Abstract
This study examines the impacts of some macroeconomic factors, including exchange rate, interest rate, money supply and inflation, on a major stock index of Vietnam (VNIndex) by utilizing monthly data from April, 2001 to October, 2017 and employing Non-linear Autoregressive Distributed Lag (NARDL) approach introduced by Shin et al. [33] to investigate the asymmetric effects of the aforementioned variables. The bound test verifies asymmetric cointegration among the variables, thus the long-run asymmetric influences of the aforesaid macroeconomic factors on VNIndex can be estimated. Besides, we apply Error Correction Model (ECM) based on NARDL to evaluate the short-run asymmetric effects. The findings indicate that money supply improves VNIndex in both short-run and long-run, but the magnitude of the negative cumulative sum of changes is higher than the positive one. Moreover, the positive (negative) cumulative sum of changes of interest rate has negative (positive) impact on VNIndex in both short-run and long-run, but the former’s magnitude exceeds the latter’s. Furthermore, exchange rate demonstrates insignificant effects on VNIndex. Also, inflation hampers VNIndex almost linearly. This result provides essential implications for policy makers in Vietnam in order to successfully manage and sustainably develop the stock market.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Arcand, J.L., Berkes, E., Panizza, U.: Too much finance?, IMF Working Paper, WP/12/161 (2012)
Boyd, J.H., Hu, J., Jagannathan, R.: The stock market’s reaction to unemployment news: why bad news is usually good for stocks? J. Finan. 60(2), 649–672 (2005)
Brahmasrene, T., Komain, J.: Cointegration and causality between stock index and macroeconomic variables in an emerging market. Acad. Account. Finan. Stud. J. 11, 17–30 (2007)
Burbidge, J.B., Magee, L., Robb, A.L.: Alternative transformations to handle extreme values of the dependent variable. J. Am. Stat. Assoc. 83(401), 123–127 (1988)
Cochrane, J.H.: Production-based asset pricing and the link between stock returns and economic fluctuations. J. Finan. 46(1), 209–237 (1991)
Creel, J., Hubert, P., Labondance, F.: Financial stability and economic performance. Econ. Model. 48, 25–40 (2015)
Dickey, D.A., Fuller, W.A.: Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74(366), 427–431 (1979)
Engle, R.F., Granger, C.W.J.: Co-integration and error correction: representation, estimation, and testing. Econometrica 55(2), 251–276 (1987)
Gul, A., Khan, N.: An application of arbitrage pricing theory on KSE-100 index; a study from Pakistan (2000–2005). IOSR J. Bus. Manag. 7(6), 78–84 (2013)
Harris, R., Sollis, R.: Applied Time Series Modelling and Forecasting. Wiley, West Sussex (2003)
Hsing, Y.: Impacts of macroeconomic variables on the stock market in Bulgaria and policy implications. J. Econ. Bus. 14(2), 41–53 (2011)
Humpe, A., Macmillan, P.: Can macroeconomic variables explain long-term stock market movements? a comparison of the US and Japan. Appl. Finan. Econ. 19(2), 111–119 (2009)
Ibrahim, M., Musah, A.: An econometric analysis of the impact of macroeconomic fundamentals on stock market returns in Ghana. Res. Appl. Econ. 6(2), 47–72 (2014)
Jareño, F., Navarro, E.: Stock interest rate risk and inflation shocks. Eur. J. Oper. Res. 201(2), 337–348 (2010)
Johansen, S.: Statistical analysis of cointegration vectors. J. Econ. Dyn. Control 12(2–3), 231–254 (1988)
Kwiatkowski, D., Phillips, P.C.B., Schmidt, P., Shin, Y.: Testing the null hypothesis of stationarity against the alternative of a unit root: how sure are we that economic time series have a unit root? J. Econ. 54(1–3), 159–178 (1992)
Mutuku, C., Ng’eny, K.L.: Macroeconomic variables and the Kenyan equity market: a time series analysis. Bus. Econ. Res. 5(1), 1–10 (2015)
Naik, P.K.: Does stock market respond to economic fundamentals? time series analysis from Indian data. J. Appl. Econ. Bus. Res. 3(1), 34–50 (2013)
Nguyet, P.T.B., Thao, P.D.P.: Analyzing the impact of macroeconomic factors on Vietnam’s stock market. J. Dev. Integr. 8(18), 34–41 (2013)
Ouattara, B.: Modelling the long run determinants of private investment in Senegal, The School of Economics Discussion Paper Series 0413, The University of Manchester (2004)
Peiró, A.: Stock prices, production and interest rates: comparison of three European countries with the USA. Empirical Econ. 21(2), 221–234 (1996)
Peiró, A.: Stock prices and macroeconomic factors: some European evidence. Int. Rev. Econ. Finan. 41, 287–294 (2016)
Pesaran, M.H., Pesaran, B.: Microfit 4.0 Window Version. Oxford University Press, Oxford (1997)
Pesaran, M.H., Shin, Y.: An autoregressive distributed lag modeling approach to cointegration analysis. In: Strom, S. (ed.) Econometrics and Economic Theory: The Ragnar Frisch Centennial Symposium, pp. 371–413. Cambridge University Press, Cambridge (1998)
Pesaran, M.H., Shin, Y., Smith, R.J.: Bounds testing approaches to the analysis of level relationships. J. Appl. Econ. 16(3), 289–326 (2001)
Phillips, P.C.B., Perron, P.: Testing for a unit root in time series regression. Biometrika 75(2), 335–346 (1988)
Phong, L.H., Bao, H.H.G., Van, D.T.B.: The impact of real exchange rate and some macroeconomic factors on Vietnam’s trade balance: an ARDL approach. In: Proceedings International Conference for Young Researchers in Economics and Business, pp. 410–417 (2017)
Phong, L.H., Bao, H.H.G., Van, D.T.B.: Testing J–curve phenomenon in vietnam: an autoregressive distributed lag (ARDL) approach. In: Anh, L., Dong, L., Kreinovich, V., Thach, N. (eds.) ECONVN 2018. Studies in Computational Intelligence, vol. 760, pp. 491–503. Springer, Cham (2018)
Rapach, D.E., Wohar, M.E., Rangvid, J.: Macro variables and international stock return predictability. Int. J. Forecast. 21(1), 137–166 (2005)
Srinivasana, P., Kalaivanib, M.: Exchange rate volatility and export growth in India: an ARDL bounds testing approach. Decis. Sci. Lett. 2(3), 192–202 (2013)
Vejzagic, M., Zarafat, H.: Relationship between macroeconomic variables and stock market index: co-integration evidence from FTSE Bursa Malaysia Hijrah Shariah Index. Asian J. Manag. Sci. Educ. 2(4), 94–108 (2013)
Wongbangpo, P., Sharma, S.C.: Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries. J. Asian Econ. 13(1), 27–51 (2002)
Shin, Y., Yu, B., Greenwood-Nimmo, M.: Modeling asymmetric cointegration and dynamic multipliers in a nonlinear ARDL framework. In: Horrace, W.C., Sickles, R.C. (eds.) Festschrift in Honor of Peter Schmidt: Econometric Methods and Applications, pp. 281–314. Springer Science & Business Media, New York (2014)
Acknowledgments
This study has received funding from the European Union’s Horizon 2020 research and innovation programme under the Marie Sklodowska-Curie grant agreement No 734712.
Author information
Authors and Affiliations
Corresponding author
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2019 Springer Nature Switzerland AG
About this paper
Cite this paper
Phong, L.H., Van, D.T.B., Bao, H.H.G. (2019). A Nonlinear Autoregressive Distributed Lag (NARDL) Analysis on the Determinants of Vietnam’s Stock Market. In: Kreinovich, V., Thach, N., Trung, N., Van Thanh, D. (eds) Beyond Traditional Probabilistic Methods in Economics. ECONVN 2019. Studies in Computational Intelligence, vol 809. Springer, Cham. https://doi.org/10.1007/978-3-030-04200-4_27
Download citation
DOI: https://doi.org/10.1007/978-3-030-04200-4_27
Published:
Publisher Name: Springer, Cham
Print ISBN: 978-3-030-04199-1
Online ISBN: 978-3-030-04200-4
eBook Packages: Intelligent Technologies and RoboticsIntelligent Technologies and Robotics (R0)