| dc.description.abstract | Vietnam stock market has experienced rapid growth recently, and has attracted increasing attentions from domestic and international investors. In this context, assisting investors in formulating investment strategies, industries-market linkages is worth considering.
This study explores the relationships between the six largest industries and the stock market in Ho Chi Minh Stock Exchange (HOSE). Using monthly data from August, 2000 to December, 2016 and employing Granger causality following Toda-Yamamoto procedure and Generalize Impulse Response Function (GIRF), this research targets to answer the following questions:
1. Do industries (Bank, Food, Utilities, Capital Goods, Real Estate and Materials) lead HOSE?
2. Does HOSE lead the industries (Bank, Food, Utilities, Capital Goods, Real Estate and Materials)?
3. Do these industries lead industrial production growth rate?
The results point to the existence of industry-market nexus. Specifically, there exist bi-directional relationships between HOSE and Materials, between HOSE and Utilities industries. Also, Banking, Utilities and Capital Goods industries are found to have the predictive power over market fundamentals, industrial production growth rate.
Keywords: Granger Causality, Industry, Stock market returns. | en_US |
