Kurdish Studies

ISSN: 2051-4883 | e-ISSN: 2051-4891
Email: editor@kurdishstudies.net

Quantile-On-Quantile Connectedness between Macroeconomics and Stock Market Return in Vietnam

Nguyen-Quynh-Nhu Ngo
Faculty of Finance and Banking, Ton Duc Thang University, District 7, Ho Chi Minh City, Vietnam, Zip code: 70001
Mohammad Talha
Department of Accounting & Finance College of Business Administration Prince Mohammad Bin Fahd University, saudi arabia
Nguyen-Nhu-Ngoc Ngo
Western Sydney University, Sydney, 2400, Australia, Australia,
Mabruk Billah
Department of Accounting and Finance, College of Business Administration, Prince Mohammad Bin Fahd University, Al Khobar, Saudi Arabia,
Keywords: macroeconomics; GDP; FDI; Monetary Policy; Stock market return; Vietnam; quantile-on-quantile.


This paper investigates the impact of macroeconomics on stock market returns using a quantile-on-quantile regression model. With 28,740 quarterly observations from Q1 2004 to Q1 2023, we find that the stock market serves as a safe haven during various macroeconomic conditions but acts as a hedge solely against macroeconomic impacts. These relationships are further influenced by the stock market's bullish, normal, or bearish state. In bullish markets, rising stock prices are accompanied by increased investor optimism, leading to a negative and low slope as risk aversion rises. Conversely, moderate GDP levels and neutral market conditions result in a positive slope, indicating investors' willingness to take risks. Foreign direct investment (FDI) plays a significant role in economic restructuring and government revenue generation, while GDP has a positive impact on the stock market index. In bearish states, money supply expansion 's influence is subdued due to cautious investor sentiment. This study provides valuable insights for investors, enabling better asset prediction and informed decision-making, while also offering guidance to countries with similar economic characteristics in assessing their financial situations and policy adjustments based on macroeconomics' impact on stock market returns.

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