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This study examines the impact of exchange rates on stock returns in the Vietnamese stock market using the Support Vector Regression model. The analysis includes all listed companies in Vietnam, covering both the HOSE and HNX exchanges, with data collected on a monthly basis from January 2010 to December 2023. By developing a forecast index for stock returns based on the exchange rate (VND/USD) and market variables, the study established a long-short portfolio derived from this indicator. The results demonstrate that the long-short portfolio, labeled P11, is indeed effective, as it yields a positive and statistically significant average return. Regression analysis indicates that the intercept terms in both the Capital Asset Pricing Model (CAPM) and the Fama–French three-factor (FF3) model are positive and statistically significant at a high level. This reinforces the notion that a potential anomaly related to the exchange rate exists. These findings hold substantial implications for investors, as they can aid in the development of effective investment strategies, particularly in capitalizing on arbitrage opportunities within the Vietnamese stock market.

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Support Vector Regression in Asset Pricing: The Role of Exchange Rate

  • 章节

  • 发表日期：

    2025年

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  • Tran Trong Huynh,
  • Bui Thanh Khoa

摘要

This study examines the impact of exchange rates on stock returns in the Vietnamese stock market using the Support Vector Regression model. The analysis includes all listed companies in Vietnam, covering both the HOSE and HNX exchanges, with data collected on a monthly basis from January 2010 to December 2023. By developing a forecast index for stock returns based on the exchange rate (VND/USD) and market variables, the study established a long-short portfolio derived from this indicator. The results demonstrate that the long-short portfolio, labeled P11, is indeed effective, as it yields a positive and statistically significant average return. Regression analysis indicates that the intercept terms in both the Capital Asset Pricing Model (CAPM) and the Fama–French three-factor (FF3) model are positive and statistically significant at a high level. This reinforces the notion that a potential anomaly related to the exchange rate exists. These findings hold substantial implications for investors, as they can aid in the development of effective investment strategies, particularly in capitalizing on arbitrage opportunities within the Vietnamese stock market.