| dc.description.abstract | The study empirically investigates the effect of the macroeconomic variables on stock
returns during the time horizon from January 2001 to July 2013 for the Ho Chi Minh
Stock Exchange. This study applies the approach of previous research with the data of
Vietnamese market that uses regression model and VAR model to reach the objective.
Surprisingly, the result is quite different from previous research that macroeconomic
variables insignificantly affect VN-INDEX in overall. However, these variables could
explain stock return significantly after adjusting for some lags. It indicates that
fluctuation of VN-INDEX is influenced by the past movement macroeconomic factors. In
other hand, among four macroeconomic variables, namely, interest rate, money supply,
exchange rate and CPI, the variance decomposition test reveals that interest rate is the
most important variable in explaining the variance of VN-INDEX. Moreover, it is also
clearly noticed that most of variance of VN-INDEX is explained by its own shock and all
macroeconomic variables can contribute only a little to the fluctuation of VN-INDEX.
Finally, although regression model does not indicate any significant relationship between
macroeconomic variables and VN-INDEX, it is still better model for forecasting stock
performance compared to VAR model because from root mean square error technique,
the forecasting ability of regression model is superior to that of VAR’s.
In conclusion, Vietnamese stock market is not informationally efficient that past
changes of macroeconomic variables could explain current changes of stock market.
Thus, it may be difficult for policy makers to realize the role of monetary policies.
Especially, professional trader could make abnormal returns in stock market by analyzing
good or bad news contained in some macroeconomic variables. | en_US |
