Open AccessThe relationship between macroeconomic factors and stock market volatility: empirical evidence from the Vietnam stock market
Author(s) -
Kieu Minh Nguyen,
Diep Van Nguyen
Publication year - 2013
Publication title -
khoa học công nghệ
Language(s) - English
Resource type - Journals
ISSN - 1859-0128
DOI - 10.32508/stdj.v16i3.1631
Subject(s) - economics , capitalization weighted index , stock market , stock exchange , monetary economics , cost price , stock market index , volatility (finance) , stock market bubble , exchange rate , stock (firearms) , money supply , market maker , econometrics , financial economics , interest rate , finance , mechanical engineering , paleontology , horse , biology , engineering
The main target of this study is to measure the relationship of macroeconomic factors to the volatility of the stock market in Vietnam (through stock price VN-index). There are four factors including the consumer price index (measure of inflation), the exchange rate of USD/VND and money supply M2. Research shows that the stock price VN-Index has a positive relationship with the money supply M2 and the domestic gold price in long term. On the contrary, it has a negative relationship with the inflation while it does not have any connection to the exchange rate and stock price index. In short term, the current stock price index has proportional to the stock price index last month and inversely proportional to the exchange rate. The estimated speed of adjustment indicates that the Vietnam stock market converges to the equilibrium about 8 months (adjusted approximately 13.04% per month) to reach equilibrium in the long term.