| dc.description.abstract | Many papers concerning the schedule macroeconomics announcements have been
conducted globally, including U.S., French, African, etc. stock markets. However, there
has not been much empirical evidence regarding this topic to support the context of
Vietnam. Hence, this paper is introduced to examine whether the monthly CPI
announcements have any impact on the Vietnam stock market or not. In order to achieve
this purpose, a standard event study methodology was used to identify the abnormal
returns that occur during the event. 30 stocks from VN30-Index of Hochiminh Stock
Exchange were chosen to be the sample firms. There were 359 events collected from 30
stocks during the year 2013. The abnormal returns and cumulative abnormal returns for
the period of 9 days surrounding the announcement date give evidence that the Vietnam
stock market do adjust to the monthly CPI announcements. The abnormal returns existed
prior to the announcement date (day -2 and day -3) can also suggest the probability of
leakage on information, which lead to the early reactions of the market. In addition, the
CPI announcements may result in the negative abnormal returns for investors in the
period of time after the announcement date. Overall, the monthly CPI announcements do
have influence on the stock market. However, it is hard to conclude if it is a strong
driving factor or not. | en_US |
