2023

Abstract

This study aims to investigate the impact macroeconomic variables on Vietnamese and Indonesian stock market during the period from January 2012 to December 2019 of the Ho Chi Minh Stock Exchange and Jakarta Stock Exchange. There are five macroeconomic variables that is selected, they are inflation (CPI), interest rates, Gross domestic product, money supply and exchange rate. Methods that are used for the diagnostics process of the study include Stationary test, optimal lag test, cointegration test (Johansen’s co-integration), Granger-causality test and vector autocorrelation model to test the long-run and short-run relationship between Vietnamese stock market, Indonesian stock market and the selected macroeconomic variables. The result shown that in Vietnam, interest rates has a positive and significant effect on the stock market in short-term. In Indonesia, exchange rate has a negative and significant impact on the stock market in short-term. The result also shows that interest rates can be used to predict stock performance in Vietnam while exchange rate can be used to predict stock market performances from Indonesia. In conclusion, Indonesian stock market and Vietnam stock market does have a correlation to macroeconomic variables. They can absorb and fluctuate when macroeconomic variables change, however, past fluctuations could not comprehensively explain current changes of stock market. Furthermore, researches and recommendations should be made more to find the potential relation of these macroeconomic variables to stock market.