Thesis Public Defense | VNP27 - Đặng Hữu Thanh Hà

The impact of macroeconomic factors and COVID-19 pandemic on Vietnam stock price index

Student: Đặng Hữu Thanh Hà, VNP-27

Supervisor: Prof.Dr. Nguyễn Trọng Hoài

Abstract:

The study aims to examine the correlation between macro variables and the VN-Index. Macro factors used in the study include (i) money supply, (ii) industrial production index, (iii) consumer price index, (iv) exchange rate, (v) interest rates, (vi) covid-19 epidemic to analyze their impact on the VN-Index. By using the vector autoregressive estimation model (VAR) and Granger causality test in the study, it has been shown that the Vietnam Stock Price Index VN-Index is affected by macro factors that are: Inflation is measured by CPI price index, M2 Expanded Money Supply, Index of Industrial Production (IIP) and Covid-19 epidemic. With the remaining factors including Interest rate (I); The exchange rate (E), we have no basis to confirm that there are factors that have an impact on the VN Stock Price Index VN-Index. Besides, the causality test also shows that the VN-Index is not the leading indicator for macro factors and the economy because the VN-Index does not have a two-way causal effect to macro variables. From the research results, it has been shown that VN’s stock market has not operated effectively.

Keywords: Macro factors, COVID-19 pandemic, stock price index, VN-INDEX