2 BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC NGOẠI THƯƠNG *** BÁO CÁO TỔNG KẾT CÔNG TRÌNH THAM GIA XÉT GIẢI THƯỞNG “SINH VIÊN NGHIÊN CỨU KHOA HỌC” NĂM 2023 FACTORS INFLUENCE ON THE VNI STOCK MARKET AND REC[.]
BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC NGOẠI THƯƠNG *** BÁO CÁO TỔNG KẾT CƠNG TRÌNH THAM GIA XÉT GIẢI THƯỞNG “SINH VIÊN NGHIÊN CỨU KHOA HỌC” NĂM 2023 FACTORS INFLUENCE ON THE VNI STOCK MARKET AND RECOMMENDATIONS FOR FOREIGN INVESTORS Thuộc nhóm ngành: Khoa học tự nhiên BỘ GIÁO DỤC VÀ ĐÀO TẠO TRƯỜNG ĐẠI HỌC NGOẠI THƯƠNG *** BÁO CÁO TỔNG KẾT CƠNG TRÌNH THAM GIA XÉT GIẢI THƯỞNG “SINH VIÊN NGHIÊN CỨU KHOA HỌC” NĂM 2023 FACTORS INFLUENCE ON THE VNI STOCK MARKET AND RECOMMENDATIONS FOR FOREIGN INVESTORS Sinh viên thực hiện: Trần Hoài An Nam/ Nữ: Nữ Bùi Thị Thùy An Phạm Ngọc Anh Nguyễn Đặng Hồi Thương Nguyễn Đào Ngọc Bích Dân tộc: Kinh Lớp, khóa học: K59CLC3/ K59CLC5 Ngành học: Kinh tế đối ngoại Người hướng dẫn chính: Tiến sĩ Nguyễn Quỳnh Hương Năm thứ: 3/ Số năm đào tạo: Table of Contents Table of Contents .i Abstract iii LIST OF ABBREVIATIONS iv LIST OF TABLES v CHAPTER INTRODUCTION 1.1 Reasons for choosing the topic .1 1.2 Research question 1.3 Objectives of the study 1.4 Object and scope of the study .2 1.5 Research Methods 1.6 Research Significance 1.7 Research structure CHAPTER LITERATURE REVIEW .3 2.1 Background theory 2.1.1 VN-Index: 2.1.2 Interest rate (%, IR) 2.1.3 Exchange rate (%, Exc) 2.1.4 Index of industrial production ( %, IIP) 2.1.5 Money supply (billion VND, MS2) .6 2.1.6 World oil price (USD, OP) 2.1.7 World gold price (USD/Oz, GoldEx) 2.1.8 Treasury bills of the Vietnamese government (USD, RF) .7 2.1.9 Foreign Direct Investment (million USD, FDI) .8 2.1.10 Consumer Price Index (%, CPI) CHAPTER METHODOLOGY & DATA 3.1 Data 3.2 Methodology 10 3.2.1 Expectation 10 3.2.2 Regression model 17 CHAPTER RESULTS 18 4.1 Checking for multicollinearity by the correlation coefficient 18 4.2 Checking for heteroskedasticity 19 4.3 Checking for hypothesis .20 4.4 Time series regression 22 CHAPTER CONCLUSION 24 5.1 Summary of the research process and results 24 5.2 Limitations of the study and further directions for future research: 25 5.2.1 Limitations of the study 25 5.2.2 Further directions for future research: .26 REFERENCES I APPENDIX: DATA DISPLAY .V iii Abstract One of the few sectors with a higher potential for growth than others is the stock market, both generally and in Vietnam particularly, and it has made some notable advancements considering the Covid-19 pandemic International investors will benefit greatly from using the research on the effects of macroeconomic factors on stock prices in the Vietnamese stock market, the VNIndex, which displays the pattern of price movements for all stocks listed on the Stock Exchange, the HOSE stock exchange, or Ho Chi Minh City Stock Exchange in the period before and after the Covid-19 pandemic A source of reference for the government, domestic investors, and particularly foreign investors to get more evidence on which factors directly or indirectly affect the stock market environment, the research focuses on the period from 01/01/2012 to 31/12/2022, and results drawn from the actual situation of factors affecting the price of shares listed on the Vietnamese stock market The characteristics of Vietnam's stock market, with a large capitalization of companies in the oil sector, and the structure of Vietnam's economy, with export heavily dependent on the FDI sector, are to suspect of the differences in the regression results on the impact of exchange rate and oil price iv LIST OF ABBREVIATIONS CPI Consumer Price Index Exc Exchange Rate FDI Foreign Direct Investment GoldEx World Gold Price IIP Index Of Industrial Production IR Interest Rate MS2 Money supply M2 OP World Oil Price (WTI) RF Treasury Bills of Government VNI VN-Index v LIST OF TABLES Table 1: Expected effect of the variables on VNI flatform in Vietnam stock market Table 2: Table of correlation between variables Table Stata results of time series regression, full set of variables Table Stata results of time series regression during Covid, full set of variables CHAPTER INTRODUCTION 1.1 Reasons for choosing the topic The stock market, both globally and in Vietnam specifically, is one of the few industries with greater potential for development compared to others and has made a number of noteworthy strides in light of the Covid-19 pandemic Regarding worldwide stocks and those of other nations in the area, Vietnam's stock market is still essentially on par with the global market, but with a minor lag Despite the Covid epidemic's impact on Vietnam's economy, the stock market has been able to grow steadily, and go deeper, with stability and high specialization during this challenging period Vietnam's stock market is a frontier market with rapid development and a solid economic base, indicating that it might be a prospective investment channel for foreign investors Stock markets in different countries will have different influencing factors The stock market in Vietnam has fluctuations from time to time Therefore, foreign investors must always be aware of the factors affecting stock prices so that they can make profitable investment decisions and limit risks Many economic conditions have an impact on investor profit or loss either directly or indirectly These elements can forecast how it may affect investors' returns As a result, for many years, the factors affecting stock prices have always been the topic of financial researchers as well as investors in general and foreign investors in specific The research on the impact of macroeconomic factors on stock prices in the Vietnamese stock market, particularly the VNIndex, which displays the pattern of price movements for all stocks listed on the Stock Exchange, the HOSE stock exchange or Ho Chi Minh City Stock Exchange in the period before and after Covid-19 pandemic will be highly beneficial for international investors to utilize as a source to make the appropriate decision about whether or not to pour capital flow into investing stocks in the Vietnamese market 1.2 Research question - What factors affect the stock price? - What level of impact economic indicators have on share prices? - How did VNI perform during Covid-19? - Is Vietnam an attractive place to make investments? 1.3 Objectives of the study - Find models that explain how economic conditions affect stock market pricing - Test the model's performance and the effect of economic data on stock prices 1.4 Object and scope of the study - Research object: macroeconomics factors affecting the stock market price of VNIndex - Scope of the study: research focuses on the period from 01/01/2012 to 31/12/2022 1.5 Research Methods The study utilizes two main methods, which are qualitative and quantitative methods: - Qualitative method: Based on previous studies and theoretical basis system to identify influencing factors and their impact on stock prices of companies listed on VNIndex - Quantitative method: observations recorded as numbers, database, secondary research 1.6 Research Significance Research results drawn from the actual situation of factors affecting the price of shares listed on the Vietnamese stock market will be a source of reference for the government, domestic investors, and especially foreign investors to get more evidence on which factors directly or indirectly affect the stock market environment 1.7 Research structure The structure of this study is divided into five main chapters: