IMPACTS OF MACROECONOMIC FACTORS ON VN30 INDEX’ S RATE OF RETURN

Abstract

VN30 is one of the most important indexes to judge the economy’s health. However, there is a shortage of researches comprehensively assessing the degree of influence of fundamental macroeconomic factors on the index’s fluctuation in recent years. The paper is an complement for that researching gap. The research follows arbitrage theory developed by Ross (1976) to judge the impact of unexpected changes of macroeconomic factors on VN30 index ‘s rate of return. The ordinary least square with standard errors HAC following Newey và West (1987) is used to estimate models in the research.  The result indicates that regarding to VN30 index‘s rate of return, unexpected changes of inflation and exchange rate are negatively related, unexpected of S&P 500 index is positively related, unexpected changes of industrial production growth and term structure have no influence. These findings are a valuable reference for investors and managers of exchange traded funds taking the index as the basic asset.