Title: Impacts of the US monetary policy on the Vietnamese stock market
Authors: Xuan Vinh Vo; Phuc Canh Nguyen
University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu Street, District 3, Ho Chi Minh City, Vietnam; CFVG Ho Chi Minh City, 91 Ba Thang Hai Street, District 10, Ho Chi Minh City, Vietnam
University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu Street, District 3, Ho Chi Minh City, Vietnam
Abstract: Understanding the impacts of US monetary policy on the Vietnamese stock market is important for many stakeholders since Vietnam has been gradually integrated into the global economy. There has been an increased relationship in trade, investment and other activities between Vietnam and the USA in the last few decades. Employing dynamic panel data techniques, we find that US monetary policy has strong impacts on the Vietnamese stock market. Moreover, we document that these impacts are affected by the Vietnamese firm's characteristics including firm size, market-to-book ratio and financial leverage. The estimation results also confirm the impacts of firm size and market-to-book equity on stock returns as suggested by the Fama-French model. Vietnamese stock returns are also driven by the country's macroeconomic condition, monetary policy, inflation, and stock market performance.
Keywords: US monetary policy; stock markets; Vietnam; USA; United States; market-to-book ratio; financial leverage; firm size; market-to-book equity; stock returns; inflation; stock market performance.
Afro-Asian J. of Finance and Accounting, 2016 Vol.6, No.2, pp.119 - 134
Submission date: 12 Mar 2015
Date of acceptance: 18 Nov 2015
Available online: 28 Jun 2016