Development of Vietnamese stock market: Influence of domestic macroeconomic environment and regional markets

Abstract

This study has analysed the role of the domestic economic environment and regional markets (Thailand, Japan, Hong Kong and China) in explaining the dynamics of Vietnamese stock market. In so doing, we employed a time‐varying structural vector autoregression framework which accounts for time variations (in coefficients as well as in the variance–covariance matrix of innovations) on the data from July 2000 to December 2016. Our key findings suggested that the easing of monetary and credit conditions, stable and stronger currency and economic growth have played a significant and positive role in the development of the stock market in Vietnam. Inflation shocks did have a negative impact which implied that in policy setting the price stability is very important for the financial stability in Vietnam. The Vietnamese stock market is also heavily influenced by the regional markets, as there is strong evidence of co‐movement. However, it was also witnessed that despite having a similar direction of impact and co‐movement, different markets have an influence of different degrees and intensity on the Vietnamese stock market. Lastly, we also witnessed that as compared to the Global Financial Crisis, the recent periods showed comparatively lesser responsiveness. This could be associated with the intensive reaction during the period of financial turmoil as well as with an increase in the stability of the Vietnamese stock market as it matures.

Stock return drivers: a mix of reasons and emotions

“…Second, the irrational factors increased their importance by explaining ETF portfolios during the European debt crisis. Our work is substantially different from that of Nasir et al (2018, 2021) and Thampanya et al (2020) in that it focuses on explaining rational and irrational factors that affect the two prominent strategies: value and momentum, similar to Asness et al (2013). Asness et al (2013) show that value and momentum anomalies work in different asset classes and financial markets worldwide.…”

“…Second, it studies the goodness-of-fit of rational and irrational factors before, during and after a financial crisis. As Nasir et al (2018Nasir et al ( , 2021 reported, they analyze the influence of the domestic economic environment such as inflation, the exchange rate, interest rates and economic growth. They find that the global financial crisis is a gamechanger, and there is an intensive response during the period of financial turmoil.…”

Macroeconomic Multivariate Statistics and Regionalization Management Strategy Based on Random Matrix

“…If the expected return is higher than the average return, it is called investors' bullish expectations, and conversely, it is called investors' bearish expectations [7]. Even though the exact value of this average return expectation cannot be determined and is not considered, it does exist [8].…”

Debt Financing and Firm Performance: Evidence from Vietnam

“…Vietnamese capital market fails to play the full role of a capital channel in the country since it remains young (Nasir, 2021). As a result, the banking system becomes the principal financing source for its firms (Chau et al, 2018).…”

“…Vietnam -a developing country with a strong presence of stateowned enterprises (SOEs), a less robust regulatory and legal environment, and rampant corruption -may be a typical case of countries of this type. Vietnamese capital market fails to play the full role of a capital channel in the country since it remains young (Nasir, 2021). As a result, the banking system becomes the principal financing source for its firms (Chau et al, 2018).…”