The 37th WORKSHOP
To continue with a series of studies on the emerging stock market in Vietnam, in the 37th VDF-Tokyo workshop, we invited Mr. Tran Viet Ha -- a PhD candidate from Kyoto University (Japan), and an on-leave lecturer of the Hanoi University of Technology (Vietnam) -- to present his statistical and econometric applications to the Ho Chi Minh City Stock Trading Center (HoSTC).
Mr. Ha started his presentation by a brief introduction about the development of the HoSTC, particularly in the period July 28, 2000-March 1, 2002, which would be later used as the data series for his analysis. It was shown that the market had been developed under a variety of economic changes, which in turn required a lot of policy changes for the market.
Since the main objective of the research was to apply unit root tests for random walk hypothesis (RWH) to the data of HoSTC, Mr. Ha also made a review about previous studies which applied such approach. These studies showed that the choice of appropriate tests depended on the knowledge of initial value, whose large changes might occur when new markets or institutions appeared. Using the aforementioned approach and dataset, Mr. Ha wanted to the discover whether the current stock market in Ho Chi Minh City was efficient or inefficient, and how permanent or short-term shocks would impact the future behaviors in the market.
Going further details, Mr. Ha presented his model, which emphasized the role of initial value of stocks in the market. A set of statistical and econometric procedures, including t-statistic and F-statistic, were presented to show how they could be applied to the case of HoSTC. The presenter then provided the estimated results for the unit root tests for the stock prices series for different companies listed in HoSTC.
[For more details of the model, data, and the estimated results, please refer to the presenterfs paper and presentation files attached at the end of this summary]
The discussion section was started with some questions from Prof. Kenichi Ohno (GRIPS & VDF). He wondered how the initial value of stock prices could be defined, as there would be a lot of uncertainties in the first trading day for a new stock, especially from the big and well-known companies. Also, Prof. Ohno reminded that stock markets were substantially different from other markets such as exchange rate market, and thus it was necessary to evaluate the chosen day for initial value. In his response, Mr. Ha said that it would be appropriate to follow the important events occurring in the studied period, but it was really difficult to take all possible influential events due to limitation of the dataset. Mr. Ha also added that, the research needed consider the end-2006 period, which was not in the studied period, as it experienced numerous fluctuations in the market.
Based on the empirical findings, Prof. Ohno suggested that Mr. Ha differentiate macroeconomic and microeconomic factors of the market, because they would have significant impacts on the changes of the market, particularly on the initial value of stock prices. Similarly, Mr. Ha should also check whether the market experienced over-reaction from the investors, because this phenomenon usually occurred in emerging markets whose demand and supply forces would change substantially along with several uncertainties.
Regarding possible and significant changes of the market, Mr. Giang Thanh Long (GRIPS & VDF-Tokyo) asked Mr. Ha how he would expect the market would be changed when some giant state-owned enterprises entered the market. Moreover, how the future development of the current premature bonds market in Vietnam would influence the stock market, as investors would definitely consider the best portfolios containing both stocks and bonds to make highest returns.
Mr. Ha thanked for all these suggestions and questions, and he said that his next paper would determine the possible factors of the market, which might consider all the mentioned elements, depending on the availability of data.
Being concerned with policy changes, Mr. Pham Van Minh (Hitotsubashi University) would like to know how the monetary policy would impact the market, and how to differentiate herd behaviors and over-reactions in the market. Mr. Ha responded that the current research did not analyze the possible impacts of monetary policy, but he thought that it would have certain influences on the stock market, particularly when the market became more integrated with other markets. For the latter question, Mr. Ha provided some examples to show that both behaviors would be similar or different, depending on each case in consideration.
The presentation was ended with some concluding remarks for the current research. Mr. Ha thanked all participants for their comments and suggestions, which were valuable for coming research.
We then had an informal meeting as usual. Many policy issues in Vietnam were discussed, and our discussions went exciting with some Japanese tea and sweets.
(By Giang Thanh Long)
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