Impact of Macroeconomic Factors on Share Price Index in Vietnam’s Stock Market

Duy, Vuong Quoc; Hau, Le Long

doi:10.9790/1813-0601025259

Cited by 7 publications

(9 citation statements)

References 3 publications

(3 reference statements)

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“…inflation, a positive and. long term effect of money supply and a positive and long term effect of government expenditure except for the insurance sector, Duy and Hau (2017), investigate the macroeconomic determinants of share price in the stock market of Vietnam. The investigation was conducted using a VECM econometric methodology and revealed that Vietnam's stock market prices are chiefly determined by economic activities: market price index, inflation, money supply and exchange rate.…”

Section: Review Of Previous Studiesmentioning

confidence: 99%

“…These studies were carried out in Kuwait and Europe respectively and indicated a long run relationship between stock price movement and the selected macroeconomic variables. Ramadan (2016) and Duy and Hau (2017), carried out in Jordan and Vietnam respectively found that while interest rate has a negative effect on stock prices, money supply has a positive effect. Emmanuel (2018) carried out in Nigeria show that money supply and interest rate has statistically significant effect on stock prices.…”

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confidence: 99%

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Macroeconomic Determinants of Stock Price in Nigeria

2019

EJBM

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This Study examined the macroeconomic determinants of stock price in Nigeria; using time series data from 1981 to 2017. Data for the study were sourced from the Central Bank of Nigeria Statistical Bulletin. The method adopted in the analysis of data was the Ordinary Least Square (OLS) technique. The results of the estimates showed that the macroeconomic variables have long run relationship with stock price in Nigeria; specifically, the Treasury bill rate has negative impact on stock price in the long run, while Exchange rate, Gross national income and Inflation have positive relationship with stock price in the long run. Recommendations made include, aggressive export diversification by the government and strengthening of demand management measures. Recent studies on the macroeconomic determinants of stock prices in Nigeria include; Al-shami and Ibrahim (2013) and Masuduzzaman (2012). These studies were carried out in Kuwait and Europe respectively and indicated a long run relationship between stock price movement and the selected macroeconomic variables. Ramadan (2016) and Duy and Hau (2017), carried out in Jordan and Vietnam respectively found that while interest rate has a negative effect on stock prices, money supply has a positive effect. Emmanuel (2018) carried out in Nigeria show that money supply and interest rate has statistically significant effect on stock prices. Udoka , Nya and Bassey (2018) and Malaolu, Ogbuluafor and Orji (2013) all carried out in Nigeria showed no long run relationship between stock price and the macroeconomic variables. There are mixed results from the studies carried out in Nigeria. This may have been due to variations in the choice of methodology by the different studies.This study therefore seeks to evaluate the macroeconomic determinants of stock price in Nigeria. The remainder of this paper is organised as follows; Section two discusses the literature on macroeconomic determinants of stock price. Section three lays out the analytical framework and econometric methodology. Section four reports the results while section five concludes.

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Section: Review Of Previous Studiesmentioning

confidence: 99%

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confidence: 99%

Macroeconomic Determinants of Stock Price in Nigeria

2019

EJBM

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“…However, some research results in various countries show that these factors can be the same or not the same as other countries. Even in the same country, but the results will be different when the researcher is at different stages [5].During the period January 2022 -June 22, 2022, the movement of the stock price index for the Basic and Chemical Industry sector on the Indonesia Stock Exchange experienced fluctuations every month. This gives an idea that the movement of the stock price index is unstable due to the Covid-19 pandemic which has increased during the 2020-2021 period, resulting in investors panicking to sell or buy shares in the capital market.…”

Section: Introductionmentioning

confidence: 99%

Effect Of Inflation, Exchange Rates, And Trading Volume Activity On Stock Price Indices During The Covid-19 Pandemic On Companies In The Basic Industry And Chemical Sectors

Ervina

Azwar

Susanti

et al. 2022

International Journal of Science, Technology & Management

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Covid-19 has an impact on the economy, where ADB decreased with estimates in Asian Developing Countries by 3.0 ppts to 2.2%, and for ASEAN by 3.7 ppts to 1.0% (ASEAN, 2020). In addition, one of the indicators that shows that the occurrence of stock market movements, can be seen through the country's stock price index. The Composite Stock Price Index (JCI), which is one of the benchmarks for the Indonesian stock market, on March 5, 2020 was at 5,638.13 and experienced a low on March 24, 2020 at 3,937.63. This study aims to determine the effect of inflation, exchange rate, and TVA on the stock price index in the basic and chemical industry sectors, which in this case uses data in the period January 2020 -June 2022, namely the period where the stock price index of the basic industry and chemical sectors shows a downward trend in April 2020 and November 2020. The sampling technique used in this study was purposive sampling samples so that 64 Companies in the Basic and Chemical Industries Sector were obtained listed on the IDX. The data analysis technique used in this study uses descriptive statistical analysis to describe the data that has been collected. The results of the study for the F test showed that inflation, exchange rates and TVA had a positive and significant effect on the stock price index. While the results of the t-test show that inflation has a positive and insignificant effect, the exchange rate has a positive and significant effect on the stock price index, and TVA has a negative and insignificant effect on the stock price index.

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“…By using the VECM model, (Duy, 2016) studied the impact of macroeconomic factors on the stock price index through Vietnam's stock market, the VN-Index stock price. Six indicators, including the consumer price index (CPI), industrial production indices, interest rates, the VND/USD exchange rate, retail oil prices, and gold prices, were examined.…”

Section: Analyzing Impact Of Factors On Stock Market In Various Count...mentioning

confidence: 99%

“…On the contrary, the rest of the indicators, along with the consumer price index, interest rates, exchange rate, and gold prices, negatively affected the VN-Index stock price. According to (Duy & Hau, 2017), the money supply had a positive relationship with the VN-Index. On the other hand, the index had negative relationships with exchange rates and inflation.…”

Section: Analyzing Impact Of Factors On Stock Market In Various Count...mentioning

confidence: 99%

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

Sangsawai

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The study provides an analysis of the Vietnamese stock market using statistical and machine learning models. The dataset shows that all features have a positive linear relationship with the VN Index, but exhibit different scales and degrees of skewness. The Augmented Dickey-Fuller (ADF) unit root test was conducted to identify whether the variables were stationary or non-stationary, and most variables were transformed into stationary data through first differencing. The OLS method was used to construct a short run model, and the results indicated that only three variables, namely CPI, exchange rate, and S&P500 index, exhibited statistical significance. The ARDL Bound test was conducted, and the results indicated that there is a long-run relationship between the variables under consideration, and the results indicated that only three variables, namely CPI, GDP, and S&P500 index, exhibited statistical significance. The decision tree, random forest, and XGBoost models were used to study�short and long run relationships. The findings suggest that the random forest model performed the best�in the short run, while the XGBoost model performed the best in the long run. The three statistically significant variables of both OLS and ARDL were ranked as the top-three influential variables on Random Forest and XGBoost, respectively.

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Impact of Macroeconomic Factors on Share Price Index in Vietnam’s Stock Market

Cited by 7 publications

References 3 publications

Macroeconomic Determinants of Stock Price in Nigeria

Macroeconomic Determinants of Stock Price in Nigeria

Effect Of Inflation, Exchange Rates, And Trading Volume Activity On Stock Price Indices During The Covid-19 Pandemic On Companies In The Basic Industry And Chemical Sectors

Analyzing impact of economic indicators on Vietnam stock market with machine learning techniques

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