DOI: 10.24311/jabes/2013.218.02

Abstract

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.

Keywords

Factor; Vietnamese Stock Market; Rate Of Return.