Advanced

THE IMPACT OF INTEREST RATE POLICY ON THE STOCK MARKET AT THE AGGREGATE AND INDUSTRIAL LEVEL: EVIDENCE FROM VIETNAM

Vo Dinh, Vinh LU and Doan, Thuy Chi LU (2012) NEKN02 20121
Department of Economics
Abstract
The paper investigates the effect of interest rate announcements on stock returns and trading volume from two view-points: aggregate level and industrial level. We apply two models and two test methods in both the short and the long event window to examine the investors’ reactions to interest rate announcements of the State Bank of Vietnam. The results show that the market index rarely responds to the interest rate news and the impact of interest rate policy varies across industries. While manufacturing and construction stocks react to all interest rate announcements in a similar direction, financial shares are only influenced by refinancing and rediscount interest rates. Finally, we find that, in the case of benchmark rates, trading... (More)
The paper investigates the effect of interest rate announcements on stock returns and trading volume from two view-points: aggregate level and industrial level. We apply two models and two test methods in both the short and the long event window to examine the investors’ reactions to interest rate announcements of the State Bank of Vietnam. The results show that the market index rarely responds to the interest rate news and the impact of interest rate policy varies across industries. While manufacturing and construction stocks react to all interest rate announcements in a similar direction, financial shares are only influenced by refinancing and rediscount interest rates. Finally, we find that, in the case of benchmark rates, trading volume is positively related to stock returns but respond oppositely to changes in interest rates. (Less)
Please use this url to cite or link to this publication:
author
Vo Dinh, Vinh LU and Doan, Thuy Chi LU
supervisor
organization
course
NEKN02 20121
year
type
H1 - Master's Degree (One Year)
subject
keywords
Event study, abnormal return, average abnormal return, cumulative abnormal return, parametric test, nonparametric test.
language
English
id
2629113
date added to LUP
2012-06-08 14:29:37
date last changed
2012-06-08 14:29:37
@misc{2629113,
  abstract     = {The paper investigates the effect of interest rate announcements on stock returns and trading volume from two view-points: aggregate level and industrial level. We apply two models and two test methods in both the short and the long event window to examine the investors’ reactions to interest rate announcements of the State Bank of Vietnam. The results show that the market index rarely responds to the interest rate news and the impact of interest rate policy varies across industries. While manufacturing and construction stocks react to all interest rate announcements in a similar direction, financial shares are only influenced by refinancing and rediscount interest rates. Finally, we find that, in the case of benchmark rates, trading volume is positively related to stock returns but respond oppositely to changes in interest rates.},
  author       = {Vo Dinh, Vinh and Doan, Thuy Chi},
  keyword      = {Event study,abnormal return,average abnormal return,cumulative abnormal return,parametric test,nonparametric test.},
  language     = {eng},
  note         = {Student Paper},
  title        = {THE IMPACT OF INTEREST RATE POLICY ON THE STOCK MARKET AT THE AGGREGATE AND INDUSTRIAL LEVEL: EVIDENCE FROM VIETNAM},
  year         = {2012},
}