An Analysis of Macroeconomic Factors Affecting Stock Market Index: Case of Vietnam

This study investigates the relationship between macroeconomic variables and the performance of Vietnam's stock market, as represented by the VN-Index. Using monthly data from February 2015 to April 2025 and applying the Autoregressive Distributed Lag (ARDL) model along with the Error Correction Model (ECM). Key macroeconomic variables analyzed include inflation (CPI), exchange rate (EXRATE), foreign direct investment (FDI), and the industrial production index (IIP). The results indicate that in the short run, the VN-Index is significantly influenced by its own past values, the exchange rate, and the industrial production index. Notably, the exchange rate has a strong negative impact, while industrial production shows a positive relationship with stock market performance. These findings highlight the importance of exchange rate stability and industrial development for enhancing stock market efficiency and economic growth. Policy implications include the need for a comprehensive strategy to balance macroeconomic stability, encourage innovation, and improve export competitiveness.