1. Full name: Luong Tram Anh 2. Sex: Female
3. Date of birth: 23/09/1992 4. Place of birth: Hanoi
5. Admission decision number: Decision No. 2417/QD-ĐHKT dated September 9, 2020, of the Rector of the University of Economics and Business on the recognition of the list of first-year PhD students of the QH-2020-E course (phase 1)
6. Changes in academic process (if available):
7. Official thesis title: The impact of sentiment index on stock market returns on the Vietnamese stock market
8. Major: Finance - Banking 9. Code: 9340201.01
10. Supervisor: Assoc. Prof. Dr. Le Trung Thanh
11. Summary of the new findings of the thesis:
This thesis aims to examine the sentiment index's impact on the Vietnamese stock market returns at both market and sectoral levels. Thus, this thesis will make several recommendations to limit the adverse effects of sentiment on the Vietnamese stock market in general and investors' portfolios. The research object of the thesis is the sentiment index (a series of numbers measuring the level of optimism/pessimism of investors in the stock market) and stock returns (the profit generated from changes in the stock prices, excluding dividends). To establish a link between investor sentiment and stock returns, the thesis utilizes the principal component analysis (PCA) method to construct a sentiment index from 07 proxies from January 2011 to June 2022 and the quantile-on-quantile regression (QQ) method to examine the impact of sentiment index on stock market returns on different quantiles of sentiment index and stock returns.
The results of our study reveal several important findings. Firstly, the sentiment index is affected by many economic and political events in Vietnam and worldwide. Secondly, at the market level, the sentiment index generally positively impacts stock market returns. In other words, when the market is bullish, optimistic (pessimistic) investors have positive (negative) returns. However, this impact will be reversed in pessimistic periods (lower quantiles of the sentiment index) and bearish markets (lower quantiles of market returns). In terms of intensity, the impact of the sentiment index on market returns is most substantial at extreme quantiles of stock returns as well as investor sentiment. Finally, at the sectoral level, although all indices are influenced by prominent economic and political events, investor sentiment varies across sectors. The impact of sentiment on stock returns at the sectoral level tends to be similar to the market level. However, there are heterogeneities across the sectors. The extent and direction of the impact of the sentiment index on stock returns is different across sectors, depending on the specific characteristics of each sector.
The results of the thesis have contributed both theoretically and practically. Firstly, this study has provided a systematic view of the literature on this research field and clarified methods to measure investor sentiment on stock markets. Second, the study adopted quantitative methods proposed by previous studies to measure sentiment in Vietnam's stock market at both market and sectoral levels. So far, very few studies measured investor sentiment on the Vietnamese stock market. The thesis has pointed out the limitations in the measurement in previous studies and attempted to overcome those weaknesses. In addition, the thesis examines the impact of the sentiment index on stock returns in different market conditions (bullish or bearish) and sentiment conditions (optimistic and pessimistic). Third, the research results of this thesis will contribute to the research system on behavioral finance and asset pricing in frontier and emerging markets. Fourth, this study proposes some recommendations for market participants in different periods.
12. Further research directions:
The thesis suggests several research directions: Firstly, future studies can use text and media data to measure sentiment on the Vietnamese stock market. This index can have the ability to be at a higher frequency. This can also be a reasonable basis for comparing and testing the sentiment index's accuracy constructed in this thesis. Second, to elucidate the relationship between macroeconomic factors - investor sentiment - stock returns and understand the nature of sentiment indicators, further studies on the relationship between sentiment index and fundamental factors proposed by neoclassical financial theory. Third, future studies can conduct a sentiment index and evaluate the impact of this number on the cross-sectional stock returns in terms of size, age, growth, or other characteristics.
13. Thesis-related publications:
Luong, A. T.*, Le, T. H., Le, T. T., & Nguyen, H. N. (2023). Investor sentiment, stock returns, and the dependence between their quantiles: evidence from G7 countries. Applied Economics Letters. https://doi.org/10.1080/13504851.2023.2204211. (SSCI/Scopus Q2)
Le, T. H., & Luong, A. T.* (2022). Dynamic spillovers between oil price, stock market, and investor sentiment: Evidence from the United States and Vietnam. Resources Policy, 78, 102931. https://doi.org/10.1016/J.RESOURPOL.2022.102931 (SSCI/Scopus Q1)
Luong, A. T., Le, T. T.*, Pham, H. H., Luong, H, D. & Phung, H. T. T. (2023). The Development of Research on Investor Sentiment in Emerging and Frontier Markets with the Bibliometric Method. Journal of Scientometric Research. (ESCI/Scopus Q2) (Accepted)
Luong, A. T.*, Le, T. H.*, Phung, H. T. T., & Le, T. T. (2023). Is There a Relationship Among Investor Sentiment Industries? Evidence from the Vietnamese Stock Market. International Conference: Contemporary Financial Management, 281–300. https://doi.org/10.4335/2023.3.15. ISBN 978-961-7124-14-9
Luong, A. T.*, Le, T. T., & Phung, H. T. T. (2022). Stabilize market sentiment to protect investors in the Vietnamese stock market. 2022 IAFICO Annual Conference: Global Forum Financial Consumers. Financial Consumer Protection and Sustainable Development, 181–197. ISBN: 978-604-70-3412-3
Luong, A. T.* (2022). Investor sentiments and stock market returns on the Vietnamese stock market. International Conference: Contemporary issues in business and management, 344–361. ISBN: 978-604-9995-02-6
Nguyen, H. T., Luong, A. T.*, Dau, V. T. & Le, U. T. P (2023). Gold price, oil price, and stock market returns spillovers: Empirical evidence from Vietnam. VNU Journal of Economics and Business, 3(4)
Lương Trâm Anh*, Nguyễn Thị Hoài, Nguyễn Thị Trang, Đậu Thảo Vy, Lê Hạ Vi & Lê Thị Phương Uyên. (2022). Ảnh hưởng của thanh khoản đến tỷ suất sinh lợi thị trường: Thực nghiệm tại Việt Nam. VNU Tạp Chí Kinh Tế và Kinh Doanh, 2(5), 93–102. https://doi.org/10.25073/2588-1108/VNUJEB.4789
Lương Trâm Anh*, Phùng Thị Thu Hương. (2022). Chỉ số tâm lý của các ngành trên thị trường chứng khoán Việt Nam. Thị trường chứng khoán và các trung gian trong tài chính trong bối cảnh mới, 171–186. ISBN: 978-604-67-2387-5
