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MINISTRYOFEDUCATIONANDTRAINING THESTATEBANKOFVIETNAM 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 MINISTRYOFEDUCATIONANDTRAINING THESTATEBANKOFVIETNAM 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 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 TĨM TẮ T 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 trị việc phân tích tác động yếu tố kinh tế vĩ mô 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 mơ 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 đối 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 khốn cung cấp thơng 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 1.2 Purpose of research .2 1.3 Significance of research .3 1.4 Object and scope of the study .3 1.5 Research questions 1.6 Research methods 1.7 Structure of the themes .5 CONCLUSION OF CHAPTER .7 CHAPTER 2: AN OVERVIEW OF SYSTEMATIC RISK AND MACROECONOMIC FACTORS AFFECTING STOCK PRICES IN THE BANKING SECTOR 2.1 Systemic risk and factors that create systemic risk in stock investment 2.1.1 Risks 2.1.2 Systematic risk in stock investment 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 ADF Test for LG at I(0) ADF Test for LG at I(1) ADF Test for LM2 at I(0) ADF Test for LM2 at I(1) ADF Test for LER at I(0) ADF Test for LER at I(1) ADF Test for LLP at I(0) ADF Test for LIR at I(0) Appendix PP Test PP Test for LG at I(0) PP Test for LG at I(1) PP Test for LM2 at I(0) PP Test for LM2 at I(1) PP Test for LER at I(0) PP Test for LER at I(1) PP Test for LLP at I(0) 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: *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 LM2(-1) C 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: *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 D(LM2(-1)) C 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: *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 LER(-1) C 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: *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 D(LER(-1)) C 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) Augmented Dickey-Fuller test statistic Test critical values: *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 LLP(-1) D(LLP(-1)) 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: *MacKinnon (1996) one-sided p-values Residual variance (no correction) HAC corrected variance (Bartlett kernel) 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 LIR(-1) C 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 LG(-1) LM2 LER LLP LLP(-1) LIR LIR(-1) C R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) XVIII APPENDIX BOUND TEST ARDL Bounds Test Date: 05/08/18 Time: 15:24 Sample: 2012M02 2018M03 Included observations: 74 Test Statistic V F-statistic Critical Value Bounds Significance I 10% 5% 2.5% 1% Test Equation: Dependent Variable: D(LG) Method: Least Squares Date: 05/08/18 Time: 15:24 Sample: 2012M02 2018M03 Included observations: 74 Variable C D(LLP) - D(LIR) - C - LM2(-1) - LER(-1) LLP(-1) LIR(-1) LG(-1)) - 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 D(LM2) D(LER) D(LLP) D(LIR) CointEq(-1) Cointeq = LG - (0.586641*LM2 + 1.223349*LER - 0.071953 *LLP - 0.717937*LIR - 9.610108 ) Long Run Coefficients Variable LM2 LER LLP LIR C XX APPENDIX LM TEST Breusch-Godfrey Serial Correlation LM Test: F-statistic Obs*R-squared 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 LG(-1) LM2 LER LLP LLP(-1) LIR LIR(-1) C RESID(-1) XXI APPENDIX RAMSEY TEST Ramsey RESET Test t-statistic F-statistic F-test summary: Test SSR Restricted SSR Unrestricted SSR Unrestricted Test Equation: Dependent Variable: LG Method: ARDL Date: 05/09/18 Time: 09:41 Sample: 2012M02 2018M03 Included observations: 74 Variable LG(-1) LM2 LER LLP LLP(-1) LIR LIR(-1) C FITTED^2 R-squared Adjusted R-squared S.E of regression XXII Sum squared resid Log likelihood F-statistic Prob(F-statistic) XXIII APPENDIX BREUSCH-PAGAN-GODFREY TEST Heteroskedasticity Test: Breusch-Pagan-Godfrey F-statistic Obs*R-squared Scaled explained SS Test Equation: Dependent Variable: RESID^2 Method: Least Squares Date: 05/09/18 Time: 09:51 Sample: 2012M02 2018M03 Included observations: 74 Variable C LG(-1) LM2 LER LLP LLP(-1) LIR LIR(-1) R-squared Adjusted R-squared S.E of regression Sum squared resid Log likelihood F-statistic Prob(F-statistic) XXIV APPENDIX GRANGER CAUSALITY TEST Pairwise Granger Causality Tests Date: 05/09/18 Time: 11:25 Sample: 2012M01 2018M03 Lags: Null Hypothesis: LM2 does not Granger Cause LG LG does not Granger Cause LM2 LER does not Granger Cause LG LG does not Granger Cause LER LLP does not Granger Cause LG LG does not Granger Cause LLP LIR does not Granger Cause LG LG does not Granger Cause LIR LER does not Granger Cause LM2 LM2 does not Granger Cause LER LLP does not Granger Cause LM2 LM2 does not Granger Cause LLP LIR does not Granger Cause LM2 LM2 does not Granger Cause LIR LLP does not Granger Cause LER LER does not Granger Cause LLP LIR does not Granger Cause LER LER does not Granger Cause LIR LIR does not Granger Cause LLP LLP does not Granger Cause LIR XXV XXVI ...MINISTRYOFEDUCATIONANDTRAINING THESTATEBANKOFVIETNAM BANKING UNIVERSITY OF HO CHI MINH CITY PHUNG THIEN AN THE RELATIONSHIP BETWEEN MACRO ECONOMIC FACTORS AND THE BANK STOCK PRICE IN VIETNAM STOCK. .. 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