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Những đóng góp mới về mặt học thuật, lý luận Nghiên cứu về ảnh hưởng của các nhân tố đến giá cổ phiếu nhận được sự quan tâm của giới đầu tư, các nhà nghiên cứu và nhà hoạch định chính sách trên thị trường cổ phiếu. Từ trước đến nay việc nghiên cứu các nhân tố ảnh hưởng đến chỉ số giá cổ phiếu tập trung nhiều ở các nước phát triển. Mặc dù các nền kinh tế mới nổi (emerging market), trong đó có thị trường chứng khoán Đông Nam Á, cũng được các nhà nghiên cứu quan tâm nhưng do quy mô thị trường nhỏ và chịu ảnh hưởng từ các hiệu ứng bong bóng tài sản hoặc đầu cơ, thiếu tính minh bạch nên những nghiên cứu này còn ít và rải rác ở các nước. Sự tăng trưởng kinh tế và thị trường cổ phiếu ở một số quốc gia Đông Nam Á trong hơn ba thập kỷ qua đặt ra câu hỏi thực nghiệm về mối liên hệ giữa giá cổ phiếu và nhân tố của nền kinh tế của các thị trường đó như thế nào và các thị trường này có mối liên hệ tương tác lẫn nhau trong khu vực và toàn thế giới hay không. Kết quả nghiên cứu của Luận án có đóng góp về khoa học và thực tiễn: Luận án bổ sung thêm bằng chứng thực nghiệm về định giá tài sản cũng như mối quan hệ nhân tố vĩ mô và toàn cầu đến chỉ số giá chứng khoán tại thị trường mới nổi, lựa chọn thị trường có mức vốn hóa lớn nhất của khu vực Đông Nam Á: Singapore, Thái Lan, Indonesia, Malaysia, Philippins và Việt nam. Luận án xem xét khả năng đưa nhân tố toàn cầu và nhân tố ảnh hưởng từ thị trường chứng khoán quốc tế và trong khu vực Châu Á (lạm phát, chỉ số sản lượng công nghiệp toàn cầu, giá dầu, giá vàng, lãi suất... sự biến động thị trường cổ phiếu Mỹ và một số thị trường trong khu vực Châu Á: Nhật Bản, Hồng Kong, Hàn quốc) vào mô hình định giá tài sản giúp nhà đầu tư có mô hình định giá tốt hơn khi đầu tư chứng khoán tại các nước ASEAN 5 và Việt nam. Việc xây dựng mô hình đa biến gồm 06 chỉ số kinh tế vĩ mô (lạm phát, sản lượng đầu ra của nền kinh tế (IPI Index), tỷ giá hối đoái, lãi suất, cán cân thương mại, cung tiền của các nước) và 09 các biến toàn cầu qua việc lựa chọn biến phân tích thành phần chính – PCA và kiểm định đồng liên kết Johansen, kiểm định nhân quả Granger và mô hình VAR bổ sung bằng chứng kiểm định định lượng trong việc giải thích các ảnh hưởng nhân tố vĩ mô đối chỉ số giá cổ phiếu tại thị trường mới nổi được đầy đủ và toàn diện hơn. Kết quả nghiên cứu của luận án có ý nghĩa đối với các nhà đầu tư xem xét mức độ ảnh hưởng các biến số của nội tại nền kinh tế các nước và biến động của thị trường chứng khoán quốc tế quốc tế và khu vực có ảnh hưởng đến chỉ số giá chứng khoán tại các nước Đông Nam Á làm cơ sở lựa chọn quyết định danh mục đầu tư vào thị trường cổ phiếu Đông Nam Á, cũng như giúp các nhà hoạch định chính sách hoàn thiện chính sách phát triển thị trường vốn của quốc gia, thị trường vốn 1 khu vực trong xu hướng tăng cường liên kết các nước thành viên ASEAN nhằm phát triển bền vững thị trường tài chính. Những phát hiện, đề xuất mới rút ra được từ kết quả nghiên cứu, khảo sát của luận án Kết quả nghiên cứu của luận án đã bổ sung bằng chứng thực nghiệm của mô hình định giá tài sản Lý thuyết định giá chênh lệch (APT) tại thị trường mới nổi, thị trường các nước Đông Nam Á. 06 chỉ số kinh tế vĩ mô trong nước và các yếu tố quốc tế đều có ảnh hưởng đến chỉ số giá cổ phiếu thị trường chứng khoán Asean 5 và thị trường Việt nam. Trong đó, tăng trưởng cung tiền có ảnh hưởng tích cực đến lợi suất thị trường cổ phiếu của các nước Singapore, Malaysia, Thái Lan và Việt Nam và ảnh hưởng ngược chiều với với Indonesia. Việc định giá thấp nội tệ so với đồng USD giúp thị trường ASEAN 5 thực hiện chiến lược phát triển kinh tế định hướng xuất khẩu. Tuy nhiên với 02 thị trường Indonesia, Phillipins trong giai đoạn nghiên cứu mặc dù đồng nội tệ mất giá hơn so với USD nhưng cả 02 nền kinh tế này cho thấy đều thâm hụt cán cân thương mại, và lợi suất của 02 thị trường này chịu ảnh hưởng nhất với tình hình kinh tế nội tại của mình Luận án đã phân tích ảnh hưởng từ các cú sốc bên ngoài đến thị trường các nước ASEAN 5 và vận dụng vào Việt nam. Kết quả nghiên cứu chỉ ra các yếu tố toàn cầu như: lạm phát, chỉ số sản lượng công nghiệp toàn cầu, giá dầu, giá vàng, lãi suất... sự biến động thị trường cổ phiếu Mỹ và một số thị trường trong khu vực Châu Á: Nhật Bản, Hồng Kong, Hàn quốc có ảnh hưởng đến các thị trường ASEAN 5 ở mức độ khác nhau và nhìn chung các nước trong khu vực Đông Nam Á tham gia hội nhập hệ thống toàn cầu còn yếu, ngoại trừ Singapore và Thái Lan. Các nước ASEAN 5 và cả thị trường Việt nam đều chịu ảnh hưởng biến động từ thị trường Mỹ, trong đó Singapore chịu ảnh hưởng lớn nhất, tiếp sau là Thái Lan. Kết quả nghiên cứu luận án cho thấy thị trường Việt nam chịu ảnh hưởng các yếu tố vĩ mô trong nước, vẫn còn khá tách biệt và có xu hướng nằm riêng rẽ so với biến động chung của thế giới, thị trường Việt nam chịu ảnh hưởng thị trường quốc tế Mỹ, gần như không chịu ảnh hưởng từ sự biến động của thị trường các nước trong khu vực, thị trường Việt nam là thị trường cận biên, do vậy sự biến động này ảnh hưởng từ chính sách vĩ mô (chủ yếu từ chính sách tiền tệ) của chính phủ Việt nam và nội tại thị trường. Luận án đề xuất kiến nghị đối với các nhà đầu tư trên thị trường chứng khoán ASEAN và thị trường Việt Nam nên xem xét, cập nhật sự thay đổi của các chỉ số kinh tế vĩ mô thị trường các nước và thị trường thế giới, bất kỳ sự thay đổi nào trong môi trường vĩ mô đều dấu hiệu cần thiết giúp các nhà đầu tư xem xét, ra quyết định và điều chỉnh chiến lược đầu tư. Luận án kiến nghị chính sách để tăng cường tính bền vững trong tăng trưởng của nền kinh tế vĩ mô nhằm phát triển thị trường chứng khoánViệtNam: duytrìtăngtrưởngkinhtếbềnvững,hạnchếlạmphát,kiểmsoátmởrộngcung tiền, tăng lãi suất vừa phải, khuyến khích sản xuất xuất khẩu vừa hướng đến sự phát triển của thị trường chứng khoán Việt Nam trong dài hạn, duy trì kênh dẫn vốn cho doanh nghiệp và nền kinh tế; giám sát các tổ chức tín dụng, ngân hàng, thu hút và quản lý dòng vốn đầu tư nước ngoài, phát triển thị trường vốn và tham gia chương trình liên kết phát triển thị trường vốn trong khu vực Asean
MINISTRY OF EDUCATION AND TRAINING FOREIGN TRADE UNIVERSITY SUMMARY DOCTORAL THESIS A STUDY ON MACRO ECONOMICS FACTORS AFFECTING STOCK PRICE INDEX IN THE SOUTHEAST ASIAN COUNTRIES MAJOR: INTERNATIONAL ECONOMICS CODE: 9310106 NGUYEN THI THANH PHUONG HANOI - 2021 The Thesis be completed in Hanoi, December 2021 Suppervisors: Assos., Prof Nguyen Dinh Tho Assos., Prof Mai Thu Hien PhD’s Reviewer 1:……………………………………………………… …………………………… ………………………………………… PhD’s Reviewer 2:……………………………………………………… ………………………………………………………………………… PhD’s Reviewer :……………………………………………………… ……………………………………………………………………… The thesis will be officially defened at University Venue:………………………………………………………………… Time: .……….dated……………… The thesis can be seen at the National Libarary and Foreign Trade University Libarary INTRODUCTION Rational of research Research on the influence of factors on stock prices has received the attention of investors, researchers and policy makers in the stock market The economic growth and stock markets in several ASEAN countries over the past three decades raise empirical questions about the relationship between stock prices and the economic variables of those markets and are these markets interrelated in the region and around the world? Although there have been many studies on the factors affecting stock prices in developed markets, research in emerging markets, especially ASEAN markets, is still limited Therefore, the thesis: Research on macro factors affecting stock price indexes in some Southeast Asian countries was selected for research with the desire to add empirical evidence for emerging market markets The study is meaningful to investors when considering the influence of the variables of the internal economies of the countries as a basis for choosing investment portfolios in the Southeast Asian capital market as well as helping the Policy makers perfect the development policy of the national capital market, the regional capital market in the trend of strengthening the linkages of ASEAN member countries in order to develop the financial market sustainably Literature reviews Several studies on the influence of macroeconomic factors on stock returns, however, these studies mainly focus on developed markets and in a single country The summary from the above study shows that the research gap is as follows: Firstly, there are few comprehensive studies on the influence of each country's macro variables and global macro variables on the stock price indexes of emerging markets such as the Southeast market ASIAN The important role of emerging markets in the world economy has been promoted by their integration into global markets at both the macro and micro level Second, studies on international and regional market fluctuations on stock prices in emerging markets are few, especially in Southeast Asia, as well as scattered research on factors such as oil price, stock market index, and stock prices US securities… ; Although there are few studies evaluating each market individually, there are still very few comprehensive studies on how international factors affect the stock markets of Southeast Asian countries before the current trend of many investors Foreign investors are interested in investing in these markets Research objectives The purpose of the thesis is to clarify the theoretical basis of the factors affecting the stock price index, analyze the influence of macro factors on the stock price index in some Southeast Asian markets , thereby making recommendations to investors and policy makers for the Vietnamese market Object and scope of research Macro factors in the country and in the world, stock price indexes (each market takes 01 stock market index as a representative) in 06 countries in Southeast Asia: Singapore, Philippines, Indonesia, Malaysia, Thailand and Vietnam- ASEAN Monthly research data is collected from Thomson Reuters Eikon and CEIC from January 2001 to January 2020, the development phase of the stock markets of Southeast Asian countries after the financial crisis in 1997-1998 and trade liberalization took place strongly in the world Research Methods The thesis is a quantitative study To quantify the influence of the factors (06 macroeconomic variables of the countries) and 09 selected variables to consider the global market impact on stock prices in the ASEAN-6 market, the data collected be sorted into PCAs and PCAs after being built as independent variables to test autocorrelation and stability of PCAs in autoregressive (AR - Autoregressive) and autoregressive vectors (VAR- Vector Auto Regressive) to test the influence of macro variables on stock prices of markets in the region Contributions of the Thesis i The thesis studies the macroeconomic variables of each country and the global macroeconomic variables and tests the degree of influence of these factors on stock prices in the market of Southeast Asian countries and the movement of stocks applied to the Vietnamese market ii The thesis studies the global factors affecting Southeast Asian countries, contributing empirical evidence whether there are shocks from the world economy to emerging markets and the extent of the influence of these markets iii The research thesis proposes a multivariable model, including macroeconomic variables of countries and regional variables and international variables which are the independent variables explaining its influence on the volatility of the index stock prices in ASEAN countries and Vietnam Previous studies on the topic of ASEAN capital markets have limited the consideration of specific macroeconomic factors Therefore, this study is expected to supplement the test of stock market volatility under the impact of domestic macroeconomic activities and the influence of global factors on the ASEAN market Scientific and practical significance of the thesis The thesis contributed to empirical evidence on asset pricing as well as the relationship of macro and global factors to stock prices in the 05 markets with the largest capitalization in Southeast Asia Research considers the ability to include global factors and influencing factors from the international stock market and in the Asian region into the asset pricing model to help investors have a better pricing model when investing securities in ASEAN countries and Vietnam The study will be meaningful for investors considering the influence of the variables of the internal economies of the countries as a basis for choosing and deciding on investment portfolios in the Southeast Asian stock market A relevant question in this area is how investors in this market react to news or unexpected changes in the economy? Thesis structures In addition to the introduction, table of contents and references, the thesis structure includes the following main contents: Chapter 1: Theoretical foundations of the influence of macro factors on stock prices Chapter 2: Overview of research on the influence of macro factors on stock prices Chapter 3: Data and Research Methods Chapter 4: Introduction to Southeast Asian stock markets Chapter 5: Research results Chapter 6: Conclusion of the research problem and recommendations CHAPTER THEORETICAL BASIS ON THE EFFECT OF THE MARKET FACTORS ON THE STOCK PRICE Chapter will begin with the presentation of some fundamental asset pricing models to explain the influence of factors on stock prices 1.1 Introduction to asset pricing models 1.1.1 Capital asset pricing model -CAPM The Capital Assets Pricing Model (CAPM) was built and developed by Shape, Lintner, and Mossin The CAPM model represents the relationship between the expected return and risk of a stock based on the Markowitz Portfolio Theory The CAPM model is widely used in valuing securities and generating expected returns for assets based on the risk of those portfolios and the cost of capital The coefficient of variance or covariance tells us whether the interaction between two securities is positive or negative However, this coefficient has not shown the level of volatility between two securities (more or less volatile) Therefore, one uses the correlation coefficient to quantify this degree of variation Since the standard deviation is always positive, the sign of the correlation coefficient depends on the sign of the error product If the coefficient of difference between the two variables is positive, the correlation coefficient between the two variables is positive and vice versa The positive correlation coefficient represents the profitability of two securities that are positively related, the larger the positive correlation coefficient, the more similar the two securities have the same fluctuation A correlation coefficient of +1 means that the volatility of returns of the two securities is exactly the same The negative correlation coefficient indicates the opposite movement in the returns of two securities The larger the negative correlation coefficient, the more the two securities move in opposite directions and differ by more If the correlation coefficient is -1, then the volatility of returns of two related securities is completely opposite The correlation coefficient is 0, the two securities are not correlated with each other 1.1.2 Arbitrage Pricing Theory APT To overcome the limitations of the CAPM model, the academic community has been looking for an alternative asset pricing theory to the CAPM with fewer assumptions and allowing for a variety of factors that can influence stock returns Ross (1976, 1977) proposed the APT arbitrage pricing theory, according to which market portfolio returns may not be the only source of potential systematic risk affecting stock returns promissory note In fact, other factors throughout the economy can also systematically affect stock yields Unlike the CAPM model that specifies market risk factors, the APT model does not provide the number and names of risk factors that affect asset returns The main challenge with using APT in stock valuation is identifying risk factors The APT model paved the way for a series of multi-factor models that study the factors that affect stock prices 1.2 Multifactor model: Macroeconomic variables and stock prices The first attempts to implement the APT model in practice used multivariate statistical techniques, such as principal components analysis and factor analysis, which studied the realized returns of a number of variables large number of stocks to detect influencing factors These studies all show that there are about to factors that influence stock prices, however, researchers cannot determine that there are or of those factors when studying different subsets of stock prices their sample And so, one of the biggest limitations of the APT model is the identification of risk factors Chen, Roll and Ross (1986) developed an important model, which assumes that macro factors affect stock returns Macro factors include industrial output, inflation, the difference between actual and expected inflation, unexpected changes in interest rate differentials, and unexpected changes in period structure interest term In estimating this model, the authors used monthly yields for a large number of stocks for the period 1958–1984 From the pioneering studies of Chen, Roll and Ross (1986) and Burmeister, Roll, and Ross (1994), a series of studies have been carried out in this direction, studying the influence of macro factors on stock price The systematic risks in these studies may include: i) Interest rate risk ; ii) Market risk ; iii) Risk of purchasing power ; iv) Exchange rate risk CHAPTER RESEARCH SITUATION OVERVIEW OF THE EFFECTS OF MAJOR FACTORS ON STOCK PRICES 2.1 Effects of macro factors on stock prices from empirical studies 2.1.1 Economic growth Economic growth is often viewed by economists as well as researchers in terms of growth in the output of goods and services produced and exchanged in a country over successive periods of time is by fiscal year Gross Domestic Product - is selected as a parameter to calculate the economic growth rate and is often announced annually by organizations Instead, the Industrial Product Index - Industrial Product Index - is a suitable alternative when this index has statistical frequency on a monthly basis 2.2.2 Inflation Inflation is usually calculated based on the consumer price index – the Consumer Prices Index – which compares the amount of money needed to buy a given basket of goods, at different times Inflation has a negative impact on production and investment activities, thereby negatively affecting the stock market Research by Fama (1981) and Chen et al (1986) shows that inflation has a negative effect on stock yields DeFina (1991) argues that this negative effect directly affects revenue of the enterprise in business activities through on-going contracts with fixed terms of the contract Sing and Low (2000) and Zhou et al (2005) posed the opposite of this issue in investment relations, stating that investment in securities is an ineffective hedging measure against inflation 2.2.3 Interest rate The volatility of interest rates is important in the valuation of assets Interest rates reflect opportunity costs and influence investors' decisions to hold assets As the opportunity cost increases, the investor will sell the stock and invest in other assets in his or her portfolio Hence rising interest rates have a negative impact on stock prices from a portfolio allocation perspective Similarly, an increase in interest rates can be caused by an economic downturn, high interest costs of enterprises and thus a decrease in the future profitability of enterprises, and discourage enterprises from making investment decisions new projects such as production and business expansion such as Research (Nelson, 1976; Fama and Schwert, 1977; Fama, 1981); Firth (1979); Gultekin, 1983; Flannery and James, 1984)… 2.2.4 Money supply The effect of money supply on stock prices can be explained in two hypotheses, the money portfolio hypothesis (MPH) and the efficient market hypothesis (EMH) Although EMH assumes that the effect of money supply changes on stock price response is limited, and the speed of adjustment does not leave the trader with extraordinary profits because stock prices include all In related news, MPH expects that an increase in the money supply will lead to an increase in most economic activity including the stock market (Friedman, 1988) Sprinkel (1964), Homa and Jaffee (1971), Brunie and Hamburger (1972) support the hypothesis that past money supply can be used to predict stock returns, the relationship between policy currency and stock market through three transmission channels: risk premium, risk-free interest rate, and real demand From there, it can be seen that the transmission channel will also affect bond prices and corporate profits in the long run 2.2.5 Openness of the economy Macroeconomic evidence shows that an open economy stimulates faster economic growth, while microeconomic evidence shows that firms achieve faster growth when entering export market Openness increases imports and exports of goods and services and improves domestic technology As a result, the production process can be more efficient and productivity increased As a result, economies are open to world trade; grow faster than countries with closed economies and the increase in openness is assumed to have a positive effect on growth, empirical studies, trade openness positively affects the growth rate economic growth (Edwards, 1992; Wacziarg, 2001; Sinha D and T Sinha, 2000) However, not all economists agree that trade openness plays an important role Rodriguez and Rodrik (1999) show that the positive correlation between trade openness and growth is not strong due to the method of measuring trade openness and the lack of appropriate control variables 2.2.6 Exchange rate The effect of exchange rate on stock prices is explained by many researchers Gan, Lee and Zhang (2006), Narayan, PK and Narayan, S (2010) and Solnick (1987) show the effect The movement between exchange rates and stock prices is covariate Ajayi and Mougoue (1996) show that currency devaluation has negative effects both in the short run and in the long run for the stock market Ma and Kao (1990), and Mukherjee and Naka (1995) argue that exchange rates have a positive effect on exporting firms in countries with undervalued local currencies, promoting exports 2.2.7 Influence of international factors on the domestic stock market 2.2.7.1 The spread from the world stock market International financial integration makes the level of linkage between stock markets become tighter Empirical studies around the world have provided many approaches to study the degree of association and spillover effects of numbers such as the study of Bekaert and Harvey (1997) on the level of market influence Worthington and Higgs (2004) in emerging markets, are often more affected by their own shocks than by external shocks 2.2.7.2 Effects of global macro variables In parallel with studies on the influence of macroeconomic factors on stock prices, many global economic variables are also applied in emerging market studies Harvey, 1995; Fifieldet al., 2002 argues that global market yields, in terms of oil prices and industrial production index, global inflation have an influence on stock price movements in some countries such as Fifield's study et al (2002); Fifield and Power (2006) There are also influences from oil prices and gold prices in the world: Jones and Kaul (1996) pointed out the negative impact of oil prices on the stock market Research has demonstrated that fluctuations in oil prices reduce the company's real cash flow because high input costs cause difficulty in selling output The price of gold also affects the stock market, because when the price of gold rises with an attractive expected return Securities companies must watch the movement of the gold market and worry that some investors in the stock market will shift their portfolios to gold 11 CHAPTER INTRODUCTION TO SOUTHEAST ASIA STOCKS MARKET The ASEAN stock market has grown significantly in size since the early 1990s, fueled by strong international investment flows, increasing regional financial integration, capital account liberalization, and more and improve market structure The evolution of the stock market provides a more diversified range of financial intermediaries to support growth, thereby underpinning medium-term financial stability The growing role of the stock market has the potential to change the nature of macroeconomic and financial stability risks, as well as the policy requirements for dealing with these risks The strong economic fundamentals of the Association of Southeast Asian Nations (Asean) offer promising investment opportunities for stocks listed after the Covid-19 pandemic The World Bank forecasts economic growth for ASEAN countries at -4.3% for 2020 and +5.4% in 2021 In North Asia, which includes China, South Korea and Taiwan, economic growth health is expected to fall 2% in 2020 and then rise by 8.1% in 2021 the stock market has been ASEAN neighbors surpassed North Asian giant in a decade, despite the In fact, the ASEAN region is the world's third most populous region, the sixth largest economic bloc, and the fourth largest in terms of trade One challenge for ASEAN is that the bloc's listed stocks have more sectors in the traditional economy than North Asian listed companies Asia's dominant technology companies tend to be listed in China, Korea, and Taiwan; while ASEAN, along with India, has many of the most attractive banks in the region An overview of each market is presented in the thesis In general, the ASEAN countries in the research period have the following characteristics: (1) strong money supply growth, countries that maintain flexible exchange rates, especially after 2008-2009, and have market cohesion capital in ASEAN on monetary policy Singapore and Thailand are two countries with the strongest economic openness in the region and export of Thailand 12 CHAPTER RESEARCH RESULTS 5.1 Research data analysis The escriptive statistics of stock markets in Southeast Asia – ASEAN (Indonesia – IND, Malaysia – MYS, Philippines – PHL, Singapore – SGN, Thailand – THA) and Vietnamese stock market South (VNM) The mean return and standard deviation (risk) are calculated for the year There is a significant difference in the yields across markets While the Indonesian market performed best with a high yield (13.93%), the Singapore market only achieved an average return of 3.7% with a comparable level of risk Vietnam's average yield is the lowest, reaching only 0.87%/year during the study period It can be seen that higher risk does not imply higher return Markets like Vietnam or Singapore, despite their high volatility, have relatively low average yields The Jarque-Bera test is statistically significant at the 1% level, thereby rejecting the null hypothesis , concluding that all data series of the countries are not normally distributed In general, market returns are not normally distributed, pointed and negatively skewed Macroeconomic variables of ASEAN countries shows that money supply in all countries increased during the study period in which Singapore, Vietnam and the Philippines increased by 1%/month on average Malaysia has the lowest increase in money supply, averaging 0.7%/month Thailand has the highest average inflation at 1.1%/month but the level of inflation is less volatile with a standard deviation of 0.15%, in contrast to Indonesia and Vietnam which are the countries with the second highest inflation ( 0.5%/month) but has high inflation volatility (standard deviation 0.7%) compared to other countries in ASEAN During the study period, only Thailand and Malaysia experienced a slight increase in average interest rates The growth rate of total industrial output Thailand ranks first in the countries (average growth is 1.18%/month), followed by Vietnam (1%), Singapore (0.6%/month), other countries and territories In Indonesia, Malaysia and the Philippines, output output growth is equal to 50% of Singapore's and 30% of Thailand's (average increase of 0.3%/month), showing that Thailand, Vietnam and Singapore are economies that still maintain Maintaining ASEAN's good growth position, Singapore is a country 13 that strongly participates in global trade flows and maintains its position in international manufacturing supply chains, so it maintains growth The local currencies of all countries showed a tendency to depreciate against the USD during the study period, except for the SGD with a slight appreciation against the USD This shows that countries in Southeast Asia maintain export growth and improve the trade balance Singapore and Malaysia have about 14%/month In contrast, Indonesia and the Philippines in the period 2001 to now show trade balance deficits at 2.8%/month and 4.48%/month, respectively The Philippines during this period imported more A statistical description of global macro variables (changes in gold prices, oil prices, industrial production index, global interest rates) and international equity markets (global stock yields, markets in the US, Japan, Hong Kong and Korea) During the research period, gold price increased by 0.85%/month on average and oil price increased by 0.70%/month on average Investing in gold and oil has a higher average return on investment than investing in the stock market The stock market averages 0.28%/month, or 3.4%/year In the international stock markets, the Korean market and the US market have positive yields, while the Japanese market's yields are relatively low In general, ASEAN countries all have higher economic growth rates than global economic growth 5.2 PCA analysis for macro factors of ASEAN countries The main components PC built from 06 macroeconomic variables Based on the loosened Kaiser criteria, the study will retain main PC components from PC1 to PC4 respectively for markets of Indonesia, Malaysia, Philippines, Singapore and Vietnam, except for Thailand market, only components will be retained main part PC1 and PC2 Summary table of main components in the PCA analysis of macro variables of ASEAN countries IND SGP MY S PHL PC1 FX (+) MS (-) MS (+) TB (-) FX (-) MS (+) FX, IR (+) MS(-) PC2 IPI, CPI (+) IR (-) FX, IR (+) PC3 CPI, TB (+) PC4 IPI, TB (+) CPI, IPI (+) IPI (+) CPI, IPI, TB (+) CPI, IPI, TB, IR (+) IR (+) TB (+) IPI (+) TB (-) TB (+) 14 EXCUSE VNM CPI, IPI, MS, FX (+) IR (-) MS, CPI, IR (+) TB (+) FX(-), IPI(+), IR(+) TB (+) IPI (+) It can be seen that the money supply variable (MS) accounts for the main proportion in PC1 of most countries (except the Philippines) and MS has a positive effect on PC1 for Singapore, Malaysia, Thailand and Vietnam and affects opposite to Indonesia's PC1 Besides money supply, the exchange rate is also a major factor in PC1 of countries (except Singapore) and has a positive effect on PC1 in Indonesia, Thailand and Philippines, but opposite effect on PC1 of Malaysia Although the proportion of components of each PC is different in different countries, in general these PCs include the main components: IPI, CPI, TB, IR, FX and MS and these factors are all factors economy and reflects an indicator of the economy's financial, monetary and production Analysis of the main components in the group of global variables (World PCA) shows that PC1 has the proportion of 44.42%, PC2, PC3, and accounts for about 11%, the total of the first 04 PCA accounts for 80, 22% in global PCA As shown in Table 5.8, the main component of the global PC1 is the global market share yield (MSCI) and the Hong Kong, US, Japanese and Korean stock markets PC2 includes international gold price yields (positive effect) and global industrial output (negative effect) PC3 includes oil, global industrial output (positive effect) and global interest rate (negative effect) PC4 contribution of 02 main components, OIL and WR, is closely correlated with PC4 Summary of the main components in PCA for global stock market and macroeconomic variables Table 5.8 summarizes the results from applying PCA to global equity and macroeconomic variables for the 20-year period 2001 2020 The order of variables in each cell is based on the size of the multiplier load The factor and influence direction of each PC are in parentheses World PC1 HK, JP, KOR, US, WMSCI (+) PC2 GOL (+) WIPI (-) PC3 WIPI, OIL (+) WR (-) PC4 WR, OIL (+) 5.3 Study on the impact of macroeconomic variables on stock price indexes of ASEAN countries -5 15 Two regression methods were estimated for each market: AR autocorrelation regression and VAR autocorrelation vector regression The macroeconomic variables have an effect on yields in ASEAN markets , however the explanatory level of domestic macro variables for yields is relatively low The R-squared index is highest in Indonesia (nearly 30%), followed by the Philippines (19%) The R-squared index in Singapore and Malaysia markets is quite low (about 10%), and especially in Thailand market, the domestic macro variables only explain nearly 3% of the volatility of stock returns Among the ASEAN markets, it is understandable that the Singapore market is most affected by global macroeconomic variables The macroeconomic variables that affect the yields of ASEAN markets The Indonesian market is influenced by the PC1 variable (money supply and exchange rate) Increased money supply stimulates economic growth, businesses get better business results, causing stock yields to increase The falling exchange rate also attracted more foreign capital inflows, causing stock yields to rise Similar to the Indonesian market, the Malaysian market is also affected by the money supply and exchange rate variables (PC1), in addition, Malaysia is also influenced by the interest rate variable (PC3) An increase in money supply and a decrease in interest rates will stimulate economic development and increase stock yields The Philippine stock market is also affected by exchange rate variables and interest rates As for Singapore, which is the most open market in the region, this market is also influenced by the openness of the economy The more open the economy is, the more heavily stock markets are affected by fluctuations in global markets, which causes market yields to fluctuate more in proportion to yields in global markets Among the ASEAN markets, it is completely understandable that the Singapore market is most affected by global macroeconomic variables Variables such as the rate of domestic production or domestic inflation have an effect only on the market Thailand With the international variable, all markets are affected by the WPC1 variable (the variable representing the international and regional stock markets), in which the Singapore market is the most affected market In addition, some ASEAN stock markets (Singapore, Thailand, Indonesia) are also affected by gold price fluctuations (WPC2 variable) 16 Granger Causality Research Country IND MY S EXCUSE PHL SGN Causality Granger Causality LPC2 (IPI, CPI, IR) and WPC1 (yielding global equities) Granger causality yield stocks Indonesia Indonesia Stock Yield Granger causality LPC1 (MS, FX) WPC1 (yielding global equities) Granger causality yield stocks Malaysia Malaysia stock yields Granger causality LPC1 (MS, FX) WPC1 (yielding global equities) Granger causality yield stocks Thailand Thailand Stock Yield Granger causality LPC1 (CPI, IPI, MS, FX, IR) and LPC2 (TB) WPC1 (yielding global equities), WPC2 Granger causality yield stocks Philippines LPC3 (CPI, IPI) and WPC3 (WIPI, OIL, WR) Granger causality yield stocks in Singapore Singapore stock yield Granger causality LPC1 (MS, TB), LPC4 (IPI) Research results show that domestic macroeconomic variables have an influence on stock returns in ASEAN markets However, the WPC1 variable (global stock yield) is a causal variable The biggest impact on stock yields in ASEAN markets Market yields in ASEAN countries are more responsive to fluctuations in the international market than to domestic macro fluctuations In addition, the research results also show that stock returns also have an inverse causal relationship with macroeconomic variables To study the sustainability of the model (robustness check), the thesis also conducts separate research for each macroeconomic variable Variables MS and FX are the two main components in PC1 of these markets and have opposite signs Particularly for the Thai market, macroeconomic variables FX, IPI, IR, MS and CPI have a very high correlation with each other (the correlation coefficients for each pair have absolute values greater than 0.8) the study only keeps variables MS and TB (also corresponding to variables PC1 (including components FX, IPI, IR, MS and CPI) and variable PC2 (including TB)) For international variables, the study retains variables representing international interest rates, international output, interest rates, gold prices, oil prices and global stock return variable (due to international yield variables) are highly correlated with each other) Testing the relationship between macro factors and stock returns of ASEAN countries – Individual test 17 Country IND MY S EXCUSE PHL SGN Causality Granger Causality Domestic factors related to monetary policy MS, IR and international stock yield factor WMSCI Granger causality Indonesian stock yield Yields on Indonesian stocks Granger causality money supply MS WMSCI (yielding global equities) Granger causality yield stocks Malaysia Malaysian Stock Yield Granger causality MS WMSCI (yielding global equities) Granger causality yield stocks Thailand WMSCI (yielding global equities) Granger causality yield stocks Philippines Domestic factors CPI and IPI and international factors WIPI Granger causality yield stocks in Singapore Thus, the results of the study of single variables are quite similar to those of the PCA study However, the PCA study has the advantage of not removing highly correlated variables 5.4 Analysis effects from world stock markets to ASEAN stock markets Research shows that all markets are strongly influenced by WPC1 factor, proving that the influence of international stock markets on regional markets is very large In this part, the thesis uses the method of variance decomposition to study the effect of a shock in the international and regional markets on the stock market i From the above test results, it can be seen that the stock markets of ASEAN countries are affected by fluctuations in the stock markets of the US, Japan, Korea, and Hong Kong Yields of ASEAN countries are all affected by fluctuations in the US stock market, of which Singapore and Thailand are most affected This is explained as two economies that are open to dynamic integration in the region The financial market size of Singapore and Thailand is larger than that of other countries in the region, attracting international capital flows into markets In this market, however, Indonesia and the Philippines are heavily influenced by domestic volatility Although there is volatility and is influenced by external shocks, the inter-term volatility level in ASEAN countries is stable at around 6%, except for Malaysia, the inter-term fluctuation level (if there is a shock from the economy) domestic and global economy) at nearly 4% 5.5 The influence of macro factors on Vietnam's stock market 18 It can be seen that domestic and international macroeconomic variables have an influence on stock yields in Southeast Asian markets In this part, the thesis studies the influence of these macroeconomic variables on the Vietnamese market Vietnam's stock market is a nascent stock market in the region On July 28, 2000, the Ho Chi Minh City Stock Exchange Center officially came into operation with the first trading stocks The research sample for Vietnam market is calculated from 2008 to 2020 Since the research sample is different from the sample of ASEAN-5 markets, the thesis re-tests PCA for international variables and identifies PCs are WPC1 (HK, JP, KOR, US, WMSCI (+)), WPC2 (GOL (+)) and WPC3 (WR(+) and WIPI (-)) VAR analysis results for Vietnam market also give similar results The study also performed VAR analysis with initial variables (without using PCA) and the research results showed that domestic macro factors such as MS money supply, IR interest rate, FX rate and stock market factors WMSCI international stocks and global WIPI growth rate “Granger cause” stock returns in Vietnam market Since Vietnam's stock yields are strongly influenced by the international stock market, the thesis continues to study the linkages between Vietnam and markets in the region and in the world The study uses the VAR method and the variance decomposition study for the effect of a shock from one market to other markets in the region The link between Vietnam and other countries is still low Although Vietnam is gradually integrating into the global economy and the stock market is also growing, compared to other intraregional countries, Vietnam is still quite isolated and tends to be isolated from the volatility general of the world Up to 67% of errors in forecasting Vietnam's yield movements stem from internal shocks The effect of external shock only explains 33% Vietnam is most strongly influenced by the US market (21% after 10 months), then Japan (5.84%) and Hong Kong (4.68%) The influence of regional markets (ASEAN countries) on Vietnam is negligible 19 CHAPTER CONCLUSION OF RESEARCH PROBLEM AND POLICY IMPLICATIONS ONLY 6.1 Conclusion of research problem The thesis accomplishes the tasks set out as follows: Firstly , the thesis has systematized the theoretical basis of factors affecting stock prices such as macro factors (inflation, money supply, trade balance according to asset pricing models such as APT Secondly, the thesis has focused on analyzing and comparing macro factors affecting stock prices in some Southeast Asian markets, using PCA analysis method Specifically: The thesis analyzes the influence of macro factors of countries and the influence of global factors on the yield of the market of countries in Southeast Asia: Singapore, Malaysia, the Philippines and Thailand over a period of 20 years year (from January 2001 to January 2020) By principal components analysis (PCA) method and VAR test, the thesis has built the weighted main components that have great influence on yield fluctuations of these markets The macroeconomic variables of the selected countries, the level of inflation, the output of the economy (IPI Index), the exchange rate, interest rates, and the trade balance all have an influence on the volatility market returns Money supply growth of ASEAN countries and Vietnam in the research period has a positive influence on stock market yields of countries in the region The thesis shows that money supply growth has a positive effect on the stock indexes of Singapore, Malaysia, Thailand and Vietnam and has a negative effect on Indonesia This shows that from 2009 until now, ASEAN has well implemented monetary policy and brought stability in both prices and output during a considerable period in the country and before regional instability and changes A flexible inflation targeting capital market commitment AFC framework including an exchange rate-based targeting approach unique to Singapore has helped the ASEAN-5 economies thrive Therefore, the improvement of ASEAN's monetary policy achieves its goal in the face of challenges from the external environment The undervaluation of the local currency against the US dollar helps the ASEAN market to implement its export-oriented economic development strategy However, for the two markets of Indonesia and 20 the Philippines in the research period, although the local currency depreciated more than the USD, both of these economies showed trade balance deficits, and the interest rates of these two markets most affected by its internal economic situation Independent test for the Vietnamese market because the stock market developed later, the research data selected from 2008-2020 shows that for the Vietnamese market, the research shows the influence of policy-related factors currency (PC1) when inflation is high, the central bank can reduce the money supply and raise interest rates This policy will negatively affect economic growth, investment opportunities of businesses, and reduce stock yields Global stock yields have the largest causal effect on stock yields in ASEAN markets Market yields in ASEAN countries are more responsive to fluctuations in international markets than they are in ASEAN markets in the face of macroeconomic fluctuations in the country In addition, the research results also show that stock returns also have an inverse causal relationship with macroeconomic variables Third, the thesis analyzed the influence of external shocks on the markets of ASEAN countries and applied them to Vietnam Research results point out global factors such as: inflation, global industrial output index, oil price, gold price, interest rate the volatility of the US stock market and some markets in the region Asia: Japan, Hong Kong, and South Korea have varying degrees of influence on ASEAN markets, and in general, Southeast Asian countries' participation in the global system integration is still weak, except Singapore and Thailand The ASEAN countries and the whole Vietnam market are affected by fluctuations from the US market, of which Singapore is the most affected, followed by Thailand The rest of the economies are also affected by the US stock market, but to a lesser extent This also shows that the level of participation in globalization and trade liberalization of Singapore and Thailand is better than that of other countries in the region but is affected by the shocks of the global economy and the size of the economy The size of financial markets in Singapore and Thailand is larger than that of other countries in the region, attracting international capital flows into these markets, and Indonesia and the Philippines are greatly influenced by domestic macro fluctuations For the Vietnamese market, it is still quite separate and tends to be isolated from the general fluctuations of the world Up to 67% of 21 errors in forecasting Vietnam's yield movements stem from internal shocks The effect of external shock only explains 33% Vietnam is most strongly influenced by the US market, followed by the Asian markets of Japan and Hong Kong Finally , the research shows that the level of mutual influence between ASEAN markets is not clear The influence of regional markets (ASEAN countries) on Vietnam is negligible ASEAN markets are influenced by global (US) and regional (Japan, Hong Kong) markets , which shows that along with the increasing size of ASEAN and Vietnam stock market capitalization, the market shows Southeast Asian markets participate more actively in the globalization trend and attract the attention of domestic and foreign investors to emerging markets more and more strongly 6.2 Recommendation for investors, policy makers Through the study of the influence of macro factors (domestic and international) on the stock market of ASEAN countries, it shows that the internal macro factors of the countries have a direct influence on these markets and the extent to which they are affected the impact of international markets (USA, Hong Kong, Japan), oil prices, gold prices affect the volatility of the markets The research results indicate the following market volatility: 6.1.1 For investors The thesis research results show how investors in the ASEAN stock market and the Vietnamese market should consider the movement of macroeconomic variables Any change in the macro environment could signal a need for a revised investment strategy as: Inflation; Policymakers' decisions about exchange rate adjustments; volatility of the domestic market and the influence of the international market, investors need to build and control risks closely to ensure the return on investment For the Vietnamese market: the research shows that the Vietnamese market is influenced by domestic macro factors and the US international market, and is almost unaffected by fluctuations in markets in other countries In the region, the Vietnamese market is a frontier market, so this fluctuation is influenced by the macro policy (monetary policy) of the Vietnamese government and the internal market Therefore, updating domestic macro-policy news is important as a signal to investors in the Vietnamese market (for example: resolutions of the party congress, national strategy reports, updated 22 information, etc.) interest rate policy changes, exchange rate adjustments, foreign trade, domestic production, etc.) 6.1.2 For managers, financial supervisors of countries • Firstly, macroeconomic variables can be considered as leading indicators of stock market indexes of Southeast Asian countries and vice versa Current data and information on macroeconomic indicators is useful for policymakers to revise or implement new policies to improve the performance of the stock market In contrast, the history and current information of the stock market can be useful for policymakers to revise or implement new policies to stimulate economic growth and expand foreign investment • Second, monetary policies must take into account the stability of the price level, the restriction of money supply and the increase of interest rates Any increase in the inflation rate and the real money supply or any decrease in the real refinancing rate could lead to a decrease in stock market returns under conditions of excessive growth level • Third, policy makers need to maintain flexibility in the exchange rate policy of the local currency against the USD 6.2 Recommendations for Vietnam Based on the study of factors affecting stock prices in the ASEAN market, and applied in Vietnam, it shows the influence of macro factors on Vietnam's stock yields in 04 domestic macro PCs There are significant variables at 10% (PC1 (money supply (-), CPI (+), interest rate (+) ), PC2 (exchange rate (-), industrial production index (+), profit yield (+)), PC3 (balance of trade (+)) and PC4 - index of industrial production (+)) Therefore, for Vietnam's stock market to be an effective channel to mobilize capital and promote growth In economic terms, the thesis would like to propose some suggestions for policy makers to develop the Vietnamese market as follows: Completing macroeconomic policies in line with the goals of economic growth and development of the stock market The study points out three macro factors affecting the development of the Vietnamese market that need to be considered: monetary policy (Exchange rate policy, interest rates), and production promotion in the economy Continue to supervise credit institutions, closely supervise the banking system and state-owned corporations holding dominant capital 23 Managing foreign investment capital flows Continue to participate in the joint program to develop capital markets in the ASEAN region Developing production with domestic capital, boosting exports to improve Trade Balance 6.3 Limitations of the thesis and future research directions Limitations of the thesis: (i) the sample size of the study is relatively small due to time limitations (ii) the outcome of the study depends mainly on the quality of the statistical data, in the short term, any change in statistical methodology (e.g in the case of CPI) or the introduction of of any new index may limit the number of observations over a certain period of time, leading to obstacles in strategic planning, policy-making and forecasting of the economy; (iii) the study selects the main stock market index of each market as a dependent variable, which does not fully reflect the stock market activities in ASEAN countries ( in case Vietnam chooses the VN-Index) -Index (VNM) while other major stock indices - can also be considered, such as HNXIndex (indicating the price change of all stocks traded on the Hanoi Stock Exchange) Internal) or UPCoM-Index (reflecting the price movements of all shares traded on the unlisted public market) Although still limited, the results of this study can help investors refer to perfecting investment strategies in emerging markets and the Vietnamese market, and help policy makers perfect their policies policies on market development, capital mobilization channels for the economy and macroeconomic policy management for economic development in Vietnam 24 CONCLUSIONS Research on the influence of macro factors on market yields in different countries has attracted the attention of investors and policy makers The development of the stock market can be considered as an important benchmark to determine the prosperity and sustainability of the whole economy The research results of the thesis have supplemented with empirical evidence of the asset pricing model Arbitrage pricing theory (APT) The study has built an equation showing the interaction between ASEAN stock market index and Vietnam market with six domestic macroeconomic indicators and international factors, all of which have statistical significance 5% The thesis's data collected monthly reflects the reality and reliability of the research results of the thesis In addition to some common variables in the previous studies (i.e inflation rate, interest rate, money supply), the study has added international and regional factors such as US stock indexes, Japan, Hongking, etc oil price, international market yield WMSCI to show the extent of influence of these factors on stock markets of ASEAN countries, external shock effects when ASEAN's economy integrates into the world Macroeconomic variables, including economic growth, consumer price index, money supply, interest rates, USD/VND exchange rate and trade balance, have been shown to have a significant interaction with profitability performance of the Vietnamese stock market and the volatility of the index in the long or short term, through the presence of cointegration and Granger causal links With these results, policy implications and investment implications are proposed to enhance the sustainability of the macro-economy's growth in order to develop Vietnam's stock market Any change in macroeconomic indicators could affect the Vietnamese stock market It shows the need for careful consideration before implementing or modifying macroeconomic policies to avoid any negative impact on the stock market The thesis recommends that policy makers should maintain sustainable economic growth, limit inflation, control the expansion of money supply, increase interest rates, moderate the devaluation of the domestic currency and encourage export production both towards the development of Vietnam's stock market in the long-term, maintaining the capital channel for businesses and the economy 25 RESEARCH PUBLICATION Article published in Scientific Journal Nguyen Thi Thanh Phuong, Vu Thanh Xuan, Nguyen Thi Hoang Anh (2021) The influence of macro factors on the stock market of Southeast Asian countries , Journal of political science, expected to be published in July 2021 Nguyen Thi Thanh Phuong (2021) Strengthening the development of green banking in Asean – Some recommendations for the Vietnamese market , Development Support Journal No 173, June 2021 Nguyen Thi Thanh Phuong, Nguyen Thi Hoang Anh (2021): Research on the influence of macro factors and international markets on Vietnam's stock market , Economic and Forecast Journal, expected to be published in December 2021 Research topic Nguyen Thi Thanh Phuong and collaborators (2017), Research on solutions to support the export of key agricultural products of Bac Giang Province- leader of Provincial Scientific Research ProjectPeople's Committee of Bac Giang Province Articles of domestic and international conferences Nguyen Thi Thanh Phuong (2013), Estimating minimum portfolio of stocks in S&P 900 , International conference: Financial markets and macroeconomic policy ISBN: 987-604-911-430-4 Nguyen Thi Thanh Phuong et al (2015), Factors that affect stock-return: evidence of petroleum and gas industry in Vietnam's stock market, Workshop: Development of emerging financial market, ISBN: 987-604-93-88774 2015 Nguyen Thi Thanh Phuong (2014) Enterprise risk management can increase firm value by reducing tax burden: a literature review Workshop: Public Finance and Financial Market development, ISBN: 987-604-93-8876-7