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Analysis of Vn-Index Stock Price Index Fluctuations

𝑌 𝑡 = 𝛽 1 + 𝛽 2 𝑋 2𝑡 +. . +𝛽 𝑘 𝑋 𝑘𝑡 + 𝑢 𝑡 (1)


In which the explanatory variables can include lagged variables of other explanatory variables or lagged variables of the dependent variable.

When model (1) has autocorrelation, it means that the random errors u at different times are correlated with each other and can then be represented as follows:

First-order autocorrelation

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The random error 𝑢 𝑡 is said to have first-order autocorrelation if it can be expressed as: 𝑢 𝑡 = 𝜌 1 𝑢 𝑡−1 + 𝜀 𝑡 (2)

Analysis of Vn-Index Stock Price Index Fluctuations

Where 𝜀 𝑡 is white noise.


When 𝜌 1 < 0 : the model has negative first-order autocorrelation. When 𝜌 1 > 0 : the model has positive first-order autocorrelation. When 𝜌 1 = 0 : the model has no autocorrelation

p-order autocorrelation



form:

The random error 𝑢 𝑡 is called autocorrelated of order p if it can be written as


𝑢 𝑡 = 𝜌 1 𝑢 𝑡−1 +. . +𝜌 𝑝 𝑢 𝑡−𝑝 + 𝜀 𝑡

CHAPTER 4: RESEARCH RESULTS


4.1. Descriptive statistical analysis


4.2.1. Analysis of fluctuations in VN-Index stock price index


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Chart 4.1. Development of VN-Index in the period 2006 - 2015


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Source: Ho Chi Minh City Stock Exchange


Stock market developments from 2006 to 2015:


The year 2006 is considered as the starting point for impressive developments of the market.

stock market. The VN-Index jumped from 305 points at the end of 2005 to

751 points at the end of 2006, in this year VN-Index also confirmed a new record at the milestone

809.86 points and for the whole year , this index has an average growth rate of 140%. Before.

With the developments of the VN-Index, the number of listed companies also increased sharply. By December 31, 2006, there were 106 companies listed at the Ho Chi Minh City Stock Exchange, an increase of 74 companies compared to the previous year.

end of 2005. To achieve these developments , we must also consider the impact of the macro economy, GDP in 2006 increased by 8.23 %, industrial production value increased by 17 % compared to 2005. Besides, 2006 also had outstanding events such as Vietnam being admitted as the 150th member of the World Trade Organization WTO as well as the successful organization of the APEC Summit. Both of these events have and continue to create a good impression on foreign investors and that is a signal for the waves of direct and indirect investment that promise to flow into Vietnam .

On January 1, 2007, the Securities Law took effect, contributing to promoting market development and enhancing the ability to integrate into the international financial market. The publicity and transparency of listed organizations were enhanced, making investors more secure. The VN-Index increased to a new record of 1,170.67 points, which is also the highest point of the VN-Index to date . However, the market then continuously fluctuated strongly and the stock price index fell to 905.53 points in April 2007 and then rose back to 1,113.19 points in May . Despite many price fluctuations , overall the year the VN-Index increased by 23% compared to the beginning of the year . It can be said that the big fluctuations in 2007 were due to the hot growth of the economy (GDP increased by 8.48%, consumer price index increased by 12.63 %), besides the Government 's use of monetary policy to adjust the market by using VND to buy back USD , then increasing interest rates, reducing money supply in circulation , which affected the stock market.

In 2008, the stock markets of countries around the world received a cold shower from the global economic crisis, and Vietnam was no exception . Record inflation combined with a large trade deficit led to an imbalance in macro-finance, forcing the Government to tighten monetary policy , the State Bank to withdraw money from circulation , forcing commercial banks to raise deposit interest rates , and businesses to reduce production scale... which significantly affected investor sentiment as well as the performance of the stock market . The VN-Index opened the 2008 trading session with 921.07 points and ended the year 2008 with 315.62 points. During the year , there were times when the index fell to 286.85 points (December 10, 2008).

Entering 2009 with the hope of a recovery of the stock market, although right from the first sessions of the year , an unexpected record for investors was the decrease of VN-Index .

down to the bottom of 235.5 points (February 24). However, the Vietnamese Government has implemented stimulus measures through policies of interest rate support, tax exemption, reduction, and extension, and guarantees for businesses borrowing capital from commercial banks, which has contributed to the recovery of the stock market. By the end of June 30, 2009, the VN-Index had increased by 132 points (42%) compared to the beginning of the year , and by the end of 2009 , the VN-Index had increased from 312.49 points to 494.77 points ( 57%) compared to the beginning of the year . This is an impressive comeback after the crisis.

2010 should have been a new step forward after the positive changes in the stock market since 2009 , however, investors were disappointed when the Vietnamese stock market was assessed as not growing and going against the general trend of the world . Pressure from inflation, super high interest rates , credit market not growing , and reduced money supply were the reasons why the stock market in 2010 did not meet expectations . In the first six months of 2010 , the VN-Index still achieved high growth ( at one point the VN-Index reached 549 points), however, in the last six months of the year , the stock market continuously encountered difficulties , continuously decreased points and at the end of 2010, the VN-Index decreased 2% compared to the end of the previous year at 484.66 points.

Investors witnessed a disappointing decline in the stock market in 2011. The market only had two short recoveries in late May and mid-August, and closed on December 30, 2011 at 351.55 points, down 23% compared to the beginning of the year . The reason for this decline is due to the macroeconomic situation , pressure on exchange rates, interest rates, and inflation, which are still high despite the Government's use of many measures to stabilize them. Besides, investor sentiment is still low due to prolonged disappointments combined with negative information in the world market , most notably the public debt problem in Europe, which has had a significant impact on the VN-Index.

The stock market in 2012 showed signs of more positive growth when VN -Index increased by nearly 40% within five months compared to the end of 2011 and became one of the most impressive markets in the world. However, the failure in the remaining 7 months of the year caused VN - Index to decrease by 20% compared to the beginning of the year , and ended 2012 with a score of 413.73 points, overall the index still achieved a growth of 17.7 %. Considering the impacts of macroeconomic factors, GDP growth rate remains stable .

At a low of 5.03%, the industrial production index has not recovered , inflation is controlled by the Government.

Good control of only 6.81 %, much lower than the 18.58% in 2011 , the stable foreign exchange market throughout 2012 also contributed positively to the development of the stock market. However, information about bad debts, restructuring activities of the banking system , along with bad information from bank leaders, has shaken investors' confidence in the market and as a result, stock prices have been affected .

Macro solutions have gradually had an effect on the stock market in 2013 , inflation has been controlled , industrial production index increased by 5.6% compared to the same period last year, balance of payments has improved , interest rates have tended to decrease, foreign exchange market has tended to stabilize... Besides, in this year , restructuring of the stock market has been promoted , many regulations supporting the market have been issued , positively affecting the development of the market . Therefore , the Vietnamese stock market has had positive developments, the Vn-Index increased by 90 points from 413 points at the beginning of the year to 504.63 points at the end of the year (an increase of 22.2%).

Positive signs from 2013 are the basis for investors to expect further growth from the stock market in 2014. However, if the beginning of the year was smooth with an impressive milestone of 569.87 points (April 22), then after the East Sea events, the continuous decrease in oil and gas prices , and the Russian economic crisis, the VN-Index had strong declines such as the session on May 8, down to 527.09 points (down 5.87%), then the VN-Index reached its 2014 peak of 600.84 points (October 31). But by December , VN-Index once again plummeted to 518.22 points (December 17), ending a not-so-smooth year for the stock market .

The stock market in the first 3 months of 2015 received positive information, stimulating economic growth such as the TPP agreement, FTA, and room expansion for foreign investors. VN-Index increased sharply and reached 600 points (March 4). But then VN-Index entered a Downtrend, falling from 600 points to the bottom of 528.95 points on May 18, due to a series of oil and gas stocks falling sharply, typically GAS and PVD. On May 29, the signing of the FTA between Vietnam and the Eurasian Economic Union created momentum for VN-Index to enter an Uptrend, reaching a peak of 638.69 points (July 14). On August 11, China devalued the yuan by 1.9%, within just 3 days, the yuan fell 4.6% against the USD, forcing Vietnam to adjust its exchange rate sharply, which greatly affected market sentiment. On August 24, the VN-Index returned to the bottom of 526.93. Information about Decree 60 and TPP had a positive impact on the market, the VN-Index increased but not as high as the period

The previous wave only reached 615.18 points (November 5). From then until the end of the year, VN-Index entered a downward adjustment trend. The FED's agreement to raise interest rates from 0 - 0.25% to 0.25 - 0.5% and the slide in world crude oil prices that showed no signs of stopping, falling close to the record low of 2008, negatively affected the general sentiment of the market.


4.2.1. Analysis of macroeconomic factors affecting the VN-Index


4.1.2.1. Exchange rate and VN-Index


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Chart 4.2: Relationship between exchange rate and VN-Index


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Source: Ho Chi Minh City Stock Exchange; State Bank of Vietnam


Phase 2006 – 2008:


The exchange rate in 2006 was considered the most stable in this period, while the stock market was extremely active, VN-Index at the end of 2006 reached 751.77 points, double the level at the end of 2005 of 307.5 points. In 2007 , the exchange rate fluctuated frequently but within a narrow range ( early 2007 decreased by 0.3%, mid-2007 increased by 0.6% and overall decreased by 0.6% for the whole year) .

0.03%), while the VN-Index for the whole year increased by about 23%. The exchange rate in 2008 fluctuated complicatedly due to changes in macro factors, the USD price in the free market increased rapidly , forcing the State Bank to change the exchange rate band 5 times (the peak of the free USD price was 19,400 VND/USD, only 2,600 VND higher than the ceiling). Meanwhile, the VN-Index trend decreased throughout 2008 , which shows that the exchange rate was not the decisive factor in the change of the VN-Index during this period.

Phase 2009 – 2011:


On November 25, 2009, the State Bank adjusted the exchange rate up to 5.44% and reduced the amplitude to +/- 3%. This information caused the stock market to plummet, VN-Index decreased from 503.41 points (November 25) to 442.1 points (December 16) after nearly 3 weeks, which is a decrease of 12.2%. In 2010 , the State Bank also adjusted the exchange rate up 3.36 % from 17,941 VND/USD to 18,544 VND/USD. The stock market did not react negatively to this increase in price, VN-Index still increased from 490.91 points (February 10) to 507.32 points (March 3), equivalent to an increase of 3.34 %. A notable development in 2011 was the increase in the average interbank exchange rate by the State Bank from 18,932 VND/USD to 20,693 VND/USD (an increase of 9.3 %) and the VN-Index decreased from 519.98 points (February 11) to 503.92 points in one week , equivalent to a decrease of 3.1% and a decrease of 11.27% for the whole month.

Phase 2012 – 2015:


In 2012, the stock market witnessed a strong increase in the price of VN-Index in the first 5 months of the year ( up 30 % compared to the end of 2011), in the last 6 months of the year , VN-Index decreased sharply (down 11%). However, the exchange rate movement in this year was not significant, the whole year decreased by 0.96%. In 2013 and 2014, it was considered a successful year in the exchange rate policy of the State Bank, the exchange rate fluctuated within a narrow range and the times the average exchange rate increased did not create a shock change in VN-Index. Throughout 2015, the State Bank devalued the Vietnamese Dong by a total of about 5.34% and the market turned down sharply and almost immediately after the nearly 2% devaluation (on August 19).

In general, when there is an exchange rate shock, the VN-Index will have a clear change, while slight fluctuations of about 1% will have an insignificant impact . The impact of exchange rate on VN-Index is often in opposite directions, when the exchange rate increases sharply, the VN-Index will turn around.

decrease score


4.1.2.2. World oil prices and VN-Index


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Chart 4.3. Relationship between world oil prices and VN-Index


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Source: Ho Chi Minh City Stock Exchange; EIA


Phase 2006 – 2008:


Stock prices and oil prices in 2006 had a fairly synchronous relationship in the second quarter (VN-Index marked a recovery with a 23% increase , oil prices also increased by 10% during this period), however in the last months of the year , oil prices showed signs of cooling down , so VN-Index

still increasing steadily . In 2007, stock prices and oil prices both had impressive growth .

From the beginning of the year (oil price increased by 40%, VN-Index increased by 23%), through 2008 , oil price maintained its growth rate and peaked in the middle of the year , but then decreased sharply at the end of the year (decreased by 70%), VN-Index also decreased accordingly ( 40%).

Phase 2009 – 2011:

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