TẠP CHÍ KHOA HỌC YERSIN
YERSIN JOURNAL OF SCIENCE
ISSN: 2525 - 2372
TẠP CHÍ KHOA HỌC YERSIN
YERSIN JOURNAL OF SCIENCE
Nghiên cứu này xem xét tác động của giá cả hàng hóa toàn cầu và yếu tố kinh tế vĩ mô khác đối với diễn biến thị trường chứng khoán của 6 nước Đông Nam Á bao gồm Malaysia, Indonesia, Thái Lan, Singapore, Philippines và Việt Nam. Yếu tố vĩ mô toàn cầu là giá cả hàng hóa toàn cầu cùng bốn yếu tố kinh tế vĩ mô nội địa là tăng trưởng kinh tế, tỷ lệ lạm phát, tỷ giá hối đoái và lãi suất được sử dụng để giải thích sự biến động của thị trường chứng khoán. Áp dụng các mô hình dành cho dữ liệu bảng như POLS, FEM, REM, GLS, DGMM kết quả cho thấy yếu tố giá cả hàng hóa toàn cầu có tác động đến thị trường chứng khoán các nước Đông Nam Á. Ngoài ra, còn có sự tác động mạnh mẽ của lãi suất, tỷ giá hối đoái, tỷ lệ lạm phát trên thị trường chứng khoán, trong khi tăng trưởng kinh tế thì không đáng kể.
This study examines the impact of global commodity price and macroeconomic factors on the stock market movements of six Southeast Asian countries: Malaysia, Indonesia, Thailand, Singapore, Philippines, and Vietnam. The global macro factors are the global commodity price, and four factors of domestic macroeconomics, including economic growth, inflation rate, exchange rate, and interest rates, which are used to explain the volatility of the stock market. Applying the model for table data such as POLS, FEM, REM, GLS, DGMM results showed that global commodity prices have an impact on the stock markets of Southeast Asian countries. In addition, there was a strong impact of interest rates, exchange rates, and inflation rates on the stock market, while economic growth was found to be surprisingly insignificant.
Yếu tố kinh tế vĩ mô, thị trường chứng khoán, các nước Đông Nam Á
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