in Asia: Approaches and implementation, 31. Retrieved from https://www.bis.org/publ/bppdf/bispap31t.pdf
Chen, S. S. (2007). Does monetary policy have asymmetric effects on stock returns? Journal of Money, Credit and Banking, 39(2/3), 667–688.
Ciner, C. (2001). Energy shocks and financial markets: Nonlinear linkages. Studies in Nonlinear Dynamics & Econometrics, 5(3), 1–11.
Dương Ngọc Mai Phương, Vũ Thị Phương Anh, Đỗ Thị Trúc Đào, & Nguyễn Hữu Tuấn. (2015). Tác động của chính sách tiền tệ đến thị trường chứng khoán: Bằng chứng tại Việt Nam. Tạp chí Phát triển và Hội nhập, 25(35), 3–13.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383–417.
Filis, G. (2010). Macro economy, stock market and oil prices: Do meaningful relationships exist among their cyclical fluctuations? Energy Economics, 32(4), 877–886.
Ibrahim, M. H., & Yusoff, W. S. W. (2001). Macroeconomic variables, exchange rate and stock price: A Malaysian perspective. IIUM Journal of Economics and Management, 9(2), 141–163.
Jones, C. M., & Kaul, G. (1996). Oil and the stock markets. The Journal of Finance, 51(2), 463–491.
Leelahaphan, T. (2009). Monetary policy, exchange rate and Asian stock markets. Paper presented at the Singapore Economic Review Conference. Retrieved from https://editorialexpress.com/cgi-bin/conference/download.cgi?db_name=serc2009&paper_id=133
Li, Y. D., İşcan, T. B., & Xu, K. (2010). The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States. Journal of International Money and Finance, 29(5), 876–896.
Liu, L., & Zhang, T. (2015). Economic policy uncertainty and stock market volatility. Finance Research Letters, 15, 99–105.
Mishkin, F. S. (2007). The Economics of Money, Banking and Financial Markets (8th ed.). Boston, MA: Pearson education.
Nandha, M., & Faff, R. (2008). Does oil move equity prices? A global view. Energy Economics, 30(3), 986–997.
Nazlioglu, S., Gormus, A., & Soytas, U. (2018). Oil prices and monetary policy in emerging markets: Structural shifts in causal linkages. Emerging Markets Finance and Trade (Just-accepted).
Neri, S. (2004). Monetary policy and stock prices: Theory and evidence. Temi di discussione (Economic working papers, No. 513).
Nguyễn Minh Kiều, & Nguyễn Văn Điệp. (2013). Quan hệ giữa các yếu tố kinh tế vĩ mô và biến động thị trường chứng khoán: Bằng chứng nghiên cứu từ thị trường Việt Nam. Tạp chí Phát triển Khoa học và Công nghệ, 6(3), 86–100.
Ozdagli, A. K., & Yu, Y. (2011). Monetary policy shocks and stock returns: Identification through impossible trinity. Midwest Finance Association 2012 Annual Meetings Paper. Available at SSRN: https://ssrn.com/abstract=1928614 or http://dx.doi.org/10.2139/ssrn.1928614
Park, K., & Ratti, R. A. (2000). Real activity, inflation, stock returns, and monetary policy. Financial Review, 35(2), 59–78.
Pastor, L., & Veronesi, P. (2012). Uncertainty about government policy and stock prices. The Journal of Finance, 67(4), 1219–1264.
Pastor, L., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520–545.
Pennings, S. (2011). The impact of monetary policy on financial markets in small open economies: More or less effective during the global financial crisis. Journal of Macroeconomics, 44, 60–70.
Pirovano, M. (2012). Monetary policy and stock prices in small open economies: Empirical evidence for the new EU member states. Economic Systems, 36(3), 372–390.
Thân Thị Thu Thủy, & Võ Thị Thùy Dương. (2015). Sự tác động của các nhân tố vĩ mô đến các chỉ số giá cổ phiếu tại HOSE. Tạp chí Phát triển và Hội nhập, 24(34), 59–67.
Ủy ban Chứng khoán Nhà nước. (2009). Hội thảo “Thị trường chứng khoán Việt Nam hậu khủng hoảng tài chính thế giới – Cơ hội và thách thức”. Truy cập ngày 10/6/2018, từ http://www.ssc.gov.vn/ubck/faces/vi/vilinks/videtail/vichitietthongtinthitruong/vidsthongtintrenhose/vidstintuchose/vichitiet120?dDocName=APPSSCGOVVN162071640&_afrLoop=29908573189118794&_afrWindowMode=0&_afrWindowId=null#%40%3F_afrWindowId%3Dnull%26_afrLoop%3D29908573189118794%26dDocName%3DAPPSSCGOVVN162071640%26_afrWindowMode%3D0%26_adf.ctrl-state%3Dyffeci6ek_112
Ủy ban Chứng khoán Nhà nước. (2017). UBCKNN tổ chức Hội nghị tổng kết công tác năm 2017 và chương trình công tác năm 2018. Truy cập ngày 06/3/2018, từ http://www.ssc.gov.vn/ubck/faces/vi/vilinks/videtail/vichitiettintuc/vidshoatdongkyniem/vichitiet116?dDocName=APPSSCGOVVN162117003&_afrLoop=29908753169713794&_afrWindowMode=0&_afrWindowId=null#%40%3F_afrWindowId%3Dnull%26_afrLoop%3D29908753169713794%26dDocName%3DAPPSSCGOVVN162117003%26_afrWindowMode%3D0%26_adf.ctrl-state%3Dyffeci6ek_129
Vo, X. V., & Nguyen, P. C. (2017). Monetary Policy Transmission in Vietnam: Evidence from a VAR Approach. Australian Economic Papers, 56(1), 27–38.
Zare, R., Azali, M., & Habibullah, M. (2013). The reaction of stock prices to monetary policy shocks in Malaysia: A structural vector autoregressive model. Retrieved from http://www.ircconferences.com/_admin/pages_files/27/The%20Reaction%20of%20Stock%20Prices%20to%20Monetary%20Policy%20Shocks%20in%20Malaysia%3B%20A%20Structural%20Vector%20Autoregressive%20Model.pdf
Downloads
Published
Issue
Section
License
Copyright (c) 2018 JOURNAL OF ASIAN BUSINESS AND ECONOMIC STUDIES
This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
