The impact of macroeconomic variables on Vietnam stock market
Abstract
This study try to investigate the impact of macroeconomic variable on
Vietnamese stock market. Seven macroeconomic variable using include interest rate,
inflation, money supply M2, exchange Rate, industrial production, gold price, and oil price.
Methodology using is Ordinary Least Square, ADF test, and Granger Causality test by using
monthly data, and conduct in period of 2010 to 2014 in the biggest Vietnam stock market,
HOSE. Moreover, this research help to answer whether macroeconomic variable can use to
predict future stock market price or vice versa.
Our research finding that, interest rate, money supply that negative significant
with stock market price, while inflation, gold price, oil price are positive and significant
with future stock price. Industrial production index and exchange rate change are positive
but insignificant with stock market. This result also finding that money supply can use to
predict future stock market price while stock market price is a leading indicator for inflation
and domestic gold price