Group 10

Research Presentation
The Impact of Monetary
Policy on Vietnam Stock
Market Index

30/12/2024
 Supervisor: Asso. Prof. Vo Thi Quy (PhD)

No. Student Name Student ID

1 Ngô Nguyên Cát Tường FAFBIU22219
2 Lâm Kim Vy FAFBIU22233
3 Nguyễn Nguyên Việt FAFBIU22228
4 Mai Lê Cát Tường FAFBIU22220
5 Nguyễn Nhã Phương Uyên BAFNIU21616
 Table of content
I. Introduction
II. Literature review
III. Research methodology
IV. Empirical findings

V. Conclusions and
recommendations
VI. References

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
INTRODUCTION
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Stock Market History

Vietnam Stock Market has been developing, transforming and upgrading over years despite many hardships.

Ho Chi Minh Stock Unlisted Public Company FTSE: Announcement that FTSE: Announcement that
Exchange (HOSE) Exchange (UPCOM) Vietnam would be upgraded to EM Vietnam would be upgraded to EM
Establishment Establishment status (high success chance) status (highly guaranteed)

Post-1986 2017-2024 2025

2000 2005 2009 2027 onwards

Ha Noi Stock FTSE: Vietnam has

Exchange (HNX) failed to be upgraded to
Establishment EM status many times

Frontier Market Promising Upgrading to

Emerging Market (EM)

Sources: FTSE Russell, VinaCapital, Team Collections.

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Stock Market Performance-Strong Growth

Vietnam Stock Index (VNI) (HOSE) is the most active with the highest index, monetary value flows, and highest liquidity.
Vietnam Stock Market Liquidity (1/2012-12/2024)
Vietnam Stock Market Performance (1/2012-12/2024) 2,000,000,000 d
m pe
u
1,600,000,000
t yp
uidi
1,800.00 1,200,000,000 l iq
Cyclical Performances ore
M
800,000,000
1,600.00
400,000,000
Highest Liquidity
1,400.00 0
12 12 12 13 13 14 14 14 15 15 16 16 17 17 17 18 18 19 19 19 20 20 21 21 22 22 22 23 23 24 24
-20 -20 -20 r-20 -20 -20 l-20 -20 -20 t-20 r-20 -20 -20 -20 -20 r-20 -20 -20 l-20 -20 -20 t-20 r-20 -20 -20 -20 -20 r-20 -20 -20 l-20
n n v p p b u c y c a g n n v p p b u c y c a g n n v p p b u
1,200.00 -Ja -Ju -No -A -Se -Fe 3-J -De -Ma -O -M -Au -Ja -Ju -No -A -Se -Fe 3-J -De -Ma -O -M -Au -Ja -Ju -No -A -Se -Fe 3-J
03 03 03 03 03 03 0 03 03 03 03 03 03 03 03 03 03 03 0 03 03 03 03 03 03 03 03 03 03 03 0

VNI HNX UPCOM Sources: Refinitiv

1,000.00
Vietnam Stock Market Net Monetary Flows (1/2012-12/2024)
800.00 Huge 3,500,000,000,000,000.00 t
e r es
Index Gap int
3,000,000,000,000,000.00 ore
600.00 m
d
2,500,000,000,000,000.00 a ine
e ng
400.00 2,000,000,000,000,000.00 s be
a
e th
Index Gap 1,500,000,000,000,000.00 Mar k
200.00 c k
1,000,000,000,000,000.00 Sto
t nam
0.00 500,000,000,000,000.00 Vie
Largest Value Flow
2 2 3 3 4 4 5 5 6 6 7 7 8 8 9 9 0 0 1 1 2 2 3 3 4 4
n -1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-2 l-2 n-2 l-2 n-2 l-2 n-2 l-2 n-2 l-2 0.00
u u u u u u u u u u u u u
Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J 12 12 13 13 14 14 15 15 16 16 17 17 18 18 19 19 20 20 21 21 22 22 23 23 24 24
20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20 -20 l-20
-500,000,000,000,000.00 -
an u an u an u an u an u an u an u an u an u an u an u an u an u
3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J 3-J
0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0 0
VNI HNX UPCOMI 0

Sources: Refinitiv VNI HNX UPCOM Sources: Refinitiv

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Stock Index (VNI)

Vietnam Stock Market performance has been going through many ups and downs but an overall growth over the decades.

Vietnam Stock Index Price performance (1/2012-12/2024)

1,800.00
Supportive
1,600.00 Monetary Policy Global
Economic
1,400.00 Slowdown

r ti v e Covid-19
1,200.00
p p o o l i cy
Su ta ryP
e
1,000.00
Mon
o mic
E c on
800.00 ro ng Post Entering new
ci al S t US-China Trade
F i na n
e ry r o wth Covid-19 business cycle
st o v G War
600.00 Po R ec Recovery
i s
Cris
400.00

200.00

0.00 Sources: Refinitiv, Team Analysis

Axis Title

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Stock Index (VNI)

VNI performance has been mainly driven by financials and industrials sectors affected by various economic & financial factors…

Oil Price (WTI) (1/2012-1/2023)

Vietnam Stock Index Sector Composition by
3000000
Market Cap (2024)
2500000

Utilities 2000000
Healthcare

VND Per Barrel

Energy 3%
Basic Ma- 5% 1%
1500000
terials
6% 1000000

Industrials 500000
7%
0
Financials 12 l-12 -13 l-13 -14 l-14 -15 l-15 -16 l-16 -17 l-17 -18 l-18 -19 l-19 -20 l-20 -21 l-21 -22 l-22 -23
-
n u n u n u n u n u n u n u n u n u n u n u n
45%
Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja
Consumer
Cyclicals
7% Sources: Refinitiv
Vietnam Discount Rate (1/2012-1/2024)
14
12
10

Percentage (%)
Consumer 8
Non- 6
Cyclicals
12% 4
Real Estate 2
13% 0
-12 l-12 -13 l-13 -14 l-14 -15 l-15 -16 l-16 -17 l-17 -18 l-18 -19 l-19 -20 l-20 -21 l-21 -22 l-22 -23 l-23 -24 l-24
Sources: Refinitiv n u n u n u n u n u n u n u n u n u n u n u n u n u
Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Stock Index (VNI)

More and more foreign investors participates in the Vietnam Stock Market despite many challenges…

Value of Foreign Investor Trading on HOSE by year (2013-2023) USD/VND Exchange Rate Volatility (1/2012-1/2024)
Eco
n
s Cha omic 26,000 FED rate hike 800
Risk lleng
i ty, Low es
L i qu i d 25,000 700
an ce,
erf orm n
n gP i atio
Stro 24,000 FED rate hike eprec 600
e D
D valu
V N
23,000 500

22,000 400
+/-5% FX margin control by
Less SBV
Attr 21,000 300
activ
e, Inef
ficie
nt m 20,000 200
arke
t
19,000 100

FX Upward Pressure 18,000 0

-11 -12 -12 -13 -13 -14 -14 -15 -15 -16 -16 -17 -17 -18 -18 -19 -19 -20 -20 -21 -21 -22 -22 -23 -23
ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov ay ov
N M N M N M N M N M N M N M N M N M N M N M N M N

ER VOL
Sources: Vietstock (2024) Sources: Refinitiv, Team Analysis

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Vietnam Central Bank- State Bank of Vietnam (SBV)

SBV Monetary Policy Functions SBV Monetary Policy Tools
Functions/Objectives Description Monetary Policy Tool Description

Firm, proactive, flexible management to control inflation The SBV provides short-term loans and payment
Monetary Policy (~4.5%) while supporting economic growth and facilities to credit institutions through refinancing,
Re-financing
Management maintaining macroeconomic stability. Credit growth target: including loans secured by valuable papers, discounts
14-15%. on valuable papers, and other forms of refinancing.

Focus on production, business, and priority fields. Strictly The SBV sets re-financing interest rates, key interest
Credit Growth Control control credit to risky areas and ensure support for Interest Rates rates, and other rates to manage monetary policy and
government programs. prevent high-interest lending.

Improve policy effectiveness, strengthen market rules and

State Management &
disciplines in alignment with government and SBV The SBV determines the exchange rates of VND
Enforcement
directions. Exchange Rates against foreign currencies based on market supply
and demand, with state regulation.

Reform administrative procedures, improve the investment

Regulatory Reforms and business environment, and enhance the quality of
public employees in the banking sector. The SBV sets reserve ratios for different types of
Reserve Requirements credit institutions and deposits, along with interest on
reserve deposits and excess deposits.

Implement the Vietnam Banking Sector Development

Development Strategy & The SBV conducts open market operations by buying
Strategy to 2025, Vision to 2030, and the National
Financial Inclusion Open Market Operations and selling valuable papers with credit institutions and
Financial Inclusion Strategy to 2025, Vision to 2030.
sets the types of valuable papers to be traded.

Sources: State Bank of Vietnam (2024) Sources: State Bank of Vietnam (2024)
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

State Bank of Vietnam (SBV)- Monetary Policy Tools

SBV conducts the monetary policy through two most frequent and effective tools: Open Market Operations and Discount Rate.

Open Market Operations (OMO) Discount rate

Vietnam Money Supply and Money Supply Change Lo Vietnam Discount Rate (1/2012-1/2024)
(%) monthly (1/2012-1/2023) w
14 ra
te
16000000 12.00% to
su
p po
12 rt
14000000 10.00% Cr
n to d i t y ed
l ati o l i q u i i t&
u 10
12000000
Circ ease Ec
y in incr 8.00%
on
10000000 o ne my, om Inflation + FX Control
n g M cono 8 ic
o e 6.00% Gr
Str and Active and Responsive ow
8000000 exp th
Operations 4.00% 6
6000000
2.00% 4
4000000

2000000 0.00% 2 Deeper cut for

Covid-19 recovery
0 -2.00% 0
-12 l-12 -13 l-13 -14 l-14 -15 l-15 -16 l-16 -17 l-17 -18 l-18 -19 l-19 -20 l-20 -21 l-21 -22 l-22 -23 12 -12 r-13 t-13 -14 -14 l-15 -16 -16 r-17 -17 -18 -19 -19 r-20 t-20 -21 -21 l-22 -23 -23 r-24 -24
n u n u n u n u n u n u n u n u n u n u n u n - y c u b p p v n n g a c y c u b p p v
Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja n g a c
Ja Au M O Ma De J Fe Se A No Ju Ja Au M O Ma De J Fe Se A No
M2 M2 Growth
Sources: Refinitiv Sources: Refinitiv

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Possible Relationship between Vietnam Stock Index and Monetary Polices

When SBV conducted Expansionary Monetary Policy, the Vietnam Stock Index tended to go up and vice versa…

Vietnam Stock Index (VNI) and Money Supply (M2) Vietnam Stock Index (VNI) and Discount Rate
(1/2012-1/2024) (1/2012-1/2024)
16000000 1600 1600 14

14000000 1400 1400 12

Expansionary
Monetary Policy
12000000 l i cy 1200 1200
o 10
ryP
eta
10000000 n 1000 1000
Mo 8
ry
na
8000000
n sio 800 800
xpa 6
E
6000000 600 600
4
4000000 400 400

2000000 Contractionary 2
200 200
Monetary Policy
0 0 0 0
-12 l-12 -13 l-13 -14 l-14 -15 l-15 -16 l-16 -17 l-17 -18 l-18 -19 l-19 -20 l-20 -21 l-21 -22 l-22 -23 -12 -12 r-13 t-13 -14 -14 l-15 -16 -16 r-17 -17 -18 -19 -19 r-20 t-20 -21 -21 l-22
n u n u n u n u n u n u n u n u n u n u n u n n g a c y c u b p p v n n g a c y c u
Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja Ja Au M O Ma De J Fe Se A No Ju Ja Au M O Ma De J

M2 VNI VNI Discount Rate

Sources: Refinitiv Sources: Refinitiv

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Background of the Study The Impact of Monetary Policy on Vietnam Stock Market Index

Objective, Scope and Significance

Objectives of the Study

• Objective: Analyze the long-run and short-run impact (e.g. positive or negative) of the Monetary Policies (e.g.
expansionary or contractionary) on Vietnam Stock Market Index, including Exchange Rate Volatility and Oil Prices
for a broader analysis.
• Model Selection: Using Autoregressive Distributed Lag (ARDL) Bound Testing with Error Correction Model (ECM).

Scope of the Study

• Timeframe: Monthly data from January 2012 to September 2018 was used to avoid structural break events,
hence increase model reliability, yet leave a limitation (e.g. COVID-19) .

Significance of the study

• Policy Insights: Provide suggestions for policymakers, central bank to implement effective monetary policies, as
well as other policies, to improve business performance, to improve stock index performance and attract more
investors, especially foreign investors.

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
LITERATURE REVIEW
Literature Review The Impact of Monetary Policy on Vietnam Stock Market Index

Theoretical review
Monetary Policies - Monetary transmission mechanism-Keynesian Theory
Monetary Policy: Monetary policy is a set of tools used by the central bank to influence the supply and demand of
money to manage economic growth by monitoring money supply, discount rates and other tools.
• Expansionary: Increases money supply, decrease • Contractionary: Reduces money supply, increase
interest rates to boost economic growth through interest rates to slow down overheated economic
transmission mechanism. growth through transmission mechanism.

Effects of an Expansionary Monetary Policy Effects of Contractionary Monetary Policy

Sources: FIM, Jeff Madura (2022) Sources: FIM, Jeff Madura (2022)
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Literature Review The Impact of Monetary Policy on Vietnam Stock Market Index

Theoretical review

The Transmission Channels of Monetary Policy to Stock Market Index

• Interest Rate Channel: When central banks lower interest rates (expansionary policy), borrowing becomes cheaper,
reducing the discount rate used in stock valuation models and increase the expected cash flows through business
expansion. This raises the present value of future cash flows, boosting stock prices hence the stock index, vice versa.
• Liquidity Channel: Expansionary Monetary Policy increases market liquidity by pumping more money in the system,
encouraging investment in equities and pushing up stock prices, hence the stock index. The Contractionary Monetary
Policy holds the opposite.
• Expectations Channel: Markets anticipate the future impact of monetary policy on economic growth, inflation, and
corporate earnings. If the policy is perceived as beneficial to the economy, stock index may rise; otherwise, they may
decline.
• Exchange Rate Channel: Lower interest rates can lead to currency depreciation, benefiting export-driven firms and
potentially increasing stock prices in such sectors.

May explain why stock index market change in the long-run according to the change in monetary policy

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Literature Review The Impact of Monetary Policy on Vietnam Stock Market Index

Theoretical review
The Efficient Market Hypothesis (Eugene Fama)
How well market prices reflect available information, depend on the market form: Parikshit K. Basu (2014) found that
Vietnam is a weak-form efficient market.
1. Weak-form efficiency

• In a weak-form efficient market, stock prices reflect all historical price and trading volume information.
• If the central bank unexpectedly lowers interest rates, stock prices may adjust as market participants interpret the news.

2. Semi-strong form Efficiency

• In a semi-strong efficient market, stock prices reflect all publicly available information,
• If the central announces a rate hike, the stock market immediately reflects the new information.

3. Strong-form Efficiency

• In a strong-form efficient market, stock prices reflect all information, both public and private.
• If a central bank insider knows about an upcoming interest rate decision and tries to act on it, strong-form efficiency
suggests the market already reflects this insider knowledge.

May explain why stock index market change in the short-run according to the change in monetary policy

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Literature Review The Impact of Monetary Policy on Vietnam Stock Market Index

Theoretical review
Possible Relationship between VNI and Ex-
The Impact of Exchange Rate Volatility on Stock Market Index change Rate Volatility (USD/VND) (1/2012-1/2023)
1600 Indirect Movement 800
• Currency value depreciation increases the cost of imported 1400 700
1200 600
1000 500
goods and raw materials, raising production costs and reducing 800 400
600 300
profit margins for import-reliant companies yet increase 400 200
200 100
competitiveness of export-sectors. Both benefits from stable 0 0
2 2 3 3 4 4 5 5 6 6 7 7 8 8 9 9 0 0 1 1 2 2 3
n -1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-1 l-1 n-2 l-2 n-2 l-2 n-2 l-2 n-2
u u u u u u u u u u u
exchange rate. Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja J Ja

VNI VOL Sources: Refinitiv

• Stability in exchange rates attracts foreign investors,
Possible Relationship between VNI and Oil
supporting higher stock prices and index growth. Prices (1/2012-1/2023)
The Impact of Oil Prices on Stock Market Index 3000000 1600
2500000 Direct Movement 1400
• Rising oil prices increase production costs and inflationary 1200
2000000 1000
pressures, potentially negatively impacting the VN-Index. 1500000 800
600
• On the other hand, the rise in oil prices indicates a demand- 1000000
400
500000 200
pull for production, hence the better earnings leads to higher
0 0
stock prices => boosts the VNI, as these companies hold -12 -12 -13 -14 -14 -15 -16 -16 -17 -18 -18 -19 -20 -20 -21 -22 -22
n p y n p y n p y n p y n p y n p
Ja Se Ma Ja Se Ma Ja Se Ma Ja Se Ma Ja Se Ma Ja Se
substantial weight in the index.
OL VNI Sources: Refinitiv

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Literature review The Impact of Monetary Policy on Vietnam Stock Market Index

Theoretical framework

Previous Empirical studies on this topic Research Model

• Tran et al. (2017) indicates that, in the short term, an
expansionary monetary policy that increases the money
supply benefits the stock market, whereas a restrictive
monetary policy has the contrary effect in Vietnam.

• Nguyen et al. (2016) found discount rates have the SÁNG

opposite TẠO
influence on the stock prices, and it indicates that the tighter
the monetary (increasing interest rates), the more the stock
market falls down in Vietnam.

• Ricci (2015): the impact of both conventional and non-

conventional monetary policy announcements on the stock
price of large European banks.

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
RESEARCH
METHODLOGY
Research Methodology The Impact of Monetary Policy on Vietnam Stock Market Index

Data Sources & Measurement

Study time frame: Quarterly data from M1/2010 to M8/2018 with total 81 observations
Summary of Variables in the model
Variables Symbol Explanation Formula Sources
Monthly data, represents the overall
VN-Index VNI performance of the Vietnamese stock VN-Index= ∑(Pi​×Qi​)​/ Base Index Value Refinitiv Eikon
market
Monthly data, represents the total liquidity
M2 = M1 + saving deposits + money market funds
Money Supply M2 in the economy, one of the transmission Refinitiv Eikon
+ certificates of deposit + other time deposits
channels of monetary policy

Monthly data, Short-term interest rate set

by monthly data, central bank for financial
Discount rate IR Refinitiv Eikon
institutions, one of the transmission
channels of monetary policy

Exchange rate Monthly data, represents currency

Refinitiv Eikon,
(USD/VND) VOL valuation, VND is pegged to the USD and
Calculation
Volatility targeted by SBV

Monthly data, West Texas Intermediate

Oil Price OL (WTI), crude oil price used as benchmark Refinitiv Eikon
in oil pricing

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Research Methodology The Impact of Monetary Policy on Vietnam Stock Market Index

Regression Model

Where:
• VNI: The monthly Vietnam Stock Index
• M2: The monthly broad money supply
• VOL: The monthly exchange Rate (USD/VND) Volatility
• IR: The monthly discount rate
• OL: The monthly oil price
• β0,β1,β2,β3,β4: Regression coefficients
• ℯ: error term

Alternative -Hypotheses

Variables No Long-run impact on VNI No Short-run impact on VNI

M2 Ha1 Ha5

IR Ha2 Ha6

VOL Ha3 Ha7

OL Ha4 Ha8

H9: The error correction term for Vietnam Stock Index (VNI) does not adjust towards the long-run equilibrium.
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Research Methodology The Impact of Monetary Policy on Vietnam Stock Market Index

Econometric Model - The Autoregressive Distributed Lag (ARDL) Bound testing with Error Correction Model (ECM)
The ARDL was chosen due to…

(1) handle variables that are stationary I(0) and non-stationary I(1), however, it cannot include variables that are integrated
larger than I(1) (e.g. I(2), I(3),..).
(2) useful when analyzing lagged effects of monetary, economic polices (Mankiw ,2021)
The ARDL procedure comprises of two main steps:
(1) to test the existence of a long-term relationship via the bounds testing

(2) to estimate long term coefficients and associated short term coefficients once a long-term relationship has been established.

Equation 5: The Autoregressive Distributed Lag (ARDL) Bound testing with Error Correction Model (ECM)

LNVNIt = λ0

Where:
 ∆ is the first difference operator.
 LNVNIt is the natural logarithm of VNI at time t.
 λ0 is the intercept
 λ1, λ2, λ3, λ4, λ5 are the coefficients
 LNVOL, LNM2, LNIR, LNOL are the relevant variables at lagged periods, transformed at natural logarithm level.
 is the speed of adjustment
 t-1 is the error correction term lagged by one period.
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Descriptive Statistics
With low skewness suggest an approximate symmetric distribution, except for discount rate (IR).

Reconfirmed by the Jerques-Bera (JB) test suggest normal distribution of most variables, except for discount rate (IR) and Oil Price.
(OL)
Table 2: Descriptive Statistics of the Data

Variable LNVNI LNM2 LNVOL LNIR LNOL

Observations 81 81 81 81 81
Mean 6.409215 15.51258 3.819066 -2.634969 14.19703
Std. Dev 0.276693 0.3254647 1.206536 0.2163893 0.3164408
Min 5.934418 14.79683 0.2427539 -2.772589 13.52288
Max 7.068564 16.01263 6.15255 -1.89712 14.63686
Skewness 0.5372012 -0.1563652 -0.4388302 2.075024 -0.2213448
Kurtosis 2.761305 1.930348 3.007508 6.350353 1.733028
Jarque-Bera (Chi
4.088 4.192 2.6 96.01 6.079
Squared)
Jarque-Bera (p-value) 0.1295 0.123 0.2725 1.40E-21* 0.0479*
Note: ”LN” refers to log transformation of variables to approximate a normal Sources: Stata
distribution 14MP

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Multicollinearity Problem Detection

Below .3 correlation between variables…
Pearson Correlation Matrix of Variables at first
difference
DLNVNI DLNM2 DLNVOL DLNIR DLNOL
DLNVNI 1
p-value 0
DLNM2 0.062 1
p-value 0.5846
DLNVOL -0.1677 0.1463 1
p-value 0.1371 0.1953
DLNIR -0.105 -0.0907 0.0782 1
p-value 0.354 0.4235 0.4906
DLNOL 0.2361 -0.0316 0.0795 0.0067 1
p-value 0.035* 0.7811 0.4831 0.9533
Note: “D” represents first difference Sources: Stata
transformation 14MP

With less than 3 VIFs results and thereby satisfying the assumption of no perfect multicollinearity of the ARDL model.

Variance Inflation Factors (VIFs) Table

Variable VIF 1/VIF
LNM2 3.3 0.303372
LNIR 2.6 0.384475
LNOL 1.68 0.594152
LNVOL 1.07 0.930557
Mean VIF 2.16 Sources: Stata
14MP
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Unit Root Test

to ensure stationarity of variables to avoid spurious regression results and non-stationary variables will be transformed at first difference
and … (D).
Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) Unit Root
Augmented Dickey-Fuller (ADF) test and Phillips-Perron (PP) Results
Test

ADF Critical values for unit root tests at 5% significance

At Levels At First Differences
Results level
Variables Intercept Trend None Intercept Trend None Options ADF PP
LNVNI -0.557 -2.208 2.099* -8.496* -8.468* -8.185* Hypothesis H0: data is not stationary H0: data is not stationary
LNM2 -3.434* -8.708* 8.698* -7.978* -8.051* -5.423* With intercept -2.909 -2.909
LNVOL -4.142* -4.134* -1.143 -8.702* -8.645* -8.766* With Trend and
-3.474 -3.474
LNIR -6.261* -4.113* 2.733* -6.9728 -8.473* -6.365* Intercept

LNOL -1.375 -0.805 -0.287 -7.307* -7.422* -7.344* None -1.95 -1.95
PP Results At Levels At First Differences Mixed Order of Integration of Variables
Variables Intercept Trend None Intercept Trend None
Variables Stationary/non-stationary Order of Integration
LNVNI -0.615 -2.441 2.019* -8.495* -8.465* -8.194*
LNVNI Non-Stationary I(1)
LNM2 -2.987* -7.845* 7.148* -8.709* -8.728* -5.44*
LNM2 Stationary I(0)
LNVOL -4.085* -4.084* -0.904 -8.907* -8.834* -8.991*
LNVOL Stationary I(0)
LNIR -6.622* -4.295* 1.966* -7.246* -8.68* -6.611* LNIR Stationary I(0)
LNOL -1.525 -1.101 -0.259 -7.322* -7.422* -7.359* LNVOL Non-stationary I(1)
Note: I(0) and I(1) refers to stationary and non-stationary variable
Note: *, ** denotes the statistical significance at 5 and 10 percent levels Sources: STATA 14
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Optimal Lag Lengths

an appropriate lag length must be specified to avoid the potential correlation problem on residuals.

Akaike Information Criterion (AIC) is considered the one of the most used statistical criteria methods for, which
results show ARDL(8,5,5,1,0), the lag lengths following by M2, IR, VOL and OL.

Cointegration Test-Bound Testing

to determine possible long-run relationships between variables via Bound Testing which indicate a long-run relationship
between variables.

Bound Testing Result for the ARDL (8,5,5,1,0) Model

Number of Sample F-Test Critical Values Bounds-Narayan (2005), Unrestricted Intercept and
Regressors size Value Unrestricted Trend
10% 5% 1%
Model k n F-stat I(0) I(1) I(0) I(1) I(0) I(1)
ARDL
4 81 7.259 2.45 3.52 2.86 4.01 3.74 5.06
(8,5,5,1,0)
Note: F-stat > 1% is significant Sources: STATA 14

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Regression Results
Long-run estimation of the ARDL (8,5,5,1,0) model Short-run estimation of the ARDL (8,5,5,1,0)
model
Variables Coefficient Std. Error t-statistic p-value
p-
Variables Coefficient Std. Error t-statistic DLNVNI(-1) 0.0658963 0.1073499 0.61 0.542
value
DLNVNI(-2) 0.1118503 0.1033473 1.08 0.284
LNM2 0.8705893* 0.0905236 9.62 0.000 DLNVNI(-3) -0.2382976* 0.1009357 -2.36 0.022
DLNVNI(-4) -0.0317359 0.1041564 -0.3 0.762
LNVOL -0.0908525* 0.0290003 -3.13 0.003
DLNVNI(-5) -0.0967481 0.0966541 -1 0.322
LNOL 0.2350305* 0.0675443 3.48 0.001 DLNVNI(-6) -0.1952028* 0.1035027 -1.89 0.065
DLNVNI(-7) -0.204612* 0.1090345 -1.88 0.067
LNIR -0.4532204* 0.1967661 -2.3 0.026
DLNM2 -0.5623234 0.4728693 -1.19 0.24
Note: R2 = 0.9879; Adjusted R2= 0.9822; F-stat = 173.41 (0.0000) ; Durbin-Watson- DLNM2(-1) -0.5868178 0.4475457 -1.31 0.196
statistic= 2.118925 Sources: STATA 14 DLNM2(-2) 0.7262956 0.4653869 1.56 0.125
*, **, denotes the statistical significance at 1 and 5 percent level DLNM2(-3) 0.9786167* 0.4847573 2.02 0.049
Hypotheses Results DLNM2(-4) -1.432755 0.5169877 -2.77 0.008
No Short-run impact on
DLNVOL 0.0136055** 0.0080987 1.68 0.099
Variables No Long-run impact on VNI VNI
DLNVOL(-1) 0.0328406 0.0079908 4.11 0.000
M2 Ha1-rejected* Ha5-rejected*
DLNVOL(-2) 0.0184212* 0.0074816 2.46 0.017
IR Ha2-rejected* Ha6- not rejected DLNVOL(-3) 0.0151567* 0.0060352 2.51 0.015
VOL Ha3-no rejected* Ha7- rejected* DLNVOL(-4) 0.0154375* 0.0060578 2.55 0.014
DLNIR(-1) -0.2789687 0.2034986 -1.37 0.177
OL Ha4-rejected* Ha8-not rejected
Constant -3.794146* 1.105585 -3.43 0.001
ECM H9-rejected*
ECM(-1) -0.3377033* 0.0804796 -4.2 0.000
*, **, denotes the statistical significance at 5,10 percent Sources: STATA 14
*, **, denotes the statistical significance at 5,10 percent Sources: STATA 14
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Regression Interpretation
1. The Impact of Monetary Policy on Vietnam Stock Index
There is a positive long-run and short-run impact of Money Supply (M2) while there is a negative long-run and
short-run impact of Discount Rate (IR) on Vietnam Stock Index (VNI).
• Expansionary Monetary Policy: An increase in money supply and decrease in discount rate will boost business
performance and earnings through transmission mechanisms, and their stocks become more attractive to
investors, hence increase the stock market index in the long-run.
• Contractionary Monetary Policy: A decrease in money supply and increase in discount rate will discourages
business performance and earnings through transmission mechanism and their stocks become less attractive to
investors, hence decrease the stock market index in the long-run.
• Short-term expectation about future stock performance influenced by monetary policy might increase/decrease
stock market index.
2. The Impact of Exchange Rate Volatility on Vietnam Stock Index
There is a negative long-run impact of Exchange Rate Volatility but a positive short-run impact on VNI.
• The more stable exchange rate, the more benefits to the export-reliant sectors and the attractive the foreign
investors find and participate in the stock market in the long-run, hence increase the stock index.
• The more volatile the exchange rate in the short-run, the more attractive and participation the speculating
investors, hence the increase in stock index.
3. The Impact of Oil Price on Vietnam Stock Index
There is a positive long-run impact but no short-run impact of Oil Price (OL) on Vietnam Stock Index (VNI).
• The higher oil price in the long-run indicates the more demand for oils for production, the better the sectors
performance, the better the stock index in the long-run.
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Empirical Findings The Impact of Monetary Policy on Vietnam Stock Market Index

Diagnostics Test
Diagnostic results indicate reliable model and regression Descriptive Statistics of the Residuals
outputs
Series Residuals
Diagnostic results for the ARDL (8,5,5,1,0)
Sample 2012M1-2018M9
model
Observation 50
Testing Mean -3.91E-11
Criteria Hypothesis chi2/F-stat p-values
Methods Standard Deviation 0.0288358
Skewness 0.2446647
Heteros Breusch- H0: Kurtosis 2.511672
chi2(1) =
kedastic Pagan- Homoskedast 0.1305 Jarque-Bera 1.454
2.29
ity Godfrey icity Jarque-Bera p-
0.4834
value
Sources: STATA 14
Graphs of CUSUM and CUSUMSQ for coefficient
Breusch-
stability
Serial Godfrey H0: no serial
chi2(1) =
Correlat Serial auto 0.3257
0.966
ion Correlation correlation
LM

H0: residuals
Normali chi (2) =
Jarque-Bera are normally 0.4834
ty 1.454
distributed

Sources: STATA 14 Note: If the CUSUM, CUMSQ line does not exceed the critical 5 % bound, the model is stable
*, **, denotes the statistical significance at 5 percent level
Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
CONCLUSIONS&
RECOMMENDATIONS
 References The Impact of Monetary Policy on Vietnam Stock Market Index

- Saunders, Cornett, Erhemjamts (January 2021). Financial Markets and Institutions 8th edition. New York, NY: Mc Graw Hill education

- Eugene F. Fama (1970). Efficient Capital Markets A Review of Theory and Empirical Work.

- Hamburger Michael J. and Levis A. Kochin. 1971.“Money and Stock Prices: The Channels of Influences.” The Journal of Finance, 27(2): 231-249.

- Homa, Kenneth E. and Dwight M. Jaffee. 1971.“The Supply of Money and Common Stock Prices.” The Journal of Finance, 26(5): 1045-1066.

- Pesando, James E.1974.“The Supply of Money and Common Stock Prices: Further Observations on the Econometric Evidence.” The Journal of Finance, 29(3): 909-921.

- Dufour, J. M., & Tessier, D. (2006). Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices. Bank of Canada Working paper.

- Fisher, I. (1911). The Purchasing Power of Money: Its Determination and Relation to Credit, Interest, and Crises. New York: Macmillan.

- State Bank of Vietnam. (n.d.). Mission& Function.

- Minh, C. (2023, December 2). SBV’s Special Loan Policy: A Double-Edged Sword? Retrieved December 10, 2024, from Báo Sài Gòn Đầu Tư Tài Chính website:
https://dttc.sggp.org.vn/sbvs-special-loan-policy-a-double-edged-sword-post110170.html
- Sacombank. (2024). Bản tin THỊ TRƯỜNG TIỀN TỆ -TÀI CHÍNH -KINH TẾ NGÂN HÀNG TMCP SÀI GÒN THƯƠNG TÍN [a] 266-268 Tin THỊ TRƯỜNG TIỀN TỆ Tin TÀI
CHÍNH -NGÂN HÀNG Tin KINH TẾ VIỆT NAM Tin KINH TẾ QUỐC TẾ. Retrieved from
https://www.sacombank.com.vn/content/dam/sacombank/files/tin-tuc/BTKT-27.09.2024.pdf

- Le, H. P. & Dang, T. B. V. (2015) titled "Verifying the Impact of Macroeconomic Factors to the Vietnam’s Stock Index by the ARDL Model" is published in the Journal of
Development and Integration, University of Economics and Finance (Vietnam), Vol. 20, No. 30, pp. 61-66.

- Vuong, D., & Le, L. H. (2017). Impact of macroeconomic factors on share price index in Vietnam’s stock market. The International Journal of Engineering and Science, 6(1),
52-59.

- Adjasi, C., Harvey, S. K., & Agyapong, D. A. (2008). Effect of exchange rate volatility on the Ghana stock exchange. African journal of accounting, economics, finance and
banking research, 3(3).

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
 References The Impact of Monetary Policy on Vietnam Stock Market Index

- Ha, B., Trang, B., Minh, H.C., Huynh, N.D., Trang, D.M., Binh, N.T., & Hoang, N.T. (2017). THE RELATIONSHIP BETWEEN MONETARY POLICY AND STOCK MARKET:
EVIDENCE IN VIETNAM.

- Thanh, T.N., Thuy, L.P., Anh, T.N., Thi, T.D., & Truong, T.T. (2017). Empirical Test on Impact of Monetary Policy and Fiscal Policy on Vietnam Stock Market. International
Journal of Financial Research, 8, 135-144.

- Nguyen, T., Do, T.L., & Nguyen, V.D. (2016). Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam. International journal of economics
and finance, 8, 132.

- Nguyen, T. N., Nguyen, D. T., & Nguyen, V. N. (2020) The impacts of oil price and exchange rate on Vietnamese stock market. The Journal of Asian Finance, Economics
and Business, 7(8), 143-150.

- Li, Y. D., İşcan, T. B., & Xu, K. (2010). The impact of monetary policy shocks on stock prices: Evidence from Canada and the United States. Journal of international money
and finance, 29(5), 876-896.

- Ricci, O. (2015). The impact of monetary policy announcements on the stock price of large European banks during the financial crisis. Journal of Banking and Finance, 52,
245-255.

- Nguyen, T.T., Mai, H.T., & Tran, T.T. (2020). Monetary Policy and Stock Market Returns: Evidence from ARDL Bounds Testing Approach for the Case of Vietnam. Asian
Economic and Financial Review, 10, 758-777.

- Brooks, C. (2008). Introductory econometrics for finance. Cambridge: Cambridge University Pressbr

- Gujarati, D. (2011). Econometrics by example. New York: Palgrave Macmillan

- Dickey, D. A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366a),
427-431. Available at: https://doi.org/10.1080/01621459.1979.10482531.

- Granger, C. W. (1981). Some properties of time series data and their use in econometric model specification. Journal of Econometrics, 16(1), 121-130. Available at:
https://doi.org/10.1016/0304-4076(81)90079-8

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
 References The Impact of Monetary Policy on Vietnam Stock Market Index

- Granger, C. W., & Weiss, A. A. (1983). Time series analysis of error-correction models. Studies in econometrics, time series, and multivariate statistics (pp.
255-278). New York: Academic Press

- Enders, W. (2004). Applied econometric time series(2nd ed.). New York: John Wiley & Sons. Enders, W. (2004). Applied econometric time series(2nd ed.).
New York: John Wiley & Sons.

- Pesaran, M. H., Shin, Y., & Smith, R. J. (2001). Bounds testing approaches to the analysis of level relationships. Journal of Applied Econometrics, 16(3),
289-326.Available at: https://doi.org/10.1002/jae.616.

- Pesaran., M. H., & Pesaran, B. (2009). Time series econometrics using microfit 5.0(1st ed.). New York: Oxford University Press Inc.

- Pesaran, M. H., & Shin, Y. (1998). An autoregressive distributed-lag modelling approach to cointegration analysis. Econometric Society Monographs. In
Steinar Strom (Ed.), Econometrics and Economic Theory in the 20th century: The Ragnar Frish Centennial Symposium (pp. 371-413). Cambridge:
Cambridge University Press.

- Shrestha, M. B., & Bhatta, G. R. (2018). Selecting appropriate methodological framework for time series data analysis. The Journal of Finance and
Data Science, 4(2), 71-89. Available at: https://doi.org/10.1016/j.jfds.2017.11.001.

- Mankiw, N. G. (2019). Macroeconomics (10th ed.). Worth Publishers.

- (2012). Báo cáo tổng kết hoạt động năm. Ngân hàng Nhà nước Việt Nam (NHNN).

- (2018) Điều hành chính sách tiền tệ: Những điểm nhấn năm 2017 và định hướng năm 2018. Ngân hàng nhà nước Việt Nam (NHNN).
- Dickey., D. A., & Fuller, W. A. (1981). The likelihood ratio statistics for autoregressive time series with a unit root. Econometrica, 49(4), 1057-1072

- Phillips, P. C., & Perron, P. (1988). Testing for a unit root in time series regression. Biometrika, 75(2), 335-346. Available at:
https://doi.org/10.1093/biomet/75.2.335.

Introduction Literature Review Research Methodology Empirical Findings Conclusion & Recommendations References
Thank you for listening