GROUP 1

IFM 2
PROJECT
 GROUP MEMBERS

11219228 Lưu Duy Bằng

11211990 Đỗ Trung Hải

11205225 Nguyễn Minh Hạnh

11212247 Nguyễn Quang Hiếu

11219235 Lưu Thị Lộc

11219242 Lưu Hương Nhi

11214722 Bùi Lê Kim Phương
CONTENTS PROJECT AIMS
Employ two distinct methodologies for
1. Overview & Data set forecasting stock prices:
• Econometrics modeling
• Technical analyzing
2. Econometrics model
Subsequently compare their efficiency.

3. Technical analysis

4. Conclusion
01.
ORVERVIEW & DATA
Introduction to MBB and Data set
Military Commercial Joint Stock Bank

HOSE: MBB Shareholders of MBB

Industry Finance
14,76%
Sector Banking
9,86%
Today average 22.18
51,25%
52-week range 16.95 - 25.70 8,19%

7,21%
10 days volume 25,79,040
Shares outstanding 5,287,084,052
Market capitalization 116,315.85 (billion)
VIETTEL Group

MBB is currently included in the VN30 index and is State Capital Investment Corporation
one of the most sought-after stocks. “One of the Vietnam Helicopter Corporation
stocks with the highest profit potential and Saigon Newport One Member Limited Liability Corporation
relatively low risk in the banking sector” Viettel Commerce And Import – Export Limited Company

- VNDirect Research - Joint Stock Commercial Bank For Foreign Trade Of Vietnam
Others
DATA SET

Observations
790 Training set (97%)
815 25 Test set (3%)
1/4/2021 – 10/4/2024

Closing Price
Volume trading
Change %
Variables
Additional variables
Ln(closing price)
02.
ECONOMETRICS
MODELING
Model explanation, Regression steps &
Forecasting
MODEL EXPLANATION

Shiller’s Model
X t = ln closing price at time t
X t = ഥX + ϕ X t−1 − ഥ
X + ϵt ϕ = coefficient
ϵt = residuals
Rewrite:

∆X t = β0 + β1 X t−1 + ϵt β0 ≡ ഥ
X 1 − ϕ ; 𝛽1 ≡ − 1 − ϕ

Io-Mackinlay model
X t = ln closing price at time t
X t − X t−1 = 𝑘 X t−1 − 𝑋𝑡−2 + ϵt k = coefficient
ϵt = residuals
 REGRESSION STEPS

Step 1: Test for stationary

ADF Test None Drift Trend Conclusion

Lag value -6.178e-05 -0.0072 -6.922e-03

Not
𝐗𝐭 stationary
Trend term -9.161e-07

-0.9993 -1.0000 -1.000e

Lag value
*** *** *** Stationary
𝐗 𝐭 − 𝐗 𝐭−𝟏 with drift
Trend term -1.776e-06

→ The ADF Test was computed in R

→ The series (Xt − Xt−1) is a difference series
→ For the purpose of comparison, we will employ both the Shiller’s and Io-Mackinlay models to
run regression
 REGRESSION STEPS

Step 2: Run regression

Shiller’s Shiller Io-Mackinlay

X෡t = 9.9875 + 0.9882 X
෣ t−1 − 9.9875 + et
𝑋ത = 9.9875
Coef 𝑘෠ = −0.0018
𝜙෠ = 0.9882
Io-Mackinlay
R_sq 57.91% 58.83%

X෡t − X
෣ ෣ ෣
t−1 = −0.0018 X t−1 − X t−2 + et SE 227.4849 105.6556

Step 3: Forecast and valuation

• The estimated model is then used to forecast MBB stock prices for the next 25 days
• Method: Dynamic forecast
• Valuation: MAPE, RMSE (Smaller value -> Model is more efficient)
FORECASTING

Shiller Io-Mackinlay → Io-Mackinlay model is more efficient

MAPE 0.031837 0.028511 → The forecast show a slight upward trend
RMSE 901.312310 806.919122 in MBB stock price for the next 25 days
03.
TECHNICAL ANALYSIS
Technical analysis on the data set
TECHNICAL ANALYSIS

Variables Identifying
Forecast for
• Trading volume • Patterns
• Trends future price
• Past price
• Signals movements
movements

Pros
• It offers valuable insights into market supply and demand
• Quick and easy, does not involve data and accounting problems
• Tells investor when to buy

Cons
• Overlooks macroeconomic factors
• Relies heavily on past price movements
• Interpretation is subjective
 COMMON CONCEPTS

Candlestick Chart Resistance and support level

→ The support level is where the price
regularly stops falling and bounces back up

→ The resistance level is where the price

normally stops rising and dips back down.

Trend channel
→ 2 parallel trend lines
→ Upper trendline represents resistance
→ Lower trendline represents support

Trendline break
Trend analysis
→ A technical signal that can suggest a
Trends can be upward (bullish), downward change in trend is at hand.
(bearish), or sideways (neutral)
SUPPORT AND RESISTANCE After COVID,
increased interest
in equities created
a notably bullish
market sentiment

Market sentiment
turned bearish in the
face of geopolitical
instability.

Significant shift in
january 2024.

Buying pressure
propelled MBB’s
price to break the
resistance level
reaching its earlier
high levels.
 The primary
trend appears
to be bullish

Zoom out
Encouraging
trends in the
movement of
MBB prices in
the next 25 days
OTHERS INDICATORS

Bollinger Bands
→ During an upward trend, the price usually oscillates between the middle and upper side of the
Bollinger Bands

Relative Strength Index (RSI)

→ Measures the speed and magnitude of recent price change
→ RSI moves in a different direction than the price, then the current trend is weakening and could
soon reverse

MA Convergence Divergence (MACD)

→ A trend-following momentum
→ MACD above 0, the price is an in upward phase.

Average directional index (ADX)

→ Measures the strength and momentum of a trend
→ ADX above 40, the trend is considered to have a lot of directional strength. ADX below 20, the trend
is considered as weak or non-trending
CONFIRMING TREND

→ BB: band range is

wide indicating high
volatility

→ RSI: above 30,

reached 70 and
above, confirming
upward trend

→ ADX: above 24.05,

directional uptrend,
no sign of
weakening

→ MACD: above 0.05,

confirms price is in
an upward phase
04.
CONCLUSION
Trend forecast and limitations
CONCLUSION
BOTH METHODS SUGGEST
For the next 25 days, the primary
trend is: Uptrend
However, actual stock prices of
MBB for this timeframe exhibited
high volatility as they moved up and
down considerably, so there was no
directional trend in this period.
Limitations
→ Both models ignore the impact of macroeconomics
(change in monetary policy, interest, global crisis,…
→ In econometrics model, the goodness-of-fit is just
above average and can lead to inaccurate predictions
in price movements.
→ The model assumes trend in the past will repeat in
the future which is not always the case
→ In technical analysis, the 25-day horizontal forecast
may be too long, it is best for short-term prediction
(1 day to 2 weeks).
→ Technical analysis is more of a psychological
retracement rather than a financial investigation
THANK YOU
FOR LISTENING
Our data set was collected from Investing.com
Our regression was conducted in Jupiter Notebook
Our technical analysis & trading view was performed in SSI iboard