Impacts of the US monetary policy on the Vietnamese stock market

Abstract

Understanding the impacts of US monetary policy on the Vietnamese stock market is important for many stakeholders since Vietnam has been gradually integrated into the global economy. There has been an increased relationship in trade, investment and other activities between Vietnam and the USA in the last few decades. Employing dynamic panel data techniques, we find that US monetary policy has strong impacts on the Vietnamese stock market. Moreover, we document that these impacts are affected by the Vietnamese firm's characteristics including firm size, market-to-book ratio and financial leverage. The estimation results also confirm the impacts of firm size and market-to-book equity on stock returns as suggested by the Fama-French model. Vietnamese stock returns are also driven by the country's macroeconomic condition, monetary policy, inflation, and stock market performance.