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,


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.




How to Cite

Nguyen-Quynh-Nhu Ngo, Mohammad Talha, Nguyen-Nhu-Ngoc Ngo, & Mabruk Billah. (2024). Quantile-On-Quantile Connectedness between Macroeconomics and Stock Market Return in Vietnam. Kurdish Studies, 12(2), 3338–3356. Retrieved from https://kurdishstudies.net/menu-script/index.php/KS/article/view/2441

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