Credit growth, macroeconomic factors and ftock performance the case of hose 2002 2010

UNIVERSITY OF ECONOMICS INSTITUTE OF SOCIAL STUDIES HO CHI MINH CITY THE HAGUE VIETNAM THE NETHERLANDS VIETNAM - NETHERLANDS PROGRAM FOR M.A IN DEVELOPMENT ECONOMICS CREDIT GROWTH, MACROECONOMIC FACTORS AND STOCK PERFORMANCE: THE CASE OF HOSE 2002-2010 A thesis submitted in partial fulfillment of the requirements for the degree of MASTER OF ARTS IN DEVELOPMENT ECONOMICS By NGUYEN THI NGOC HAN Academic supervisors Dr PHAM HOANG VAN Dr NGUYEN TRONG HOAI HO CHI MINH CITY, MARCH 2011 TABLE OF CONTENT INTRODUCTION -4 LITE Y TJJ EW : N EpT J j 2.2 THEORETICAL LITERATURE -11 2.3 EMPIRICAL LITERATURE 17 TJ-((()()L() ; - - RESEARCH METHODS -26 DATA DESCRIPTION -35 DATA ANALYSIS 37 RESULT ANALYSIS: -41 DESCRIPTIVE ANALYSIS -41 STATIONARY PROPERTY OF TIME-SERIES DATA -44 BIVARITATE RELATIONSHIPS: EG APPROACH & GRANGER CAUSALITY -45 MULTIVARIATE RELATIONSHIP: JJ PROCEDURE, VECM, VARIANCE DECOMPOSITION & IMPULSE RESPONSE FUNCTIONS 48 5.1 5.2 5.3 ABSTRACT The paper analyzes the dynamic interactions among credit growth, some fundamental macroeconomic factors (exchange rate, inflation, industrial production, interest rate, gold price) and the performance of Vietnam Ho Chi Minh Stock Exchange using time series econometrics of cointegration and causality tests In the analysis, we explore further with VAR-based variance decomposition and impulse response functions to capture the direct and indirect effects of ' innovations in one variable and other ones in the same model The interesting results come out with negative reaction of stock price to credit growth in first 11 months of study period before any reverse trend occurs And then it will still remain the sign in longer term However, it seems no significant evidence to prove the positive short-run impact of credit rate on stock price increase So Interest subsidy policy after global crisis (2008) is not the major reason to rescue equity market In addition, the variation of key variables including interest rate, inflation and exchange rate has significant impacts on stock volatility in long run One important policy implication is that authorities should be cautious in implementing monetary policies exposed to inflation risk as it has a consistent adverse influence on stock change in both short and long term Keywords: Credit growth, Macro-economics, Stock performance and Impulse Response Function CHAPTER 1: INTRODUCTION 1.1 Research context: Ho Chi Minh Stock Exchange (HOSE), formerly HOSTC, is the older of the two stock exchanges in Vietnam Established on 20 July of 2000, it started operation on 28 July in the same year The trading system of all stocks listed in HOSE is under the control of State Securities Commission (SSC) HOSE runs as a state-owned one member limited liability company with one-billion VND of chartered capital At the very beginning, there were only two listed firms, namely REE and SACOM traded two days per week From March 2002, market traded daily with two order-matching sessions Till 31 December 2007, 138 stocks were listed and traded five days per week through a fully-computerized trading system, Automatic Order-Matching and Put- Through Trading system In general, the total capitalization in HOSE accounts for over 40% GDP During operating time, Vn-Index had a sharp fluctuation peak to 137 in February of 2007 and then turned down sharply, which shocked almost investors and policy authorities According to some former studies, the root cause is originated from market participant’s over-expectation on booming price Despite HOSE’s certain achievements over year, it is still fragile due to its own high risk, big price volatility and poor trading system As one of Asian emerging markets, HOSE has experienced ups and downs because of the significant influences from external and internal factors In reality, many controversial problems signal the market inefficiency and instability in - terms of information asymmetry, a weak legal framework, the lack of transparency in financial reporting, too much Government intervention in trading transactions and herding investor behaviors Indeed, these weaknesses are the challenges of Vietnam economy towards financial liberalization process Thus, HOSE in particular or Vietnam stock exchange in general hopefully will develop into a strongly efficient capital-raising channel in the near future In the development period, the required tasks for policy makers from now on is to more qualified researches on Vietnam stock market and prevailing problems for timely adjustment Observing the economic changes since 2002, the rapid domestic credit has grown by nearly 10 times, from about hundred thousand up to more than million billion dong Simultaneously, stock market boomed aggressively in 2007 when VN Index created history (Figure 1.1) And the question whether these two factors have any links has raised the interest in further estimation Then its empirical result below can explain the relationship between domestic • credit growth and stock volatility, especially in the period right after the peak in 2007 until the broadening monetary policy in 2009 Figure 1.1: VN-Index & Credit aggregate in 2002M1-2010M3 VNINDEX 1,200 1,000 600 400 200 2002 2003 , , , , , , , , , , , , , , , , 2004 2005 2006 2007 2008 ' 2009 DOMESTIC CREDIT 2,400,000 2,000, 000 1,600,OOO 1,200,000 400000 2002 2003 2004 2005 2006 Sources.‘ IMF (2010j 2007 2008 2009 Let’s discuss more about Vietnam economic background and why credit growth accelerated the period prior to 2008 A relevant update from World Bank (2007) gave some explanation related to the so-called “Impossible trinity” of simultaneously maintaining nearly fixed foreign exchange, independent monetary policy and an open capital account Under this implementation, the incident following increasing capital inflows was foreign exchange depreciation or domestic currency appreciation that kept appealing more investors The economy was put in a challenge of excess liquidity Due to its negative impact on Vietnam competitiveness of export and growth slow-down, the Government intervened by purchasing foreign exchange and selling securities Then it moved foreign exchange market much flexibly However, the foreign reserve accumulation and VND appreciation forced SBV to choose monetary and credit expansion in term of sterilization This also hid potential exposure to inflation and then unpredictable capital outflows, most seriously a crisis (2008) when the stock value returned its real value So it raises the interest in finding the real impact of credit growth on stock performance scientifically over the period which will be presented in the following parts 1.2 The scientific challenge: The research will discover whether credit shocks have significantly affected HOSE performance Particularly, the credit growth under interest support program in 2009 aimed at economic stimulation after global crisis in 2008 And thesis also generalizes how lagged length between credit growth and stock price reaction would be Further estimation will uncover which of key macroeconomic and trend variables has remarkably influenced on stock price in both short and long run since 2002 Based on the empirical result, stock investors, academic economists and authorities can refer to the findings for their own decision-making However, some existing limitation of data and quantitative tools to interpret it in economic meaning are necessary for further research then 1.3 Goal and objectives of the research: The overall goal of the project is to provide scientific results as trustworthy references for stock investors And then it gives some appropriate policy recommendations related to credit applicable for the development of Ho Chi Minh Stock Exchange and Vietnam economy as a whole To meet the goal, the first specific objective of the research is to identify the cointegration and causality of domestic credit growth to HOSE’s performance Next is to analyze , the lag length between the prominent change in some monetary policies and its impact on stock price market over 2002-2010 Especially and specifically, how Decision 131-2009-QDTTg on Interest Rate Support for Organizations to expand their Production and Business affected stock price will be discussed in the paper By application of VAR and monetary transmission mechanism (MTM), the research functions forecasting the stock volatility The second objective is to explain more about interactions among credit growth, other key macroeconomic indicators and HOSE index The testing will identify how significant and which relationships, negative or positive, each independent macro-variables impact on the dependent stock price The last is to give some recommendation for both stock exchange managers and government policy makers 1.4Research Ouestions: In order to achieve the above objectives, let’s try to answer the following questions: Is there any relationship between credit growth rate and stock price index in longterm as well as short-term? Among potential substitute investment channels via foreign exchange, gold, money and overseas stock markets, does domestic interest rate have the immediate effect on the stock price variation? Associated with credit, are all selective macroeconomic factors necessary for forecasting HOSE price change in the long-run? If yes, what is the sign of individual relationship between stock price and the others? 1.5 Structure of the thesis: The thesis will follow introduction section with four other chapters Chapter reviews the applicable theories of stock price determination as well as empirical studies about the relationship between security index and macro-economic indicators Chapter describes research methodology including data collection, variables of interest, econometric model together with empirical procedures Chapter analyses the research results according to methods recommended previously It answers the thesis hypotheses whether the causality of Credit growth to stock price change exists, which market the main substitute for stock investment • channel is and whether other macro-variables have significant impacts on stock variations And chapter closes the study with a conclusion, policy implication and opens with its limitation for further studies APPENDIX 3: MULTIVARIATE TESTS , JJ APPROACH: • DETERMINE THE ORDER OF INTEGRATION FOR THE VARIABLES Null Hypothesis: ECM1 has a unit root Exogenous: Constant, Linear Trend Lag Length: 11 (Automatic based on AIC, Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level t-Statistic Prob.“ -3.947859 -4.066981 -3.462292 -3.157475 0.0141 ”MacKinnon (1996) one-sided p-values , Augmented Dickey-Fuller Test Equation Dependent Variable: D(ECM1) Method: Least Squares Date: 12/30/10 Time: 10:56 Sample (adjusted): 2003M01 2010M03 Included observations: 87 after adjustments Variable Coefficient Std Error t-Statistic Prob ECM1(-1) D(ECM1(-1)) D(ECM1(-2)) D(ECM1(-3)) D(ECM1(-4)) D(ECM1(-5)) D(ECM1(-6)) D(ECM1(-7)) D(ECM1(-8)) D(ECM1(-9)) D(ECM1(-10)) D(ECM1(-11)) C @TREND(2002M01) -0.186577 0.346391 0.047592 0.101969 0.091889 0.105645 0.122548 -0.019568 0.103458 0.350883 -0.134166 0.352806 -0.037184 0.000681 0.047260 0.104757 0.110606 0.110718 0.110745 0.110672 0.110482 0.110547 0.111146 0.110677 0.116928 0.114841 0.030735 0.000507 -3.947859 3.306607 0.430284 0.920975 0.829736 0.954579 1.109214 -0.177014 0.930829 3.170326 -1.147425 3.072135 -1.209829 1.343983 0.0002 0.0015 0.6683 0.3601 0.4094 0.3429 0.2710 0.8600 0.3550 0.0022 0.2550 0.0030 0.2302 0.1831 R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) 0.327235 0.207427 0.114593 0.958611 72.65809 2.731337 0.003363 Mean dependent var S.D dependent var Akaike info criterion Schwarz criterion Hannan-Quinn criter Durbin-Watson stat 0.004020 0.128718 -1.348462 -0.951649 -1.188678 1.738339 • DETERMINE OPTIMAL LAG LENGTH • VAR Lag Order Selection Criteria Endogenous variables: LOGVNI LOGCR LOGFX LOGIP LOGINF Exogenous variables: C Date: 12/30/10 Time: 11:12 Sample: 2002M01 2010M03 Included observations: 87 • Lag LogL LR FPE AIC 10 11 293.2165 820.1318 868.4184 893.5716 914.5201 941.3349 974.0781 990.1025 1041.715 1096.418 1176.710 1234.140 NA 981.1527 84.36284 41.05460 31.78386 37.60235 42.15219 18.78731 54.57910 51.55883 66.44873 40.92691 9.12e-10 8.90e-15 5.24e-15 5.30e-15 5.98e-15 6.00e-15 5.38e-15 7.32e-15 4.57e-15 2.80e-15 1.02e-15 6.86e-16 -6.625666 -18.16395 -18.69927 -18.70280 -18.60966 -18.65138 -18.82938 -18.62305 -19.23484 -19.91766 -21.18874 -21.93425 12 1437.597 121.6062“ 1.83e-17“-26.03670”-17.39185“-22.55569“ HQ -6.483948 -17.31364 -17.14037 -16.43529 -15.63356 -14.96669 -14.43610 -13.52117 -13.42436 -13.39859 -13.96108 -13.99800 ” indicates lag order selected by the criterion LR: sequential modified LR test statistic (each test at 5% level) FPE: Final prediction error AIC: Akaike information criterion SC: Schwarz information criterion HQ: Hannan-Quinn information criterion • PERFORM MODEL (4) IN TESING FOR COINTEGRATION Date: 12/30/10 Time: 11:23 Sample (adjusted): 2003M02 2010M03 Included observations: 86 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: LOGVNI LOGCR LOGFX LOGIP LOGINF Lags interval (in first differences): to 12 Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue None“ At most ” At most 2” At most ” At most 0.640487 0.562672 0.363102 0.210918 0.088058 Trace Statistic 0.05 Critical Value Prob.“ 226.2046 138.2261 88.80380 63.87610 0.0000 0.0000 67.09801 42.91525 28.29941 7.927339 0.0000 25.87211 12.51798 0.0245 0.2577 96 -6.568601 -17.82155 -18.07155 -17.78974 -17.41127 -17.16766 -17.06034 -16.56868 -16.89514 -17.29263 -18.27839 -18.73857 • Trace test indicates cointegrating eqn(s) at the 0.05 level ” denotes rejection of the hypothesis at the 0.05 level "MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue None“ At most ” At most ” 0.640487 0.562672 0.363102 At most ” 0.210918 At most 0.088058 Max-Eigen Statistic 87.97847 71.12808 38.79860 20.37207 7.927339 0.05 Critical Value 38.33101 32.11832 25.82321 19.38704 12.51798 Prob.“” 0.0 06 0.03 77 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level ” denotes rejection of the hypothesis at the 0.05 level "MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'”S11”b=I): , LOGVNI 26.95665 -4.974890 7.850100 -8.131925 1.563508 LOGCR -45.07263 69.99231 -8.955620 26.22076 -52.05965 LOGIP -147.2082 45 90962 -237.5353 90.48496 -230.2615 LOGINF -428.4647 -935.7258 -511.5221 -1622.085 -100.6750 @TREND(02M02 ) 2.098256 -1.659460 3.289153 -1.155410 4.313688 -0.026844 0.001623 0.000630 -0.001815 0.001545 0.002214 0.000777 -0.000843 0.012140 0.000499 0.014325 -4.90E-05 -5 03E-05 -0.002030 0.000546 0.002298 0.000406 0.000620 0.001829 -6.98E-05 Log likelihood 1477.631 LOGINF -15.89458 (11.5875) @TREND(02M02 ) 0.077838 (0.02905) LOGFX 61.76776 -122.3262 -296.6714 -191.4207 -315.1325 Unrestricted Adjustment Coefficients (alpha): D(LOGVNI) D(LOGCR) D(LOGFX) D(LOGIP) D(LOGINF) 0.006026 0.004224 -0.001711 -0.009388 -0.000152 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) LOGVNI 1.000000 LOGCR -1.672041 (0.44643) LOGFX 2.291374 (3.03132) LOGIP -5.460922 (1.69544) Adjustment coefficients (standard error in parentheses) D(LOGVNI) 0.162434 (0.26659) D(LOGCR) 0.113872 (0.02350) D(LOGFX) -0.046126 (0.01621) D(LOGIP) -0.253071 (0.12532) 97 -0.018349 (0.00343) @TREND(02M01) -0.019354 (0.00108) -0.001098 (0.00040) -0.012291 (0.00067) 99 D(LOGINF) • Cointegratin g Equation(s): -0.004101 (0.01393) Log likelihood 1513.195 Normalized cointegrating coefficients (standard error in parentheses) 1.000000 LOGCR 0.000000 0.000000 1.000000 LOGVNI LOGFX -0.715956 (4.28909) -1.798598 (1.56819) LOGIP -4.952806 (2.15436) 0.303890 (0.78769) LOGINF -43.40673 (14.6557) -16.45423 (5.35847) @TREND(02M02 ) 0.043347 (0.03156) -0.020628 (0.01154) Adjustment coefficients (standard error in parentheses) D(LOGVNI) 0.295979 -2.150453 (0.22568) (0.68539) D(LOGCR) 0.105799 -0.076820 (0.02211) (0.06715) D(LOGFX) -0.049258 0.121190 (0.01610) (0.04890) D(LOGIP) -0.244040 0.296085 D(LOGINF) (0.12703) -0.011787 (0.01122) (0.38580) 0.114990 (0.03408) Cointegrating Equation(s): Log likelihood 1532.594 Normalized cointegrating coefficients (standard error in parentheses) LOGVNI 1.000000 LOGCR 0000000 LOGFX LOGIP LOGINF 0.000000 -4.496104 (0.95668) 1.451199 (0.40341) 0.637891 (0.10422) -42.66519 (12.3424) -14.59137 (5.20449) 1.035728 (1.34453) 1.000000 0.000000 0.000000 1.000000 @TREND(02M02 ) 0.036904 (0.01142) -0.036814 (0.00481) -0.008999 (0.00124) Adjustment coefficients (standard error in parentheses) D(LOGVNI) 0.313356 -2 170277 2.999174 (0.23440) (0.68831) (2.68643) D(LOGCR) 0.111900 -0.083779 -0.168126 (0.02255) (0.06622) (0.25843) D(LOGFX) -0.055878 0.128743 0.067499 (0.01601) (0.04702) (0.18353) D(LOGIP) -0.148740 0.187365 -3.959392 (0.11166) (0.32789) (1.27975) D(LOGINF) , -0.007868 110519 (0.01130) (0.03320) Cointegrating Equation(s): -0.346482 (0.12956) Log likelihood 1542.780 Normalized Cointegrating coefficients (standard error in parentheses) LOGVNI LO G C R L O G F X L O G I P LOGINF @TREND(02M02 ) • [-5.35683] [-17.8761] [-2.72451] [-18.3390] -4.206624 -12.37892 -9.696405 -11.44758 Error Correction: D(LOGVNI) D(LOGCR) D(LOGFX) D(LOGIP) D(LOGINF) CointEql 0.182765 (0.29495) [0.61964] 0.104828 (0.02990) [3.50556] -0.077807 (0.01859) [-4.18481] -0.110869 (0.14916) [-0.74328] -0.017411 (0.01480) [-1.17656] CointEq2 -1.711598 (1.00900) [-1.69633] -0.073643 (0.10230) [-0.71990] 0.194033 (0.06360) [3.05064] 0.044274 (0.51026) [0.08677] 0.162978 (0.05062) [3.21934| CointEq3 -0.049103 (5.53094) [-0.00888] -0.492841 (0.56075) [-0.87890] -0.676295 (0.34865) [-1.93975] -3.151095 (2.79706) [-1.12657] -0.460769 (0.27750) [-1.66041] CointEq4 -1.621589 (3.19464) [-0.50760] -0.870904 (0.32388) [-2.68894] 0.229814 (0.20138) [ 1.14121] -1.886704 (1.61557) [-1.16783] 0.052901 (0.16028) [0.33004| D(LOGVNI(-1)) -0.410936 (0.37026) [-1.10987] -0.132619 (0.03754) [-3.53294] 0.031921 (0.02334) [ 1.36767] 0.038695 (0.18724) [0.20665] 0.003300 (0.01858) [0 17765| D(LOGVNI(-2)) -0.620516 (0.33755) [-1.83829] -0.154399 (0.03422) [-4.51169] 0.042196 (0.02128) [ 1.98307] 0.162228 (0.17070) [0.95035] 0.003669 (0.01694) [0.21666] D(LOGVNI(-3)) -0.575867 (0.38412) [-1.49918] -0.156095 (0.03894) [-4.00823] 0.049452 (0.02421) [2.04232] 0.081377 (0.19425) [0.41892] 0.002756 (0.01927) [0.14299] D(LOGVNI(-4)) -0.308029 (0.36842) [-0.83608] -0.142179 (0.03735) [-3.80648] 0.041800 (0.02322) [ 1.79989] 0.106081 (0.18631) [0.56937] 0.004350 (0.01848) [0.23533] D(LOGVNI(-5)) -0.387038 (0.35318) [-1.09587] -0.151433 (0.03581) [-4.22921] 0.049843 (0.02226) [2.23882] 0.130096 (0.17861) [0.72839] 0.012645 (0.01772) [0.71361] D(LOGVNI(-6)) -0.379573 (0.33722) [-1.12560] -0.121199 (0.03419) [3.54504J 0.059508 (0.02126) [2.79946] 0.161906 (0.17054) [0.94940] 0.005833 (0.01692) [0.34472] D(LOGVNI(-7)) -0.184859 (0.29794) [-0.62045] -0.119830 (0.03021) [-3.96705] 0.053658 (0.01878) [2.85701] 0.120574 (0.15067) [0.80024] 0.012308 (0.01495) [0.82332] D(LOGVNI(-8)) -0.176856 (0.26370) [-0.67066] -0.081531 (0.02674) [-3.04959] 0.054830 (0.01662) [3.29845] 0.028513 (0.13336) [0.21381] 0.010486 (0.01323) [0.79252] D(LOGVNI(-9)) 0.146005 (0.23647) [0.61743] -0.067665 (0.02397) [-2.82237] 0.039708 (0.01491) [2.66379] 0.105067 (0.11959) [0.87858] 0.002338 (0.01186) [0.19702] « , , D(LOGVNI(-10)) -0.172480 (0.20799) [-0.82928] -0.044807 (0.02109) [-2.124901 0.016977 (0.01311) I 1.29488] 0.094862 (0.10518) [0.90189] 0.010813 (0.01044) [ 1.03616] D(LOGVNI(-11)) 0.321336 (0.16847) [ 1.90732] -0.035390 (0.01708) [-2.07195] 0.023383 (0.01062) [2.20181] -0.076163 (0.08520) [-0.89394] 0.004593 (0.00845) [0.54336] D(LOGVNI(-12)) -0.214491 (0.18610) [-1.15257] 0.004697 (0.01887) [0.24897] 0.019261 (0.01173) [ 1.64193] 0.040565 (0.09411) [0.43103] 0.008263 (0.00934) [0.88494] D(LOGCR(-1)) -3.005195 (1.17625) [-2.55490] -0.304744 (0.11925) [-2.55546] 0.104407 (0.07415) [ 1.40812] 0.347107 (0.59484) [0.58353] 0.014074 (0.05902) [0.23848] D(LOGCR(-2)) -1.988711 (1.25993) [-1.57844] -0.371706 (0.12774) [-2.90997] 0.076969 (0.07942) [0.96913] 0.303252 (0.63716) [0.47594] -0.046963 (0.06321) [-0.74291] D(LOGCR(-3)) -0.923949 (1.37813) [-0.67044] -0.263799 (0.13972) [-1.88806] 9.74E-05 (0.08687) [0.00112] 0.251499 (0.69694) [0.36086] -0.023991 (0.06914) [-0.34696] D(LOGCR(-4)) -0.843262 (1.12281) [-0.75103] -0.375433 (0.11383) [-3.29805] -0.024620 (0.07078) [-0.34785] 0.185157 (0.56782) [0.32608] -0.077074 (0.05633) [-1.36814] D(LOGCR(-5)) -0.757329 (1.20436) [-0.62882] -0.354250 (0.12210) [-2.90127] 0.057912 (0.07592) [0.76281] 0.611437 (0.60906) [ 1.00391] -0.033136 (0.06043) [-0.54837] D(LOGCR(-6)) 0.371874 (1.15464) [0.32207] -0.327859 (0.11706) [-2.80074] 0.023295 (0.07278) [0.32005] 0.483663 (0.58392) [0.82831] -0.084582 (0.05793) [-1.46003] D(LOGCR(-7)) 0.051440 (1.21582) [0.04231] -0.323840 (0.12326) [-2.62720] 0.042286 (0.07664) [0.55174] 0.011214 (0.61486) [0.01824] -0.061145 (0.06100) [-1.00235] D(LOGCR(-8)) -0.251862 (0.89530) [-0.28132] -0.264650 (0.09077) [-2.91567] 0.011041 (0.05644) [0.19563] 0.083544 (0.45276) [0.18452] -0.044636 (0.04492) [-0.99368] D(LOGCR(-9)) -0.198873 (0.83640) [-0.23777] -0.264599 (0.08480) [-3.12040] 0.082038 (0.05272) [ 1.55600] -0.022385 (0.42297) [-0.05292] -0.059098 (0.04196) [-1.40829] D(LOGCR(-10)) -0.148560 (0.83660) [-0.17758] -0.112395 (0.08482) [-1.32515] 0.066582 (0.05274) [ 1.26254J -0.104119 (0.42308) [-0.24610] -0.018876 (0.04197) [-0.44971] D(LOGCR(-11)) 0.278206 -0.174207 0.011566 -0.072858 -0.063008 (0.79680) (0.08078) (0.05023) (0.40295) (0.03998) [0.34915] [-2.15650] [0.23027] [-0.18081] [-1.57607] • * • D(LOGCR(-12)) 0.628667 (0.79776) [0.78804] -0.121203 (0.08088) [-1.49857] 0.009309 (0.05029) [0.18511] -0.749580 (0.40343) [-1.85800] -0.027436 (0.04003) [-0.68546] D(LOGFX(-1)) -0.909721 (3.99293) [-0.22783] -0.351997 (0.40482) [-0.86952] -0.110893 (0.25170) [-0.44058] 1.833175 (2.01927) [0.90784] 0.242399 (0.20034) [ 1.20996] D(LOGFX(-2)) -1.890496 (3.78554) [-0.499401 0.241267 (0.38379) I 62864] -0.013873 (0.23863) [-0.05814] 3.796509 (1.91439) [ 1.98314] 0.394246 (0.18993) [2.07572] D(LOGFX(-3)) 1.618905 (3.55834) [0.45496] 0.421550 (0.36076) [ 1.16852] 0.376542 (0.22431) [ 1.67870] -0.593109 (1.79949) [-0.32960] 0.047699 (0.17853) [0.26717] D(LOGFX(-4)) 3.088354 (3.97407) [0.77713] 0.866648 (0.40290) [2.15100] 0.063785 (0.25051) [0.25462] 1.847148 (2.00973) [0.91910] 0.319263 (0.19939) [ 1.60119] D(LOGFX(-5)) 9.681004 (5.28496) [ 1.83180] 0.349404 (0.53581) [0.65211] -0.223903 (0.33315) [-0.67209] 0.036187 (2.67267) [0.01354] -0.025915 (0.26516) [-0.09773] D(LOGFX(-6)) -0.830157 (4.35455) [-0.19064] 1.117382 (0.44148) [2.53100] 0.440217 (0.27450) [ 1.60373] 2.773438 (2.20214) [ 1.25943] -0.047185 (0.21848) [-0.21597] D(LOGFX(-7)) 9.193897 (4.93336) [ 1.86362] 1.678085 (0.50016) [3.35509] 0.006355 (0.31098) [0.02044] -5.528540 (2.49486) [-2.21597] -0.021689 (0.24752) [-0.08763] D(LOGFX(-8)) 5.991791 (6.07880) [0.98569] 1.198468 (0.61629) [ 1.94465] -0.287039 (0.38319) [-0.74908] -2.758664 (3.07412) [-0.89738] -0.452718 (0.30499) [-1.48436] D(LOGFX(-9)) 7.603669 (5.31628) [ 1.43026] 1.640180 (0.53898) [3.04310] -0.058307 (0.33512) [-0.17399] -4.698337 (2.68850) [-1.74757] 0.179894 (0.26673) [0.67443] D(LOGFX(-10)) 5.038174 (6.54854) [0.76936] 0.895355 (0.66391) [ 1.34860] -0.553377 (0.41280) [-1.34056] -2.869501 (3.31167) [-0.86648] -0.341384 (0.32856) [-1.03903] D(LOGFX(-11)) 1.730700 (3.84835) [0.44973] 1.240597 (0.39016) [3.17972] 0.454954 (0.24259) [ 1.87543] -4.910383 (1.94616) [-2.52312] 0.080463 (0.19308) |0.41673] D(LOGFX(-12)) 4.307334 (5.16908) [0.83329] 0.672324 (0.52406) [ 1.28292] -0.712015 (0.32584) [-2.18517] -3.614337 (2.61406) [-1.38265] -0.178590 (0.25935) [-0.68861] D(LOGIP(-1)) 1.099345 (3.10538) [0.35401] 0.816471 (0.31483) [2.59334] -0.237942 (0.19575) [-1.21553] 0.899981 (1.57043) [0.57308] -0.052089 (0.15581) [-0.33432] D(LOGIP(-2)) 0.999425 0.743175 -0.224675 0.736227 -0.041208 102 (2.85226) [0.35040] (0.28917) [2.57001J (0.17980) [-1.24961] (1.44242) [0.51041] (0.14311) [-0.28795] D(LOGIP(-3)) 0.762543 (2.59450) [0.29391] 0.660295 (0.26304) [2.51025] -0.206814 (0.16355) [-1.26455] 0.595332 (1.31207) [0.45374] -0.038682 (0.13017) [-0.29715] D(LOGIP(-4)) 0.681936 (2.30075) [0.29640] 0.588810 (0.23326) [2.52429] -0.178604 (0.14503) [-1.23149] 0.446096 (1.16351) [0.38340] -0.032042 (0.11544) [-0.27757] D(LOGIP(-5)) 0.566574 (2.04172) [0.27750] 0.517286 (0.20700) [2.49901] -0.169312 (0.12870) [-1.31553] 0.300371 (1.03252) [0.29091] -0.029562 (0.10244) [-0.28859| D(LOGIP(-6)) 0.423180 (1.77504) [0.23841] 0.446351 (0.17996) [2.48028] -0.142382 (0.11189) [-1.27249] 0.126721 (0.89766) [0.14117] -0.020508 (0.08906) [-0.23028] D(LOGIP(-7)) 0.270656 (1.52954) [0.17695] 0.368582 (0.15507) [2.37688] -0.119408 (0.09642) [-1.23846] -0.017998 (0.77350) [-0.02327] -0.018484 (0.07674) [-0.24086] D(LOGIP(-8)) 0.125568 (1.26580) [0.09920] 0.309430 (0.12833) [2.41118] -0.098017 (0.07979) [-1.22841] -0.174436 (0.64013) [-0.27250] -0.012542 (0.06351) [-0.19749] D(LOGIP(-9)) -0.031360 (1.02622) [-0.03056] 0.236590 (0.10404) [2.27398] -0.087727 (0.06469) [-1.35612] -0.348682 (0.51897) [-0.67187] -0.008425 (0.05149) [-0.16362] D(LOGIP(-10)) -0.233008 (0.77799) [-0.29950] 0.159956 (0.07887) [2.02798] -0.069533 (0.04904) [-1.41785] -0.487936 (0.39344) [-1.24019] -0.003408 (0.03903) [-0.08732] D(LOGIP(-11)) -0.381816 (0.54816) [-0.69654] 0.077262 (0.05557) [ 1.39026] -0.047884 (0.03455) [-1.38578] -0.656245 (0.27721) [-2.36732] -0.002522 (0.02750) [-0.09169] D(LOGIP(-12)) -0.534885 (0.38141) [-1.40240] 0.015696 (0.03867) [0.40590] -0.021173 (0.02404) [-0.88066] 0.180243 (0.19288) [0.93447] 0.003167 (0.01914) [0.16550] ³ D(LOGINF(-1)) 4.604885 5.385671 0.523257 -8.106614 1.670924 (16.3164) (1.65421) (1.02853) (8.25139) (0.81864) [0.28222] [3.255731 [ 0.50874] [-0.98245] [2.04109] D(LOGINF(-2)) 5.872910 (17.1595) [0.34225] 4.697573 (1.73969) |2.70024] -0.270220 (1.08167) [-0.24982] -7.724194 (8.67776) [-0.89011] 1.274987 (0.86094) [ 1.48092] D(LOGINF(-3)) 8.932983 (15.0527) [0.59345] 4.201101 (1.52609) [2.75284] 0.345202 (0.94887) [0.36380] -7.118608 (7.61233) [-0.93514] 1.445109 (0.75524) [ 1.91344] D(LOGINF(-4)) 12.53913 (14.7840) 3.943254 (1.49885) -0.454018 (0.93193) -5.169879 (7.47643) 0.991726 (0.74176) [ 0.84816] [ 2.63085] [-0.48718] [-0.69149] [ 1.33700] 12.20863 (12.4677) 3.961445 (1.26402) -0.486716 (0.78592) -5.434146 (6.30505) 1.153914 (0.62554) [0.97922] [ 3.134011 [-0.61930] [-0.86187] [ 1.84466] D(LOGINF(-6)) 10.90213 (12.6486) [0.861921 2.916605 (1.28236) [ 27440] -0.489143 (0.79733) [-0.61348] -4.715190 (6.39657) [-0.73714] 0.912750 (0.63462) [ 1.43826] D(LOGINF(-7)) 11.12739 (11.8541) [0.93870] 3.149687 (1.20180) [2.62080] 0.281754 (0.74724) [0.37706] -3.691632 (5.99473) [-0.61581] 0.857635 (0.59475) [ 1.44200] D(LOGINF(-8)) 7.054014 (11.6630) [0.60482] 3.383082 (1.18243) [2.86113] 0.001522 (0.73519) [0.00207] -4.439553 (5.89809) [-0.75271] 0.550414 (0.58517) [0.94061] D(LOGINF(-9)) 2.581023 (10.1264) [0.25488] 3.420943 (1.02665) [3.33214] -0.508508 (0.63833) [-0.79662] -3.935180 (5.12105) [-0.76843] 0.505880 (0.50807) [0.99568] D(LOGINF(-10)) -6.558467 (8.70802) [-0.75315] 2.318033 (0.88285) [2.62563] -1.058940 (0.54892) [-1.92912| -2.686037 (4.40375) [-0.60994] 0.214136 (0.43691) [0.49012] D(LOGINF(-11)) -16.90035 (6.87826) [-2.45707] 1.626411 (0.69734) [2.33230] -0.404254 (0.43358) [-0.93236] -1.249101 (3.47841) [-0.35910] 0.168962 (0.34510) [0.48960] D(LOGINF(-12)) -7.715626 (4.99872) [-1.54352] 0.645912 (0.50679) [ 1.27452] -0.157463 (0.31510) [-0.49972] -1.434891 (2.52791) [-0.56762] 0.007339 (0.25080) [0.02926] 0.126533 (0.12408) [ 1.01975] 0.061308 (0.01258) [4.87351] -0.000377 (0.00782) [-0.04822] 0.034451 (0.06275) [0.54903] 0.011508 (0.00623) [ 1.84843] 0.063118 (0.22320) [0.28279] 0.012573 (0.02263) [0.55561] 0.037556 (0.01407) [2.66930] -0.007088 (0.11287) [-0.06280] 0.011663 (0.01120) [ 1.04149] 0.901364 0.580796 0.122593 0.078292 2.811776 159.7604 -2.180474 -0.296905 0.012365 0.120922 0.939297 0.742012 0.001260 0.007938 4.761112 356.6011 -6.758165 -4.874597 0.021165 0.015627 0.905500 0.598375 0.000487 0.004935 2.948309 397.4680 -7.708559 -5.824990 0.002471 0.007788 0.999328 0.997145 0.031352 0.039593 457.7835 218.3942 -3.544052 -1.660483 0.022217 0.741043 0.952820 0.799484 0.000309 0.003928 6.213940 417.0963 -8.165029 -6.281460 -1 70E-05 0.008772 D(LOGINF(-5)) VECM(-1) R-squared Adj R-squared Sum sq resids S.E equation F-statistic Log likelihood Akaike AIC Schwarz SC Mean dependent S.D dependent Determinant resid covariance (dof adj.) Determinant resid covariance Log likelihood Akaike information criterion 1.88E-19 1.28E-22 1557.588 -27.99042 104 Schwarz criterion -17.88764 VARIANCE DECOMPOSITION: Variance Decomposition of LovVNI Period S.E LOGVNI LOGFX LOGIP LOGINF LOGCR 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 0.095943 0.141403 0.187508 0.222806 0.255076 0.289373 0.320693 0.344847 0.366958 0.402569 0.447893 0.504008 0.544043 0.574222 0.594290 0.606115 0.614056 0.619420 0.625502 0.629988 0.635805 0.643144 0.647837 0.652040 100.0000 91.61813 72.76317 58.57799 52.56854 46.04687 41.25959 39.66272 39.12135 40.68694 40.36599 39.06269 37.32626 36.26160 35.35209 34.63218 33.89421 33.43900 33.24324 33.27937 33.22694 32.73312 32.60354 32.28899 0.000000 1.594643 2.802025 4.148725 4.585025 7.372397 7.442812 6.583556 5.908475 4.909644 4.354963 3.676304 3.166280 2.854593 2.665287 2.588216 2.521800 2.510008 2.903133 3.141263 3.934264 5.422308 6.181510 7.060688 0.000000 2.554732 5.691089 7.823025 9.753871 11.72539 13.49692 13.80671 13.74501 13.35039 13.48887 14.26341 15.66539 16.79241 17.39614 17.55724 17.57560 17.47855 17.29149 17.13413 16.96289 16.77907 16.63275 16.43010 0.000000 0.831528 11.26752 19.74914 21.28578 22.49420 26.06723 27.41915 27.07634 27.05591 29.01251 31.40951 32.37672 32.43052 32.38612 32.21791 31.88048 31.50067 30.91621 30.47782 29.94488 29.27574 28.87409 28.60622 0.000000 3.400962 7.476196 9.701119 11.80679 12.36115 11.73345 12.52786 14.14883 13.99711 12.77767 11.58808 11.46535 11.66087 12.20036 13.00445 14.12791 15.07178 15.64592 15.96742 15.93102 15.78975 15.70812 15.61400 Variance Decom pos ition of LOGVNI Variance Decom pos ition of LOGCR 100 80 80 - 60 - 60 40- 40- ‘ 10 12 14 16 18 20 22 24 LOGVNI LOGIP LOGCR LOGVNI LOGFX LOGINF LOGIP LOGCR LOGINF LOGFX Variance Decom pos ition of LOGIP Variance Decom pos ition of LOGFX 100 10 12 14 16 18 20 22 24 100 80 60 40- 20 ' ' ‘ LOGVNI LOGIP LOGCR LOGINF LOGFX 40 10 12 14 16 18 20 22 24 LOGCR LOGINF LOGVNI LOGIP Variance Decom pos ition of LOGIN F — LOGVNI LOGIP 10 12 14 16 18 20 22 24 10 ' 12 ' 14 16 18 20 22 ‘ 24 LOGFX LOGCR LOGINF LOGFX IMPULSE RESONSE FUNCTION: Response of LoaVNI Period LOGVNI LOGFX LOGIP LOGINF LOGCR 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 0.095943 0.095467 0.085229 0.059133 0.071579 0.065993 0.062248 0.068802 0.074252 0.115143 0.122635 0.135097 0.106069 0.095322 0.072740 0.048719 0.023934 0.022270 0.042025 0.044897 0.047310 0.032805 0.037937 0.021077 0.000000 0.017856 0.025813 0.032778 0.030392 0.056482 0.038485 0.013215 0.011274 -0.000652 -0.027924 -0.024542 -0.005740 -0.006389 -0.000901 -0.009757 0.000581 -0.011027 -0.041571 -0.033296 -0.058626 -0.080773 -0.059286 -0.063841 0.000000 0.022601 0.038602 0.043389 0.049626 0.058926 0.063736 0.050380 0.045715 0.055921 0.073647 0.095774 0.100670 0.094883 0.077911 0.055329 0.042075 0.028115 0.024323 0.018691 0.023860 0.028841 0.020060 0.006880 0.000000 -0.012894 -0.061606 -0.076436 -0.063603 -0.070616 -0.089290 -0.076145 -0.062079 -0.085947 -0.119809 -0.146923 -0.126656 -0.105374 -0.086303 -0.063082 -0.043003 -0.025535 -0.009924 0.001177 -0.009463 -0.006549 0.009375 0.020951 0.000000 -0.026077 -0.044142 -0.046769 -0.053536 -0.051661 -0.041428 -0.053206 -0.064455 -0.060262 -0.054305 -0.061672 -0.067074 -0.067186 -0.068116 -0.068454 -0.074136 -0.067499 -0.058203 -0.046446 -0.032070 -0.030182 -0.024778 -0.021406 107 Response of LOGVNI to Choles ky One S.D Innowtions Respons e of LOGFX tO C holes ky One S.D Innovations 15 LOGVNI LOGINF LFX LOGIP 10 12 14 16 18 20 22 24 LOGVNI LOGINF LOG FX LOGCR LOGIP LCR Response of LOGIP to Cholesky One S.D Innovations Response of LOGINF to Choles ky One S.D Innovations -004 8 10 12 14 16 18 20 22 24 10 12 14 16 18 20 22 24 LOGVNI LOGINF LOGFX LOGCR LOGIP LOGVNI LOGFX LOGIP LOGINF Res ponse of LOGCR to Choles ky One S.D Innovations 04 LOGVNI LOGINF LOGFX LOGCR LOGIP LOGCR ... necessary for forecasting HOSE price change in the long-run? If yes, what is the sign of individual relationship between stock price and the others? 1.5 Structure of the thesis: The thesis will follow... test the relationship between HOSE stock performance and Credit growth rate (2002- 2010) As the routine VAR assumes both lags of independent and dependent variable are the same This kind of selection... several measures of stock performance and each includes its own characteristics and benefits during an analysis of returns In order to understand stock performance of HOSE in Vietnam, the thesis will