利率與通貨膨脹率對越南股市報酬之影響

THE IMPACT OF INTEREST RATES AND INFLATION ON VIETNAM’S STOCK RETURNS

阮尹輝(Doan-Huy Nguyen)

指導教授 ： 阮氏清萍

朝陽科技大學/管理學院/財務金融系/碩士(2013年)

摘要

無資料

關鍵字

利率 ； 通貨膨脹 ； 越南 ； 結構性突破 ； 股票報酬

並列摘要

This study finds the relationship among inflation, interest and stock returns are not only found in the long-run. In the short-run, the EGARCH-M (1, 1) model with break is applied for testing the effect of inflation and interest rate on Vietnam’s stock returns during the period of 2001-2011. The empirical results show that the changes in the inflation rate result in changes of interest rates, then affect the stock prices. Within asymmetric framework, it is found that the higher interest rate leads to the lower return of stock in the current month and vice versa in the month preceding. The inflation rates of the month preceding have the positive impact on both stock returns and interest rates. This result is consistent with theory saying that the inflation does not directly affect the stock market. More over this study proves the channel which inflation indirectly affects the stock returns – interest rate. Any signal of high inflation or high interest rate – referred to as “bad new” that cause the drop of the stock returns is also main finding of this study.
JEL classification codes: C22, L85, P44.

並列關鍵字

stock return ； structural break ； inflation ； Interest rate ； Vietnam

參考文獻

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