越南證券市場之因素分析研究

The impact of Macroeconomic Factors on Vietnam Stock Market

謝垂玲(Ta Thuy Linh)

指導教授 ： 黃俊平

國立虎尾科技大學/管理學院/工業工程與管理研究所/碩士(2013年)

摘要

本研究在於探討通膨率, 貸款利率, 匯率, 貨幣供給與工業生產等因素對於越南股票市場的影響。本研究使用由Canova and de Nicolo (1995) 與Nasseh and Strauss (2000)學者所開發之方法以找出各項宏觀經濟指標對股價所產生的影響, 研究期間由2005年1月起至2012年1月止。根據本研究所收集之樣本顯示各項宏觀經濟指標對股價影響並非固定不變的, 由複回歸法之分析可知貨幣供給對越南股票市場有正向的影響, 而越南盾與美元間之匯率變化對越南股票市場卻有負向的影響, 至於通膨率, 貸款利率與工業生產對於越南股票市場的影響則極微弱。

關鍵字

宏觀經濟因素 ； 越南 ； 證券市場

並列摘要

The purpose of this thesis is to study the effects of macroeconomic factors, including the inflation rate (CPI), lending interest rate (LR), exchange rate (EX), money supply (M2), and industrial product (IP), on Vietnamese stock prices. This study uses the methodology introduced by Canova and de Nicolo (1995), and Nasseh and Strauss (2000) to test monthly time series data covering the period from January 2005 to June 2012 in order to investigate the linkage between stock prices and macroeconomic indicators. Based on the sample collected, Unit root and stationary tests indicate that macroeconomic indicators and stock price indices are non-stationary. Using multivariate regression analysis, the result of this study shows that the money supply (M2) has a positive effect on Vietnamese stock prices. The result also indicates that the exchange rate of VND and USD (EX) has a significantly negative association with the stock prices. The analysis shows that the relationships between the inflation rate (CPI), lending interest rate (LR), and industrial production (IP) with stock prices are relatively weak.

並列關鍵字

Macroeconomics factors ； Stock prices ； Vietnam.

參考文獻

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