The relationship between macro economic factors and the price index of bank stocks price in vietnam stock market

MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIET 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, MAY 2018 HO CHI MINH CITY - 2018 MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIET 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 ĐẠI HỌC NGÂN HÀNG THÀNH PHỐ HỒ CHÍ MINH Chương trình Cử nhân Chất lượng cao – Chuyên ngành Tài Ngân hàng TÓM TẮT Sinh viên thực Phùng Thiên Ân Tên đề tài Mối quan hệ yếu tố vĩ mô giá cổ phiếu ngành ngân hàng thị trường chứng khoán Việt Nam giai đoạn 2012-quý 1/2018 Năm thực 2018 Ngôn ngữ Tiếng Anh Giảng viên hướng dẫn Ths Liêu Cập Phủ Trong phát triển chung kinh tế, vai trò việc phân tích tác động yếu tố kinh tế vĩ mơ khơng thể thiếu để tìm biện pháp khả thi nhằm trì phát triển bền vững hệ thống kinh tế đất nước Một mối quan tâm ổn định phát triển thị trường chứng khoán Trong luận án này, tác giả chọn phân tích mối quan hệ bốn tiêu chí kinh tế vĩ mô bao gồm tỷ giá, cung tiền M2, tỷ lệ lạm phát lãi suất cho vay ngắn hạn đến giá cổ phiếu ngân hàng thị trường chứng khoán Việt Nam Tác gải đặt giả định tỷ lệ lạm phát, tỷ giá hối đoái lãi suất ngắn hạn có tương quan nghịch với giá cổ phiếu ngân hàng cung tiền M2 có tác động chiều đến giá cổ phiếu ngành ngân hàng Kết cho thấy tất giả định thuận lợi tác giả phân tích tất yếu tố chi tiết thông qua biểu đồ, cho thấy biến động tiêu chí giá cổ phiếu ngân hàng Cuối không phần quan trọng, nghiên cứu phần góp phần vào việc nghiên cứu vấn đề liên quan thị trường chứng khoán cung cấp thông tin cần thiết cho nghiên cứu 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 ii DECLARATION I, Phung Thien An, declare that this minor thesis on “The relationship between macroeconomic 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] iii 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 iv 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 Research background .1 1.2 Purpose of research 1.3 Significance of research 1.4 Object and scope of the study 1.5 Research questions 1.6 Research methods 1.7 Structure of the themes CONCLUSION OF CHAPTER .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 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 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 v 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 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 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 51 GENERAL CONCLUSION 52 REFERENCES 53 vi 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 vii LIST OF FIGURES Figure 4.2: Top 20 models according to AIC 33 Figure 4.3: CUSUM Test about stability in the model……………………………… 39 Figure 4.4: CUSUM square Test in stability in the model 39 LIST OF APPENDICES Appendix ADF Test I ADF Test for LG at I(0) I ADF Test for LG at I(1) II ADF Test for LM2 at I(0) III ADF Test for LM2 at I(1) IV ADF Test for LER at I(0) V ADF Test for LER at I(1) VI ADF Test for LLP at I(0) VII ADF Test for LIR at I(0) VIII Appendix PP Test IX PP Test for LG at I(0) IX PP Test for LG at I(1) X PP Test for LM2 at I(0) XI PP Test for LM2 at I(1) XII PP Test for LER at I(0) XIII PP Test for LER at I(1) XIV PP Test for LLP at I(0) XV viii PP TEST FOR LM2 AT I(0) Null Hypothesis: LM2 has a unit root Exogenous: Constant, Linear Trend Bandwidth: (Newey-West automatic) using Bartlett kernel Phillips-Perron test statistic Test critical values: Adj t-Stat Prob.* -1.159289 0.9111 1% level -4.086877 5% level -3.471693 10% level -3.162948 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 0.005202 HAC corrected variance (Bartlett kernel) 0.004634 Phillips-Perron Test Equation Dependent Variable: D(LM2) Method: Least Squares Date: 05/09/18 Time: 13:45 Sample (adjusted): 2012M02 2018M03 Included observations: 74 after adjustments Variable Coefficient Std Error t-Statistic Prob LM2(-1) -0.068994 0.052920 -1.303733 0.1965 C 0.242619 0.138612 1.750338 0.0844 XII PP TEST FOR LM2 AT I(1) Null Hypothesis: D(LM2) has a unit root Exogenous: Constant, Linear Trend Bandwidth: (Newey-West automatic) using Bartlett kernel Phillips-Perron test statistic Test critical values: Adj t-Stat Prob.* -9.917837 0.0000 1% level -4.088713 5% level -3.472558 10% level -3.163450 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 0.005168 HAC corrected variance (Bartlett kernel) 0.005168 Phillips-Perron Test Equation Dependent Variable: D(LM2,2) Method: Least Squares Date: 05/09/18 Time: 13:45 Sample (adjusted): 2012M03 2018M03 Included observations: 73 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LM2(-1)) -1.159934 0.116954 -9.917837 0.0000 C 0.078034 0.019202 4.063813 0.0001 XIII PP TEST FOR LER AT I(0) Null Hypothesis: LER has a unit root Exogenous: Constant, Linear Trend Bandwidth: (Newey-West automatic) using Bartlett kernel Phillips-Perron test statistic Test critical values: Adj t-Stat Prob.* -2.720854 0.2316 1% level -4.086877 5% level -3.471693 10% level -3.162948 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 2.95E-05 HAC corrected variance (Bartlett kernel) 2.84E-05 Phillips-Perron Test Equation Dependent Variable: D(LER) Method: Least Squares Date: 05/19/18 Time: 11:57 Sample (adjusted): 2012M02 2018M03 Included observations: 74 after adjustments Variable Coefficient Std Error t-Statistic Prob LER(-1) -0.143249 0.052258 -2.741167 0.0077 C 0.295154 0.107220 2.752801 0.0075 XIV PP TEST FOR LER AT I(1) Null Hypothesis: D(LER) has a unit root Exogenous: Constant, Linear Trend Bandwidth: (Newey-West automatic) using Bartlett kernel Phillips-Perron test statistic Test critical values: Adj t-Stat Prob.* -9.085435 0.0000 1% level -4.088713 5% level -3.472558 10% level -3.163450 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 3.29E-05 HAC corrected variance (Bartlett kernel) 3.05E-05 Phillips-Perron Test Equation Dependent Variable: D(LER,2) Method: Least Squares Date: 05/19/18 Time: 12:02 Sample (adjusted): 2012M03 2018M03 Included observations: 73 after adjustments Variable Coefficient Std Error t-Statistic Prob D(LER(-1)) -1.081921 0.119420 -9.059785 0.0000 C 0.001436 0.001420 1.011591 0.3152 XV PP TEST FOR LLP AT I(0) Null Hypothesis: LLP has a unit root Exogenous: Constant Lag Length: (Automatic - based on SIC, maxlag=11) t-Statistic Prob.* Augmented Dickey-Fuller test statistic -4.727271 0.0002 Test critical values: 1% level -3.522887 5% level -2.901779 10% level -2.588280 *MacKinnon (1996) one-sided p-values Augmented Dickey-Fuller Test Equation Dependent Variable: D(LLP) Method: Least Squares Date: 05/09/18 Time: 13:16 Sample (adjusted): 2012M03 2018M03 Included observations: 73 after adjustments Variable Coefficient Std Error t-Statistic Prob LLP(-1) -0.182413 0.038587 -4.727271 0.0000 D(LLP(-1)) -0.172980 0.104147 -1.660927 0.1012 XVI PP TEST FOR LIR AT I(0) Null Hypothesis: LIR has a unit root Exogenous: Constant, Linear Trend Bandwidth: (Newey-West automatic) using Bartlett kernel Phillips-Perron test statistic Test critical values: Adj t-Stat Prob.* -1.520881 0.0136 1% level -4.086877 5% level -3.471693 10% level -3.162948 *MacKinnon (1996) one-sided p-values Residual variance (no correction) 0.142288 HAC corrected variance (Bartlett kernel) 0.115874 Phillips-Perron Test Equation Dependent Variable: D(LIR) Method: Least Squares Date: 05/09/18 Time: 13:38 Sample (adjusted): 2012M02 2018M03 Included observations: 74 after adjustments Variable Coefficient Std Error t-Statistic Prob LIR(-1) -0.061727 0.037924 -1.627625 0.1080 C 0.532384 0.476861 1.116434 0.2680 XVII APPENDIX LATENCY SELECTION IN ARDL MODEL Dependent Variable: LG Method: ARDL Date: 05/08/18 Time: 10:51 Sample (adjusted): 2012M02 2018M03 Included observations: 74 after adjustments Maximum dependent lags: (Automatic selection) Model selection method: Akaike info criterion (AIC) Dynamic regressors (4 lags, automatic): LM2 LER LLP LIR Fixed regressors: C Variable Coefficient Std Error t-Statistic Prob.* LG(-1) 0.912572 0.070132 13.01221 0.0000 LM2 0.051289 0.161568 0.317444 0.7519 LER 0.981230 1.403611 0.699075 0.4870 LLP -0.055632 0.024646 -2.257265 0.0273 LLP(-1) 0.061923 0.024425 2.535224 0.0136 LIR 0.001499 0.199540 0.007512 0.9940 LIR(-1) 0.061269 0.199249 0.307498 0.7594 C -0.840188 0.803559 -1.045584 0.2996 R-squared 0.886652 Mean dependent var 1.491329 Adjusted R-squared 0.874630 S.D dependent var 0.196410 S.E of regression 0.069544 Akaike info criterion -2.391906 Sum squared resid 0.319201 Schwarz criterion -2.142818 Log likelihood 96.50052 Hannan-Quinn criter -2.292542 F-statistic 73.75372 Durbin-Watson stat 1.587065 Prob(F-statistic) 0.000000 XVIII APPENDIX BOUND TEST ARDL Bounds Test Date: 05/08/18 Time: 15:24 Sample: 2012M02 2018M03 Included observations: 74 Test Statistic Value k F-statistic 5.232714 Significance I0 Bound I1 Bound 10% 2.45 3.52 5% 2.86 4.01 2.5% 3.25 4.49 1% 3.74 5.06 Critical Value Bounds Test Equation: Dependent Variable: D(LG) Method: Least Squares Date: 05/08/18 Time: 15:24 Sample: 2012M02 2018M03 Included observations: 74 Variable Coefficient Std Error t-Statistic Prob D(LLP) -0.058572 0.024580 -2.382902 0.0201 D(LIR) -0.040373 0.204088 -0.197823 0.8438 C -1.191158 0.782062 -1.523100 0.1325 LM2(-1) -0.024801 0.152622 -0.162499 0.8714 LER(-1) 1.700685 1.359503 1.250961 0.2154 LLP(-1) 0.006601 0.011851 0.556987 0.5794 LIR(-1) 0.036145 0.104166 0.346994 0.7297 LG(-1)) -0.099736 0.070948 -1.405768 0.1645 XIX APPENDIX SHORT-TERM AND LONG-TERM RELATIONSHIPS BETWEEN CRITERIA ARDL Cointegrating And Long Run Form Dependent Variable: LOG(LG) Selected Model: ARDL(1, 0, 0, 1, 1) Date: 05/08/18 Time: 15:36 Sample: 2012M01 2018M03 Included observations: 74 Cointegrating Form Variable Coefficient Std Error t-Statistic Prob D(LM2) -0.051289 0.161568 0.317444 0.0419 D(LER) 0.981230 1.403611 0.699075 0.0303 D(LLP) -0.055632 0.024646 -2.257265 0.0273 D(LIR) -0.001499 0.199540 0.007512 0.0044 CointEq(-1) -0.087428 0.070132 -1.246615 0.009 Cointeq = LG - (0.586641*LM2 + 1.223349*LER - 0.071953 *LLP - 0.717937*LIR - 9.610108 ) Long Run Coefficients Variable Coefficient Std Error t-Statistic Prob LM2 0.586641 1.892180 0.310035 0.0054 LER 1.223349 15.409144 0.728356 0.003 LLP -0.071953 0.155715 0.462081 0.0455 LIR -0.717937 1.151547 0.623455 0.0291 C -9.610108 9.058143 -1.060936 0.2926 XX APPENDIX LM TEST Breusch-Godfrey Serial Correlation LM Test: F-statistic 3.263497 Prob F(1,65) 0.0755 Obs*R-squared 3.537744 Prob Chi-Square(1) 0.0600 Test Equation: Dependent Variable: RESID Method: ARDL Date: 05/09/18 Time: 09:49 Sample: 2012M02 2018M03 Included observations: 74 Presample missing value lagged residuals set to zero Variable Coefficient Std Error t-Statistic Prob LG(-1) -0.079002 0.081657 -0.967489 0.3369 LM2 0.007967 0.158928 0.050130 0.9602 LER 0.518888 1.409717 0.368080 0.7140 LLP 0.000518 0.024235 0.021375 0.9830 LLP(-1) -0.001963 0.024041 -0.081643 0.9352 LIR 0.011330 0.196304 0.057719 0.9541 LIR(-1) 0.024866 0.196401 0.126606 0.8996 C -0.369006 0.816101 -0.452157 0.6527 RESID(-1) 0.259246 0.143506 1.806515 0.0755 XXI APPENDIX RAMSEY TEST Ramsey RESET Test Value df Probability t-statistic 2.437050 65 0.5176 F-statistic 5.939215 (1, 65) 0.5176 F-test summary: Mean Sum of Sq df Squares Test SSR 0.026724 0.026724 Restricted SSR 0.319201 66 0.004836 Unrestricted SSR 0.292477 65 0.004500 Unrestricted Test Equation: Dependent Variable: LG Method: ARDL Date: 05/09/18 Time: 09:41 Sample: 2012M02 2018M03 Included observations: 74 Variable Coefficient Std Error t-Statistic Prob.* LG(-1) -0.271537 0.490565 -0.553519 0.5818 LM2 -0.125280 0.171860 -0.728967 0.4686 LER 1.293354 1.359910 0.951059 0.3451 LLP 0.006415 0.034833 0.184153 0.8545 LLP(-1) -0.012809 0.038670 -0.331247 0.7415 LIR -0.000364 0.192469 -0.001891 0.9985 LIR(-1) -0.017500 0.194887 -0.089798 0.9287 C 0.280867 0.901307 0.311622 0.7563 FITTED^2 0.386990 0.158795 2.437050 0.0176 R-squared 0.896142 Mean dependent var 1.491329 Adjusted R-squared 0.883359 S.D dependent var 0.196410 S.E of regression 0.067079 Akaike info criterion -2.452315 XXII Sum squared resid 0.292477 Schwarz criterion -2.172091 Log likelihood 99.73566 Hannan-Quinn criter -2.340530 F-statistic 70.10644 Durbin-Watson stat 1.657040 Prob(F-statistic) 0.000000 XXIII APPENDIX BREUSCH-PAGAN-GODFREY TEST Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic 2.615822 Prob F(7,66) 0.1191 Obs*R-squared 16.07145 Prob Chi-Square(7) 0.1245 Scaled explained SS 15.64027 Prob Chi-Square(7) 0.3286 Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 05/09/18 Time: 09:51 Sample: 2012M02 2018M03 Included observations: 74 Variable Coefficient Std Error t-Statistic Prob C -0.126808 0.073040 -1.736146 0.0872 LG(-1) 0.007784 0.006375 1.221102 0.2264 LM2 -0.006998 0.014686 -0.476500 0.6353 LER 0.127655 0.127582 1.000570 0.3207 LLP -0.001399 0.002240 -0.624289 0.5346 LLP(-1) -6.19E-05 0.002220 -0.027875 0.9778 LIR 0.023143 0.018137 1.275973 0.2064 LIR(-1) -0.006518 0.018111 -0.359912 0.7201 R-squared 0.217182 Mean dependent var 0.004314 Adjusted R-squared 0.134156 S.D dependent var 0.006793 S.E of regression 0.006321 Akaike info criterion -7.187988 Sum squared resid 0.002637 Schwarz criterion -6.938900 Log likelihood 273.9555 Hannan-Quinn criter -7.088623 F-statistic 2.615822 Durbin-Watson stat 2.270568 Prob(F-statistic) 0.019058 XXIV APPENDIX GRANGER CAUSALITY TEST Pairwise Granger Causality Tests Date: 05/09/18 Time: 11:25 Sample: 2012M01 2018M03 Lags: Null Hypothesis: Obs F-Statistic Prob LM2 does not Granger Cause LG 73 2.47855 0.0914 1.24857 0.2934 1.86579 0.1626 0.72812 0.4865 2.09831 0.1305 1.77877 0.1766 1.37268 0.2604 0.05693 0.9447 3.15195 0.0491 1.89974 0.1575 3.26481 0.0443 0.24571 0.7828 1.47499 0.2360 0.48586 0.6173 0.84271 0.4350 0.51730 0.5985 3.26833 0.0441 0.72565 0.4877 0.31249 0.7327 0.53160 0.5901 LG does not Granger Cause LM2 LER does not Granger Cause LG 73 LG does not Granger Cause LER LLP does not Granger Cause LG 73 LG does not Granger Cause LLP LIR does not Granger Cause LG 73 LG does not Granger Cause LIR LER does not Granger Cause LM2 73 LM2 does not Granger Cause LER LLP does not Granger Cause LM2 73 LM2 does not Granger Cause LLP LIR does not Granger Cause LM2 73 LM2 does not Granger Cause LIR LLP does not Granger Cause LER 73 LER does not Granger Cause LLP LIR does not Granger Cause LER 73 LER does not Granger Cause LIR LIR does not Granger Cause LLP LLP does not Granger Cause LIR 73 XXV XXVI ... equilibrium relationship between the banking sector price index and the systematic risk of the market Summarizing the effect of systematic risk factors on the stock price index of banking sector and. .. sector stock price index and variables: - Are the systematic risk factors in the market really affecting the price of stocks in the banking sector on the stock market in Vietnam? - Are there long-term...MINISTRY OF EDUCATION AND TRAINING THE STATE BANK OF VIET NAM BANKING UNIVERSITY OF HO CHI MINH CITY PHUNG THIEN AN THE RELATIONSHIP BETWEEN MACRO ECONOMIC FACTORS AND THE BANK STOCK PRICE IN