The Impact Of Macroeconomic Factors On Vietnam Stock Index Using Vector Error Correction Model
Abstract
The stock market has made a great contribution to the development of
Vietnam's financial market because it is a large capital mobilization channel with high
liquidity. Investors and operators often follow Vietnam stock market through VNIndex, which in this article is the object of research and investigation of the
relationship with macroeconomic factors. In order to contribute to the research, to
raise awareness and update the trend of those relationships, Vector Error Correction
Model is used to analyze the long-term as well as the short-term effects in order to
propose solutions for investors and the government. This paper shows that VN-Index
is adversely affected by oil prices and exchange rates but increases with interest rates
and money supply in overall. On the other hand, in the short term it has a positive
relationship with lagged money supply and lagged oil price. In addition, the factor
inflation is not significant in this research.