AN ANALYSIS OF IMPACT OF SOME MACROECONOMIC FACTORS ON STOCK MARKET INDEX – EVIDENCE FROM AN ASIAN COUNTRY

The paper uses an autoregressive distributed lag model to investigate the impact of some macroeconomic factors including economic growth, inflation, money supply, world gold prices, interest rates, exchange rates and world crude oil prices on VNI – the Vietnamese stock market index. Quarterly data is collected from Q2 2009 to Q3 2020. The results show that, in the short term: The exchange rate in a quarter has a negative effect on the VNI-index in the same quarter; world crude oil price in the quarter has a positive impact on the VNI-index in the same quarter, however the price of world crude oil in the previous 3 quarters has a negative impact on the VNI-index this quarter. The short-term effect of economic growth, inflation, money supply, world gold price, interest rate on the VN index has not been found yet. In the long run: there exists a negative impact of exchange rates on VNI, whilst, economic growth, inflation, money supply, world gold price, interest rate, and world crude oil price reveal no influence on VNI.