The Relationship Between Macroeconomic Factors And The Stock Market In Vietnam
Abstract
This paper provides evidence of the effect of macroeconomic factors, including
the exchange rate, the three-month interbank savings deposit interest rate, the gross
domestic product growth rate, the Dow Jones index, the production manufacturing index,
and domestic gold and oil prices on stock price return on HOSE. The data for analyzing
variables taken from Q1 2005 to Q4 2021 includes 68 observations. The study uses
quarterly time series data combined with unit root test analysis, Johansen cointegration test,
Granger causality test, and vector autoregression (VAR) model to forecast the trend of
return from VN-INDEX based on the influence of macroeconomic factors.
From the actual results of the study, there is a relationship balance system
between VN-INDEX returns and macroeconomic factors in long-term there is a causal
relationship between the variables in the study in the short term in which interest rates and
exchange rates had an adverse consequence on the return on VN-INDEX. The three-month
interbank savings deposit interest rate factor and GDP growth rate significantly influence
the change in return rate from VN-INDEX. It is meaningful in predicting stock market
trends when GDP growth rates and interest rates fluctuate in the short term and contributes
to economic policymakers maintaining stable stock market development.