The relationship between macro economic factors and the price index of bank stocks price in Vietnam stock market: Khóa luận tốt nghiệp Đại học / Phung Thien An

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MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OFVIET NAM

BANKING UNIVERSITY OF HO CHI MINH CITY

PHUNG THIEN AN

THE RELATIONSHIP BETWEEN MACRO ECONOMIC

FACTORS AND THE BANK STOCK PRICE IN

VIETNAM STOCK MARKET

FROM 2012 TO THE FIRST QUARTER OF 2018

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 7340201

HO CHI MINH CITY - 2018

HO CHI MINH CITY, MAY 2018

MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OFVIET NAM

BANKING UNIVERSITY OF HO CHI MINH CITY

PHUNG THIEN AN

THE RELATIONSHIP BETWEEN MACRO ECONOMIC

FACTORS AND THE BANK STOCK PRICE IN

VIETNAM STOCK MARKET

FROM 2012 TO THE FIRST QUARTER OF 2018

GRADUATION THESIS

MAJOR: FINANCE – BANKING

CODE: 7340201

INSTRUCTOR

M.S. LIEU CAP PHU

HO CHI MINH CITY - 2018

BANKING UNIVERSITY OF HO CHI MINH CITY VIETNAM

High-Quality Program of Banking and Finance

ABSTRACT

Author AN, Thien PHUNG

Title The relationship between macro-economic factors and bank stock

price in Vietnam stock market from 2012 to the first quarter of 2018

Year 2018

Language English

Supervisor PHU, Cap LIEU

In the current overall development of the economy, the role of analyzing the effects of

macroeconomic factors is indispensable in order to figure out viable remedies to retain

the sustainable growth of the country’s economic system. One of the most concerns of

the public is the stability and development of the stock market. In this thesis, the author

chooses to show deep insight into the relationship between four macroeconomic criteria

including Exchange rate, Money supply M2, Inflation rate and short-term lending

interest rate and the bank stock price in the Vietnam stock market. Assumptions are

Inflation rate, Exchange rate and Short-term interest rate have a reverse correlation to

the bank stock price whereas Money supply M2 observes an opposite pattern.

Results indicate that all assumptions are favorable and the author also analyses all factors

in more details through graphs, showing the fluctuations in each criteria in bank stock

price. Last but not least, this study could partly contribute to the research of relevant

issues in stock market and provide a little necessary information for the future

experiments.

Key words: Inflation rate, Money supply M2, Exchange rate, Short-term lending rate,

Bank stock price

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ĐẠI HỌC NGÂN HÀNG THÀNH PHỐ HỒ CHÍ MINH

Chương trình Cử nhân Chất lượng cao – Chuyên ngành Tài chính Ngân hàng

TÓM TẮT

Sinh viên thực hiện Phùng Thiên Ân

Tên đề tài Mối quan hệ giữa các yếu tố vĩ mô và giá cổ phiếu ngành

ngân hàng trên thị trường chứng khoán Việt Nam giai đoạn

2012-quý 1/2018

Năm thực hiện 2018

Ngôn ngữ Tiếng Anh

Giảng viên hướng dẫn Ths. Liêu Cập Phủ

Trong sự phát triển chung của nền kinh tế, vai trò của việc phân tích tác động của các

yếu tố kinh tế vĩ mô là không thể thiếu để tìm ra các biện pháp khả thi nhằm duy trì sự

phát triển bền vững của hệ thống kinh tế của đất nước. Một trong những mối quan tâm

nhất chính là sự ổn định và phát triển của thị trường chứng khoán. Trong luận án này,

tác giả chọn phân tích về mối quan hệ giữa bốn tiêu chí kinh tế vĩ mô bao gồm tỷ giá,

cung tiền M2, tỷ lệ lạm phát và lãi suất cho vay ngắn hạn đến giá cổ phiếu ngân hàng

trên thị trường chứng khoán Việt Nam. Tác gải đặt ra giả định là tỷ lệ lạm phát, tỷ giá

hối đoái và lãi suất ngắn hạn có sự tương quan nghịch với giá cổ phiếu ngân hàng trong

khi cung tiền M2 có tác động cùng chiều đến giá cổ phiếu ngành ngân hàng.

Kết quả cho thấy rằng tất cả các giả định đều thuận lợi và tác giả cũng phân tích tất cả

các yếu tố chi tiết hơn thông qua biểu đồ, cho thấy sự biến động trong từng tiêu chí trong

giá cổ phiếu ngân hàng. Cuối cùng nhưng không kém phần quan trọng, nghiên cứu này

một phần có thể góp phần vào việc nghiên cứu các vấn đề liên quan trên thị trường chứng

khoán và cung cấp những thông tin cần thiết cho các nghiên cứu trong tương lai.

Từ khóa: Tỷ lệ lạm phát, Cung tiền M2, Tỷ giá hối đoái, lãi suất tiền gửi ngắn hạn, giá

cổ phiếu ngành ngân hàng.

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DECLARATION

I, Phung Thien An, declare that this minor thesis on “The relationship between macro￾economic factors and bank stock price in Vietnam stock market from 2012 to the first

quarter of 2018” is a presentation of my original research work. Whether contributions

of others are involved, every effort is made to illustrate this clearly, with the reference

to the literature, and acknowledgement of collaborative research and discussions.

The thesis is for the partial fulfilment of the requirement for the degree of Bachelor of

Banking and Finance, and it is an original work.

It has not been summited earlier, either partly or wholly to any other University or

Institution has not been published in any other journal or magazine.

The work was done over the guidance of Lieu Cap Phu, MA at Banking University of

Ho Chi Minh, Vietnam.

[Author’s name and signature]

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ACKNOWLEDMENTS

I would first like to appreciate my thesis advisor Ms. Lieu Cap Phu of the Banking

Faculty at Banking Ho Chi Minh City. The door to Ms. Phu’s office was always open

whenever I ran into a trouble spot or had a question about my research or writing. She

persistently and consistently allowed this paper to be my work but steered me in the right

direction whenever she thought that it was of essence for me.

She has been the ideal thesis advisor. Her previous advice, insightful criticisms, and

gentle encouragement aided the writing of this thesis in countless ways.

I take this opportunity to express gratitude to all of the High-Quality Program

Department members for their great assistance. I would also like to thank my friends for

accepting nothing less than excellence from me.

Last but not least, I must express my profound gratitude to my family, especially my

parents for providing me with unfailing support and perpetual encouragement

throughout my years of study and through the process of researching and writing this

thesis. This accomplishment would not have been possible without them.

I also place on record, my sense of gratitude to one and all, who directly or indirectly,

have given their hand in this venture.

Wholeheartedly appreciate for all your stimulation and encouragement.

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TABLE OF CONTENT

ABSTRACT.............................................................................................................................................. i

TÓM TẮT................................................................................................................................................ ii

DECLARATION .................................................................................................................................... iii

ACKNOWLEDMENTS ......................................................................................................................... iv

LIST OF CHARTS ................................................................................................................................ vii

LIST OF FIGURES .............................................................................................................................. viii

LIST OF APPENDICES....................................................................................................................... viii

ABBREVIATIONS ..................................................................................................................................x

CHAPTER 1: THE OVERVIEW OF THE THESIS ................................................................................1

1.1. Research background .............................................................................................................1

1.2. Purpose of research.................................................................................................................2

1.3. Significance of research..........................................................................................................3

1.4. Object and scope of the study ................................................................................................3

1.5. Research questions..................................................................................................................4

1.6. Research methods....................................................................................................................4

1.7. Structure of the themes...........................................................................................................5

CONCLUSION OF CHAPTER 1.............................................................................................................7

CHAPTER 2: AN OVERVIEW OF SYSTEMATIC RISK AND MACROECONOMIC FACTORS

AFFECTING STOCK PRICES IN THE BANKING SECTOR...............................................................8

2.1. Systemic risk and factors that create systemic risk in stock investment.................................8

2.1.1. Risks .......................................................................................................................................8

2.1.2. Systematic risk in stock investment.....................................................................................9

2.2. Review of literature....................................................................................................................10

2.3. Macro-economic factors affect the price of bank stock..........................................................15

2.3.1. Inflation rate........................................................................................................................15

2.3.2. Money supply M2................................................................................................................15

2.3.3. Exchange rate (USD/VND).................................................................................................16

2.3.4 Short-term interest rate.......................................................................................................16

CONCLUSION OF CHAPTER 2...........................................................................................................17

CHAPTER 3: RESEARCH METHODS AND DATA BASIS ..............................................................18

3.1 Description of variables..............................................................................................................18

3.1.1 Dependent variable ..............................................................................................................18

3.1.2 Independent variable ...........................................................................................................18

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3.2 Methods for data processing and proposed research methods...............................................21

3.2.1. Methods for data processing ..............................................................................................21

3.2.2. Research methods................................................................................................................22

CONCLUSION CHAPTER 3.................................................................................................................25

CHAPTER 4: RESEARCH RESULTS ..................................................................................................26

4.1. Descriptive Statistics..................................................................................................................26

4.2. Measured results by ADRL model ...........................................................................................30

4.2.1. Unit-root Test ......................................................................................................................31

4.2.2. Latency selection for ARDL model....................................................................................33

4.2.3. Bound Test...........................................................................................................................34

4.2.4. Model estimation in the long run.......................................................................................35

4.2.5. Short-term model estimation .............................................................................................37

4.2.6. Defects verification of the model........................................................................................38

4.2.7. Stability test of the model ...................................................................................................39

4.2.8. Granger causality test.........................................................................................................41

4.3. Overview of the results ..............................................................................................................42

4.3.1. Money Supply M2 ...............................................................................................................42

4.3.2. Exchange rate ......................................................................................................................43

4.3.3. Inflation rate........................................................................................................................43

4.3.4. Short-term interest rate......................................................................................................43

CONCLUSION OF CHAPTER 4...........................................................................................................44

CHAPTER 5: CONCLUSIONS AND RECOMMENDATIONS ..........................................................45

5.1. Summary of the research...........................................................................................................45

5.2. Contributions of the research ...................................................................................................46

5.2.1. Research contributions and its significance......................................................................46

5.2.2. Recommendations for investors, bank executives and policy makers............................46

5.3. Limitations of research and suggestions for future research.................................................48

CONCLUSION OF CHAPTER 5...........................................................................................................51

GENERAL CONCLUSION ...................................................................................................................52

REFERENCES........................................................................................................................................53

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LIST OF CHARTS

Chart 4.1: Descriptive statistics of variables................................................................. 25

Chart 4.2: Fluctuations in LM2 and LG........................................................................ 26

Chart 4.3: Fluctuations in Exchange rate and Bank Stock Price .................................. 27

Chart 4.4: Fluctuations in Inflation rate and Bank Stock Price .................................... 27

Chart 4.5: Fluctuations in Short-term interest rate and Bank Stock Price .................... 29

Chart 4.6: Unit-root Test on variable ............................................................................ 31

Chart 4.7: The critical value of Unit-root test............................................................... 31

Chart 4.8: ARDL Model (1,0,0,1,1).............................................................................. 33

Chart 4.9: Long-term Relationship Test ....................................................................... 34

Chart 4.10: Long-term Coefficient................................................................................ 35

Chart 4.11: Short-term Coefficient ............................................................................... 36

Chart 4.12: The variables are statistically significant in the short run.......................... 36

Chart 4.13: Causality tests............................................................................................. 38

Chart 4.14: Results of Granger Causality Test ............................................................. 40