Araştırma Makalesi
BibTex RIS Kaynak Göster

Yıl 2018, Cilt: 5 Sayı: 1, 38 - 57, 30.03.2018

Thu Thuy Nguyen Kadom Shubber

https://doi.org/10.17261/Pressacademia.2018.783

Öz

Kaynakça

  • Alexander, C. 1998, Risk Management and Analysis: Measuring and Modeling Financial Risk, Chichester: John Wiley & Sons Ltd.
  • Alexander, C. 2007, Market Models: A Guide to Financial Data Analysis, New York: John Wiley & Sons Ltd.
  • Bollerslev, T. 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Vol. 31, pp. 307–328.
  • Brooks, C. & Persand, G. 2003, “The Effect of Asymmetries on Stock Index Return Value-at-Risk Estimates”, The Journal of Risk Finance, pp. 29-42.
  • Chen, N. F., Roll, R., & Ross, S. A. 1986, "Economic Forces and the Stock Market", The Journal of Business, Vol. 59, No. 3, pp. 383-403.
  • Connolly, R. A. 1989, “An Examination of the Robustness of the Weekend Effect”, Journal of Financial and Quantitative Analysis, Vol. 24, pp. 133-169.
  • Do, G. Q., Mcaleer, M., & Sriboonchitta, S. 2009, “Effects of International Gold Market on Stock Exchange Volatility: Evidence from ASEAN Emerging Stock Markets”, Economics Bulletin, Vol. 29, No. 2, pp. 599-610.
  • Enders, W. 2004, Applied Econometric Time Series, Second Edition, Wiley.
  • Enders, W. 2015, Applied Econometric Time Series, Forth Edition, Wiley.
  • Engle, R.F. 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation”, Econometrica, Vol. 50, pp. 987-1008.
  • Eviews 8 User’s Guide I & II.
  • Fama, E. F. 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, pp. 383-417.
  • Fama, E. F. & French, K. R. 1989, “Business Conditions and Expected Returns on Stocks and Bonds”, The Journal of Financial Economics, Vol. 25, pp. 23-49.
  • Fan, J. & Yao, Q. 2003, Nonlinear Time Series: Nonparametric and Parametric Methods, New York: Springer-Verlag.
  • Floros, C. 2007, “The Use of GARCH Models for the Calculation of Minimum Capital Risk Requirements: International Evidence”, International Journal of Managerial Finance, Vol. 3, No. 4, pp. 360-371.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. 1987, “Expected Stock Returns and Volatility”, Journal of Financial Economics, Vol. 19, No. 1, pp. 3-29.
  • Hsing, Y. 2011, “Impacts of Macroeconomic Variables on Stock Market in Bulgaria and Policy Implications”, East-West Journal of Economics and Business, Vol. 14, No. 2, pp. 41-53.
  • Hussainey, K. & Le, N. K. 2009, “The Impact of Macroeconomic Indicators on Vietnamese Stock Prices”, The Journal of Risk Finance, Vol. 10, Iss.4, pp. 321- 332.
  • Huynh, T. C. H., Le, T. L., Le, T. H. M., & Hoang, T. P. A. 2014, “Kiem dinh cac nhan to vi mo tac dong den thi truong chung khoan Viet Nam” (“Testing the Effects of Macroeconomic Variables on the Vietnamese Stock Market”), Scientific Journal of An Giang University (Vietnam), Vol. 3, No. 2, pp. 70-78.
  • Gao, Y., Zhang, C., & Zhang, L. 2012, “Comparison of GARCH Models based on Different Distributions”, Journal of Computers, Vol. 7, No. 8, pp.1967-1973.
  • Gelman, A. & Hill, J. 2007, Data Analysis using Regression and Multilevel/Hierarchical Models, Cambridge: Cambridge University Press.
  • Kuwornu, J. K. M. 2012, “Effect of Macroeconomic Variables on Ghanaian Stock Market Returns: A Co-integration Analysis”, Agris on-line Paper in Economics and Informatics, Vol. 4, No. 2, pp. 1-12.
  • Kuwornu, J. K. M. & Victor, Owusu-Nantwi 2011, “Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation”, Research Journal of Accounting and Finance, Vol. 2, No. 4, pp.49-63.
  • Le, H. P. & Dang, T. B. V. 2015, “Kiem chung bang mo hinh ARDL tac dong cua cac nhan to vi mo den chi so chung khoan Vietnam” (“Verifying the Impact of Macroeconomic Factors to the Vietnam’s Stock Index by the ARDL Model”), Journal of Development and Integration, University of Economics and Finance (Vietnam), Vol. 20, No. 30, pp. 61-66.
  • Narayan, P. K. & Narayan, S. 2010, "Modelling the impact of oil prices on Vietnam's stock prices", Applied Energy, Vol. 87, Issue 1, pp. 356361.
  • Nguyen, T. 2011, "US Macroeconomic News Spillover Effects on Vietnamese Stock Market", The Journal of Risk Finance, Vol. 12, Issue 5, pp.389-399.
  • Phan, K. C. & Zhou, J. 2014, “Market Efficiency in Emerging Stock Markets: A Case Study of Vietnam’s stock market”, Journal of Business and Management, Vol. 16, Iss. 4, Ver. IV, pp. 61-73.
  • Samadi, S., Bayani, O., & Ghalandari, M. 2012, “The Relationship between Macroeconomic Variables and Stock Returns in the Tehran Stock Exchange”, International Journal of Academic Research in Business and Social Sciences, Vol. 2, No. 6.
  • Schwert, G. W. 1989, “Why does Stock Market Volatility Change Over Time?”, The Journal of Finance, Vol. 44, No. 5, pp. 1368-1388.
  • The World Bank (WB): World Bank Open Data, viewed 15 June 2014, http://data.worldbank.org/
  • Truong, D. L., Lanjouw, G., & Lensink, R. 2010, “Stock-Market Efficiency in Thin-Trading Markets: The Case Study in Vietnam’s stock market”, Applied Economics, Vol. 42, pp. 3519-3532.
  • Zakaria, Z. & Shamsuddin, S. 2012, “Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia”, Journal of Business Study Quarterly, Vol. 4, No. 2, pp. 61-71.

VIETNAM’S STOCK MARKET VOLATILITY UNDER MACROECONOMIC IMPACTS

Yıl 2018, Cilt: 5 Sayı: 1, 38 - 57, 30.03.2018

Thu Thuy Nguyen Kadom Shubber

https://doi.org/10.17261/Pressacademia.2018.783

Öz

Purpose - This study investigates whether the volatility of stock market returns is determined by macroeconomic variables either as individual or as a group, within the context of Vietnam – a frontier emerging market. Six macroeconomic factors have been selected, including economic growth (GDP), consumer price index (CPI), broad money supply (M2), interest rate (represented by refinancing rate – FR), foreign exchange rate USD/VND (EX), and foreign direct investment (FDI). 

Methodology - Using 161 monthly observations collected from August 2000 to December 2013, the paper employs general autoregressive conditional heteroskedasticity (GARCH) framework to measure stock market volatility as well as to estimate this volatility under indicated macroeconomic impacts. 

Findings - Taking the volatility clustering into account, the GARCH (1,1) models reveal that the volatility of Vietnam’s stock market returns is highly persistent, suggesting a long memory of the volatility in response of a shock. Additionally, the stock market volatility could be predicted better using previous shocks (i.e. those originating from GDP, CPI and EX) rather than the previous volatility itself.

Conclusion - The prediction of Vietnam’s stock market volatility could be better based on the selected macroeconomic indicators. A monthly change in consumer price index appears as the most essential indicator that help predicting the volatility of the Vietnam’s stock market. Any news about economic growth can be considered as the second significant factor in explaining Vietnam stock return volatility. Furthermore, the univariate analysis shows a statistical significant evidence for the impact of a change in the exchange rate (USD/VNA) on Vietnam’s stock market volatility. 

Anahtar Kelimeler

Stock market volatility macroeconomic factors GARCH emerging markets

Kaynakça

  • Alexander, C. 1998, Risk Management and Analysis: Measuring and Modeling Financial Risk, Chichester: John Wiley & Sons Ltd.
  • Alexander, C. 2007, Market Models: A Guide to Financial Data Analysis, New York: John Wiley & Sons Ltd.
  • Bollerslev, T. 1986, Generalized Autoregressive Conditional Heteroskedasticity, Journal of Econometrics, Vol. 31, pp. 307–328.
  • Brooks, C. & Persand, G. 2003, “The Effect of Asymmetries on Stock Index Return Value-at-Risk Estimates”, The Journal of Risk Finance, pp. 29-42.
  • Chen, N. F., Roll, R., & Ross, S. A. 1986, "Economic Forces and the Stock Market", The Journal of Business, Vol. 59, No. 3, pp. 383-403.
  • Connolly, R. A. 1989, “An Examination of the Robustness of the Weekend Effect”, Journal of Financial and Quantitative Analysis, Vol. 24, pp. 133-169.
  • Do, G. Q., Mcaleer, M., & Sriboonchitta, S. 2009, “Effects of International Gold Market on Stock Exchange Volatility: Evidence from ASEAN Emerging Stock Markets”, Economics Bulletin, Vol. 29, No. 2, pp. 599-610.
  • Enders, W. 2004, Applied Econometric Time Series, Second Edition, Wiley.
  • Enders, W. 2015, Applied Econometric Time Series, Forth Edition, Wiley.
  • Engle, R.F. 1982, “Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of UK Inflation”, Econometrica, Vol. 50, pp. 987-1008.
  • Eviews 8 User’s Guide I & II.
  • Fama, E. F. 1970, “Efficient Capital Markets: A Review of Theory and Empirical Work”, Journal of Finance, Vol. 25, pp. 383-417.
  • Fama, E. F. & French, K. R. 1989, “Business Conditions and Expected Returns on Stocks and Bonds”, The Journal of Financial Economics, Vol. 25, pp. 23-49.
  • Fan, J. & Yao, Q. 2003, Nonlinear Time Series: Nonparametric and Parametric Methods, New York: Springer-Verlag.
  • Floros, C. 2007, “The Use of GARCH Models for the Calculation of Minimum Capital Risk Requirements: International Evidence”, International Journal of Managerial Finance, Vol. 3, No. 4, pp. 360-371.
  • French, K. R., Schwert, G. W., & Stambaugh, R. F. 1987, “Expected Stock Returns and Volatility”, Journal of Financial Economics, Vol. 19, No. 1, pp. 3-29.
  • Hsing, Y. 2011, “Impacts of Macroeconomic Variables on Stock Market in Bulgaria and Policy Implications”, East-West Journal of Economics and Business, Vol. 14, No. 2, pp. 41-53.
  • Hussainey, K. & Le, N. K. 2009, “The Impact of Macroeconomic Indicators on Vietnamese Stock Prices”, The Journal of Risk Finance, Vol. 10, Iss.4, pp. 321- 332.
  • Huynh, T. C. H., Le, T. L., Le, T. H. M., & Hoang, T. P. A. 2014, “Kiem dinh cac nhan to vi mo tac dong den thi truong chung khoan Viet Nam” (“Testing the Effects of Macroeconomic Variables on the Vietnamese Stock Market”), Scientific Journal of An Giang University (Vietnam), Vol. 3, No. 2, pp. 70-78.
  • Gao, Y., Zhang, C., & Zhang, L. 2012, “Comparison of GARCH Models based on Different Distributions”, Journal of Computers, Vol. 7, No. 8, pp.1967-1973.
  • Gelman, A. & Hill, J. 2007, Data Analysis using Regression and Multilevel/Hierarchical Models, Cambridge: Cambridge University Press.
  • Kuwornu, J. K. M. 2012, “Effect of Macroeconomic Variables on Ghanaian Stock Market Returns: A Co-integration Analysis”, Agris on-line Paper in Economics and Informatics, Vol. 4, No. 2, pp. 1-12.
  • Kuwornu, J. K. M. & Victor, Owusu-Nantwi 2011, “Macroeconomic Variables and Stock Market Returns: Full Information Maximum Likelihood Estimation”, Research Journal of Accounting and Finance, Vol. 2, No. 4, pp.49-63.
  • Le, H. P. & Dang, T. B. V. 2015, “Kiem chung bang mo hinh ARDL tac dong cua cac nhan to vi mo den chi so chung khoan Vietnam” (“Verifying the Impact of Macroeconomic Factors to the Vietnam’s Stock Index by the ARDL Model”), Journal of Development and Integration, University of Economics and Finance (Vietnam), Vol. 20, No. 30, pp. 61-66.
  • Narayan, P. K. & Narayan, S. 2010, "Modelling the impact of oil prices on Vietnam's stock prices", Applied Energy, Vol. 87, Issue 1, pp. 356361.
  • Nguyen, T. 2011, "US Macroeconomic News Spillover Effects on Vietnamese Stock Market", The Journal of Risk Finance, Vol. 12, Issue 5, pp.389-399.
  • Phan, K. C. & Zhou, J. 2014, “Market Efficiency in Emerging Stock Markets: A Case Study of Vietnam’s stock market”, Journal of Business and Management, Vol. 16, Iss. 4, Ver. IV, pp. 61-73.
  • Samadi, S., Bayani, O., & Ghalandari, M. 2012, “The Relationship between Macroeconomic Variables and Stock Returns in the Tehran Stock Exchange”, International Journal of Academic Research in Business and Social Sciences, Vol. 2, No. 6.
  • Schwert, G. W. 1989, “Why does Stock Market Volatility Change Over Time?”, The Journal of Finance, Vol. 44, No. 5, pp. 1368-1388.
  • The World Bank (WB): World Bank Open Data, viewed 15 June 2014, http://data.worldbank.org/
  • Truong, D. L., Lanjouw, G., & Lensink, R. 2010, “Stock-Market Efficiency in Thin-Trading Markets: The Case Study in Vietnam’s stock market”, Applied Economics, Vol. 42, pp. 3519-3532.
  • Zakaria, Z. & Shamsuddin, S. 2012, “Empirical Evidence on the Relationship between Stock Market Volatility and Macroeconomics Volatility in Malaysia”, Journal of Business Study Quarterly, Vol. 4, No. 2, pp. 61-71.
Toplam 32 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Bölüm Articles
Yazarlar

Thu Thuy Nguyen Bu kişi benim 0000-0001-8001-037X

Kadom Shubber Bu kişi benim 0000-0002-3915-8003

Yayımlanma Tarihi 30 Mart 2018
Yayımlandığı Sayı Yıl 2018 Cilt: 5 Sayı: 1

Kaynak Göster

APA Nguyen, T. T., & Shubber, K. (2018). VIETNAM’S STOCK MARKET VOLATILITY UNDER MACROECONOMIC IMPACTS. Journal of Economics Finance and Accounting, 5(1), 38-57. https://doi.org/10.17261/Pressacademia.2018.783

Journal of Economics, Finance and Accounting (JEFA) is a scientific, academic, double blind peer-reviewed, quarterly and open-access online journal. The journal publishes four issues a year. The issuing months are March, June, September and December. The publication languages of the Journal are English and Turkish. JEFA aims to provide a research source for all practitioners, policy makers, professionals and researchers working in the area of economics, finance, accounting and auditing. The editor in chief of JEFA invites all manuscripts that cover theoretical and/or applied researches on topics related to the interest areas of the Journal. JEFA publishes academic research studies only. JEFA charges no submission or publication fee.

Ethics Policy - JEFA applies the standards of Committee on Publication Ethics (COPE). JEFA is committed to the academic community ensuring ethics and quality of manuscripts in publications. Plagiarism is strictly forbidden and the manuscripts found to be plagiarized will not be accepted or if published will be removed from the publication. Authors must certify that their manuscripts are their original work. Plagiarism, duplicate, data fabrication and redundant publications are forbidden. The manuscripts are subject to plagiarism check by iThenticate or similar. All manuscript submissions must provide a similarity report (up to 15% excluding quotes, bibliography, abstract and method).

Open Access - All research articles published in PressAcademia Journals are fully open access; immediately freely available to read, download and share. Articles are published under the terms of a Creative Commons license which permits use, distribution and reproduction in any medium, provided the original work is properly cited. Open access is a property of individual works, not necessarily journals or publishers. Community standards, rather than copyright law, will continue to provide the mechanism for enforcement of proper attribution and responsible use of the published work, as they do now.