| dc.description.abstract | Inflation rate is a definitely important factor in the development of every economy, as well as the stock markets. The relationship between inflation and stock return has become the topic for study in many countries around the world. However, for the stock market of Vietnam, particularly the Ho Chi Minh Stock Exchange, there is not many researches that investigates this association. Therefore, this study aims to examine this relationship of inflation and stock return for the period of 2006 – 2015 and for the case of Ho Chi Minh Stock Exchange. Hopefully, by testing the 2 opposite hypotheses developed by 2 famous economists, Fisher Effect Hypothesis and Fama’s Proxy Hypothesis, this research is supposed to provide a full analysis of this relationship as well as the concurrent economic situation in Vietnam. By employing regression analysis as the main test, the study shows a negative relationship between inflation and stock return. In addition, Fisher effect hypothesis is rejected, and also Fama’s Proxy Hypothesis can not be applied to explain for this negative association in this case. Later, the study discusses some critic points in government policy and economic environment, by analyzing the relationship between inflation, interest rate and stock return.
Keywords: inflation, stock return, inflation – stock return relationship, Ho Chi Minh Stock Exchange, Fisher, Fama | en_US |
