Impact of macroeconomic factors on the stock market price - In case of Ho Chi Minh stock exchange
Abstract
This study investigates the relationship between macroeconomic factors and stock market return. Monthly data is using during the period 2010-2016. The study investigation is about the contribution of some macro factors toward the price of stock market (HOSE). The study applies the approach of previous researches and theories with the data collected from Vietnamese stock market, in this case represented by Ho Chi Minh stock exchange or VN-Index. The empirical research will be done by using Vector Auto regression model and Regression model to examine the relationship or testing the hypothesis. In fact, the four variables which are Inflation rate represented by CPI, Interest rate, Exchange rate, and Money supply represented by M2 are used to explain or predict the stock price.
The Vector Auto regression model shows that only Interest rate and Money supply can be used to explain stock price movement. And it also suggests that the stock price in the past need to be considered as one factors to predict or analysis stock price.