Font Size: a A A

The Effect Of Monetary Policy On Stock Price: Theory And Empirical Study In Vietnam

Posted on:2017-01-07Degree:DoctorType:Dissertation
Country:ChinaCandidate:NGUYEN TRUNG THANH R Z CFull Text:PDF
GTID:1109330488992553Subject:Finance
Abstract/Summary:PDF Full Text Request
Vietnam stock market started operating from 2000 up to present; the market has experienced the ups and downs fluctuations from 2007 when the market is considered as explosive or the decline of the market from 2008 to present with the heavy impact of the global financial crisis. Continuous fluctuations of the financial markets have affected on the change of the stock market. Therefore, to control the economy, the Central Bank always gives the monetary policy appropriate with the current economic situation and completes the strategy set up in the long-term. Then, the stock market was heavily influenced from the Central Bank?s monetary policy. To consider the impact of monetary policy on the stock market, investors? assessment of monetary policy about changes in the stock market, the author uses the theme "The effect of monetary policy on stock price: Theory and empirical study in Vietnam" for author’s report.The main issues in this study included: The first, Systematize theoretical basis of the impact of monetary policy on stock prices; Second Introduce and analyze Vietnam stock market; Third, An empirical analysis of the impact of monetary policy on the stock price in Vietnam; Fourth, Compare the impact of monetary policy on the price of securities between China-VietnamTo achieve the study objectives, the author conducted to use VECM model to assess the impact of monetary policy tools on the stock market. At the same time, in addition, the author used GIJ- GARCH risk assessment model to find out the impact of information shocks on the stock market. With the purpose of review and assess the impact of monetary policy on the stock market through stock investment experience of investors. the author also conducted to interview shock investors in Vietnam.The study results showed that the factors on interest rates, exchange rates and required reserves ratio policy negatively impacts on Vietnam stock price. These effects are long-term and always has meaning after 1 and 2 month when the Central Bank changes monetary policy.Information Shock has affected on stock market prices, the good news shock has more powerful than the bad news. This suggests that investors always appreciate good information shock. When there is good information flows from market, it will fluctuate stock price(stock price increase). But, if receiving the bad information flow, prices fluctuate with smaller amplitude.Analysis of the survey results by the author for stock investors has shown: The investors assess the impact of interest rates on the stock market is the most powerful(Standardized Coefficients = 0.461). The next factor investors evaluate is required reserves ratio(Standardized Coefficients = 0.302). Exchange rate factor is the third and it is weakest(Standardized Coefficients = 0.188). This result indicates that the change in interest rates will bring a big impact for Vietnam stock market. At the same time according to assessment of the investors: the monetary supply policy does not bring the change for the stock market.Beside contribution of science and practice, the paper still exists some certain restrictions. Firstly, as for the model which uses time-series data to assess impacts of monetary policy on Vietnam stock market: because data analysis is performed after the author collected enough research data(12/2015), data is only updated to the time of getting enough research data. The data from 2016 can not be updated continuously. That kind of data entry will affect the process of data analysis and finalization of the report. Secondly, regarding to the model of assessing the monetary policy on the stock market proceeded by stock investors: during process of releasing survey questionnaire, the author met difficulties in taking samples(that sample size is taken from those who have a relationship with the author can not guarantee representativity for the market)Therefore, the next research needs to improve and support by investigation methods with more representative such as random probability sampling. Besides, investigation area can be extended, not only in cities but also in rural areas, to have better overview of the macroeconomic factors and the stock market. Regarding to data entry issue, this is inevitable restrictions in the process of doing research with series data, hence the author would like to reserve it.
Keywords/Search Tags:VECM model, GJR-GARCH model, Monetary policy, stock price
PDF Full Text Request
Related items