RELATIONSHIP BETWEEN EXCHANGE RATE, INTEREST RATE AND REAL ESTATE STOCK: A CASE STUDY FOR VIETNAM

• Main Author: Tran Thi Ly
• Other Authors: Day- Yang Liu
• Format: Others
• Language: en_US
• Published: 2018
• Online Access: http://ndltd.ncl.edu.tw/handle/82p79t

碩士 === 國立臺灣科技大學 === 財務金融研究所 === 106 === The objective of this study is to examine the association between exchange rate, interest rate and stock price of real estate industry in Vietnam by applying Vector Error Correction Estimates model (VECM). Furthermore, the causality¬ among these variables also is examined by applying pair-wise Granger causality model. Before applying VECM model, the author also run unit root test to check the stationary characteristic of time series and run Johansen co-integration test to check the whether the co-integrating equation exists. The firms relating to real estate sector selected for this study are the top ten firms in terms of market capitalization in Vietnam. The data for the selected firms, exchange rate and interest rate is daily data obtained for the period of January 2016 to March 2018. Findings of this study are useful for investors, managers of real estate firms and policy makers. From the standpoint of investors, they can predict the movements of stock price based on information of exchange rate and interest rate. From the standpoint of real estate’s firms, they can forecast the favorable time for stock price to support the decision of raising capital. Similarly, policy makers can stabilize the stock market fluctuations by adopting appropriate policy towards to exchange rate and interest rate for time and time. The results in this study disclose that there exists the long run equilibrium relationship between three time series including stock price of real estate firms, exchange rate and interest rate. Specifically, the correlation of real estate stocks and exchange rate is positive, but the correlation of real estate stocks and interest rate is negative. It is found that the causal relationships which are from foreign exchange rate to interest rate, from real estate stocks to interest rate and from foreign exchange rate to real estate stocks.