| Summary: | 碩士 === 大葉大學 === 國際企業管理學系碩士班 === 103 === The stock market is an important part of the economy of each country, the increase or decrease in the share prices indicates the boom or recession of economy cycle. This study examined these factors such as Inflation (I), Interest Rate (IR), Foreign Direct Investment (FDI), Exchange Rate (ER) and Oil Prices (OP) impact to Stock Market after Vietnam joined the World Trade Organization (WTO). Simultaneously, this paper seeks to contribute further understanding about the impact of each factor affect to Vietnam stock market. The results, from analysis monthly data from 2007/2 to 2014/12, show that some factors have the positive effect to the securities marke and some others have the negative effect.The results suggest that Vietnam stock prices could be affected by Inflation (I), Interest Rate (IR) and Oil price (OP), VNI is also affected simultaneously by the previous period’s VNI.We can find out there is lead-lag relationship between VNI and Inflation, VNI and Interest rate. After that, we use the Impulse response function to examine the react of the VNI whether if there is a shock on the factors.
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