The results show that the rate of return is affected by the two factors: Inflation and the Nikkei index as an indicator of regional economy. The impact of inflation is much more powerful. The strongest impact of the unexpected inflation is found in industrial sector and consumption while enterprises with good business performance only suffer a milder effect. | 48 | Võ Thị Thúy Anh & Nguyễn Thanh Hải | 48 - 61 On Effects of Macroeconomic Factors on Rate of Return on Stocks on HoChiMinh Stock Exchange VÕ THỊ THÚY ANH Đà Nẵng University of Economics Email: vothuyanh@ NGUYỄN THANH HẢI Đà Nẵng University of Economics Email: hainguyen2131@ ARTICLE INFO ABSTRACT Article history: Received: May 3, 2013 Received in revised form July 22, 2013 Accepted: Sep. 25, 2013 Keywords: factor, Vietnamese stock market, rate of return Using factor model and fixed or random effect approaches, this article studies the factors affecting the rate of return on the stocks listed on the Vietnamese stock market. The results show that the rate of return is affected by the two factors: inflation and the Nikkei index as an indicator of regional economy. The impact of inflation is much more powerful. The strongest impact of the unexpected inflation is found in industrial sector and consumption while enterprises with good business performance only suffer a milder effect. The impact of Nikkei index on local stocks is rather weak but less dispersed. On Effects of Macroeconomic Factors on Rate of Return on Stocks JED October 2013| 49 1. INTRODUCTION Since the first trading session of HCMC Securities Trading Center on July 28, 2000, Vietnamese stock market has made remarkable developments. Due to economic recession from 2008 up to now, however, it experienced upheavals caused by negative effects of macroeconomic factors. Studying impacts of such factors on the stock market, therefore, is crucial, especially during this global economic recession. Research results may provide policy makers and investors with data about effects of each factor, thereby helping them make right decisions and policies. In this research, based on factor model and fixed effect model (FEM) and random effect model (REM), the authors try to estimate impact of macroeconomic factors on the rate of return on the stocks listed on the HCMC Stock Exchange .
