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The impact of macroeconomic indicators on Vietnamese stock prices

The impact of macroeconomic indicators on Vietnamese stock prices 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. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Risk Finance Emerald Publishing

The impact of macroeconomic indicators on Vietnamese stock prices

The Journal of Risk Finance , Volume 10 (4): 12 – Aug 14, 2009

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Publisher
Emerald Publishing
Copyright
Copyright © 2009 Emerald Group Publishing Limited. All rights reserved.
ISSN
1526-5943
DOI
10.1108/15265940910980632
Publisher site
See Article on Publisher Site

Abstract

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.

Journal

The Journal of Risk FinanceEmerald Publishing

Published: Aug 14, 2009

Keywords: Macroeconomics; Viet Nam; Stock prices; Emerging markets; Developing countries

References