Abstract
Vietnam stock market after nearly 20 years of operation has undergone many ups and downs. In addition to the contribution to the development of the national economy, the Vietnam Stock market still has some certain shortcomings. Goods on the market have increased in size, quantity, and categories but not much of diversity. The potential risks due to many different causes, always hurt investors. Therefore, the study of Macroeconomic factors affecting the volatility of stock indexes has been paid special attention by society. Research results show that, in the long term, the VNI stock price index is affected by the oil price, money supply, interest rate, SJC gold price, and exchange rate. In the short term, the stock price index has a causal relationship with oil prices, interest rates, and the M2 money supply. When there are impacts of market shocks, short-term corrections affect extremely slow to the long-term balance. Keywords: macroeconomic factors, VNI, Vietnam stock market, ECM, VAR DOI : 10.7176/RJFA/10-12-04 Publication date :June 30 th 2019
Highlights
In the structure of the financial market, the stock market plays an essential role in providing an additional channel of long-term capital mobilization for the economy (Mishkin, 2004)
The remaining Variables of the original data series are non-stationary when the firstdegree difference has the calculated absolute value more significant than the table lookup value at the significance level 5% and 10%. This means that data from VNI Variables, Gold price, oil price, money supply, exchange rate, and interest rate are non-stationary series, the integration level of Variables is 1 or I(1)
This proves the fluctuation of oil prices, money supply, and interest rates affecting the variation of the VNI stock price index
Summary
In the structure of the financial market, the stock market plays an essential role in providing an additional channel of long-term capital mobilization for the economy (Mishkin, 2004). The stock price index is a quite sensitive indicator in the volatile macroeconomic environment. Many different causes affect the volatility of the stock price index. The analysis of macroeconomic factors is an essential requirement of the primary analysis method when assessing Vietnam's stock market in the current complicated period. There are many different indicators such as VN index, HNX index, VN index - 30, Upcom index, Baoviet index, etc., the VN index is always considered the most critical and typical stock price index when evaluating the overall volatility of Vietnam's stock market. The potential risks due to many different causes on the stock market always hurt investors. The study of factors affecting the volatility of the stock index has always been of particular interest to investors and society. The study mainly focused on reviewing and analyzing macroeconomic factors affecting the stock market
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