The effects of macroeconomics variables on Vietnam Stock market
Abstract
The main purpose of this research is to analyze the impact of macroeconomic factors on Vietnam stock price indexes through the Vector regression model. The macroeconomic variables studied in this research include interest rates, inflation rates, open money supply, industrial production price index, exchange rate. The VN-Index is used to represent the stock price index of the Vietnam stock market. The analytical data of the variables were obtained by month, from January 2006 to December 2016. The results of the cointegration test showed that there is a long-term equilibrium relationship between the VNINDEX and macroeconomic factors. The Granger Causality test and the Vector autoregression model show that only the money supply has an impact on the VNINDEX (the regression coefficient of this factor is significant, statistics of the remaining factors are not statistically significant). Accordingly, oil prices have a positive correlation with the VNINDEX. In addition, the Granger Causality test also shows that the VNINDEX is not the leading indicator for macroeconomic factors and the economy as the VNINDEX does not have any causal effect on any macroeconomic variable. The research also shows that when there is any shock in the macroeconomic variables, the stock market took a long time to adjust to equilibrium.