Relationship between exchange rate and stock price: The case study in Ho Chi Minh Stock Exchange (HOSE)
Abstract
This study investigates relationship between exchange rate and stock market by
performing main model Vector Autoregression Model (VAR) at first difference. The
model is applied on monthly data of 97 observations on Ho Chi Minh exchange stock
price and real exchange rate during the period form Sep 2006 to Sep 2014. The study
finds there is no existence of a relationship between the exchange rates and stock price
because some companies have advantages and some companies have disadvantage from
the change of exchange rate, which make the VN-index is saturated. In addition, there are
the other factors affecting to the market. Some recommendations are suggested to help
investors more clearly about the overall picture of stock market and have suitable
strategies for investment portfolio in current time.