TÁC ĐỘNG BẤT ĐỐI XỨNG CỦA TỶ GIÁ HỐI ĐOÁI ĐẾN THỊ TRƯỜNG CHỨNG KHOÁN: BẰNG CHỨNG THỰC NGHIỆM TẠI VIỆT NAM

Abstract

This study examines the asymmetric impact of exchange rates on stock price index in Vietnam in the period of 2010-2022. The study uses The Nonlinear Autoregressive Distributed Lag (NARDL) proposed by Shin et al. (2014). The result of empirical research shows that shocks (both the increase and the decrease) in the exchange rate reduce stock prices which negatively impacts on Vietnamese stock market. It is proved that this asymmetric influence exitsts both in short term and long term. The stock price is not only affected by the change in the current month's exchange rate, but also by the exchange rate and stock prices in the previous months.