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Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam

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  • Trung Thanh Nguyen
  • Thi Linh Do
  • Van Duy Nguyen

Abstract

Evaluation of the impact of monetary policy on Vietnam stock market plays an important role for economists as well as stock investors. Stock price index not only gets impacts from the macroeconomic factors such as oil price, gold prices…but also be very sensitive to the changes in monetary policy. For each different markets, stock index are also different from each other. Hence, this artical is conducted to evaluate the impacts of monetary policy on Vietnam Stock Index (VNIDEX) in the period of the time from 2006 to 2015. The author uses GJR - GARCH model and ARDL research with time-serie data by statistical methods and quantitative analysis to evaluate the above impact related to lag and shocks in the market. The result shows that the monetary policy including interests, exchange rate and required reserve ratio has a negative impact on stock price in long term. Besides, both bad or good market shock cause changes of stock price at stable level.

Suggested Citation

  • Trung Thanh Nguyen & Thi Linh Do & Van Duy Nguyen, 2016. "Impacts of Monetary Policy and Information Shock on Stock Market: Case Study in Vietnam," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 8(7), pages 132-132, July.
    • Handle: RePEc:ibn:ijefaa:v:8:y:2016:i:7:p:132
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    References listed on IDEAS

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    4. Jordi Galí & Luca Gambetti, 2015. "The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence," American Economic Journal: Macroeconomics, American Economic Association, vol. 7(1), pages 233-257, January.
    5. Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
    6. Jean-Marie Dufour & David Tessier, 2006. "Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices," Staff Working Papers 06-39, Bank of Canada.
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    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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