The impact of some macroeconomic factors on stock price Index in Vietnam

Abstract

This study aims to measure the impact of six macroeconomic factors including oil price, consumer price index (representing inflation), M2 money supply, interest rate, exchange rate and gold price on Vietnamese stock market (via VN-Index stock price index) in the 2000-2018 period by using VECM model. The results show a positive correlation between inflation and VN-Index and a negative correlation between interest rates and the index in the long run. For short-term periods, VN-Index is mainly affected by the previous month indexes. It also has a positive relationship with interest rates, money supply and oil prices and a negative relationship with inflation and exchange rates. The effect of gold price on VN-Index is not significant in both short and long terms.

Keywords

• chỉ số giá chứng khoán
• vecm
• yếu tố kinh tế vĩ mô