The effect of macroeconomic variables on stock market return in Vietnam
Abstract
This study conduct to find the impact of macroeconomic variable on Vietnam stock market. The factors affect Vietnam stock market has namely as inflation, interest rate, money supply, exchange rate, industrial production price index, gold price and oil price. All variables are observations as monthly data series from January 2010 to June 2015 in the Vietnam stock market (VN-INDEX). The methodology using is ADF test, Multiple Regression and Granger Causality test.
The purpose of this study is finding the relationship of macroeconomic variables and Vietnam stock market. Furthermore, this study also try to find the answer whether all these factors can use to predict the future value of stock market or vice versa.
The research finding that, interest rate, gold price and the last month stock price may affect the current stock price. This result also find that the macroeconomics and Vietnam stock market is weakly relationship with each other, and cannot use to predict the future value of variables, excluding money supply.