Macroeconomic Indicators and Stock Market Prices: Evidence from Vietnam
Macroeconomic Indicators and Stock Market Prices: Evidence from Vietnam

Summary/Abstract: This paper investigates the short and long - run dynamics among macroeconomic indicators and the Vietnamese stock prices by applying Johansen co-integration, Vector Error Correction Model, Granger Causality Test. The dependent variable is the Stock Prices Index - VN-Index and the seven independent variables are: Consumer Price Index, Exchange Rate, Vietnam Interbank Rate, Industrial Production, Money Supply, Oil Price, Gold Price in the period of ten years from January 2006 to June 2016. The study has found that in the long term, there are one positive relationships between VN-Index and real industrial production; five negative relationships between VN-Index and the others macro indicator. In the short term, VN-Index is positively affected by itself one-month lag and negatively by its two-month lag and real Vietnam interbank rate two month lags. Otherwise, VN-Index one-month lag negatively effects on real money supply. The other factors have the short run relationship with the VN-Index but not strongly significant. Besides that, by examining the Granger Causality test, it shows that there is only one-way causality from VN-Index to Consumer Price Index.

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