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The impact of macroeconomic indicators on Vietnamese stock prices

  • Khaled Hussainey
  • Le Khanh Ngoc
Registered author(s):

    Purpose – The purpose of this paper is to investigate the effects of macroeconomic indicators (the interest rate and the industrial production) on Vietnamese stock prices. The paper examines how US macroeconomic indicators affect Vietnamese stock prices. Design/methodology/approach – The authors use monthly time series data covering the period from January 2001 to April 2008. The methodology introduced by Nasseh and Strauss and Canova and de Nicolo to investigate the linkage between stock prices and macroeconomic indicators. Findings – This paper provides the first empirical evidence that there are statistically significant associations among the domestic production sector, money markets, and stock prices in Viet Nam. Another novel finding is that the US macroeconomic fundamentals significantly affect Vietnamese stock prices. Finally, the results show that the influence of the US real sector is stronger than that of the money market. Originality/value – Since prior research has focused on developed economies, the authors strongly believe that this paper provides a novel contribution to the existing literature as the authors are the first to examine this issue in Viet Nam.

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    File URL: http://www.emeraldinsight.com/journals.htm?issn=1526-5943&volume=10&issue=4&articleid=1805590&show=abstract
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    Article provided by Emerald Group Publishing in its journal Journal of Risk Finance.

    Volume (Year): 10 (2009)
    Issue (Month): 4 (August)
    Pages: 321-332

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    Handle: RePEc:eme:jrfpps:v:10:y:2009:i:4:p:321-332
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    1. Lamont, Owen A., 2001. "Economic tracking portfolios," Journal of Econometrics, Elsevier, vol. 105(1), pages 161-184, November.
    2. Bento J. Lobo, 2002. "Interest Rate Surprises and Stock Prices," The Financial Review, Eastern Finance Association, vol. 37(1), pages 73-91, 02.
    3. Abeyratna Gunasekarage & Anirut Pisedtasalasai & David M. Power, 2004. "Macroeconomic Influence on the Stock Market: Evidence from an Emerging Market in South Asia," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(3), pages 285-304, December.
    4. Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, vol. 39(5), pages 981-1015, May.
    5. Anthony Kyereboah-Coleman & Kwame F. Agyire-Tettey, 2008. "Impact of macroeconomic indicators on stock market performance: The case of the Ghana Stock Exchange," Journal of Risk Finance, Emerald Group Publishing, vol. 9(4), pages 365-378, August.
    6. Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. " Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-28, September.
    7. Cumhur Erdem & Cem Kaan Arslan & Meziyet Sema Erdem, 2005. "Effects of macroeconomic variables on Istanbul stock exchange indexes," Applied Financial Economics, Taylor & Francis Journals, vol. 15(14), pages 987-994.
    8. Bohl, Martin T. & Siklos, Pierre L. & Werner, Thomas, 2007. "Do central banks react to the stock market? The case of the Bundesbank," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 719-733, March.
    9. Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
    10. David McMillan, 2005. "Time variation in the cointegrating relationship between stock prices and economic activity," International Review of Applied Economics, Taylor & Francis Journals, vol. 19(3), pages 359-368.
    11. Gjerde, Oystein & Saettem, Frode, 1999. "Causal relations among stock returns and macroeconomic variables in a small, open economy," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(1), pages 61-74, January.
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