This research aims to examine the relationships between the stock market and such macroeconomic variables as consumer price index (CPI), money supply (M2), real gross domestic product (GDP), interest rate, and exchange rate for Vietnam over the time span from the third quarter of 2000 to the fourth quarter of 2012.The data are collected at the quarterly interval from several sources. The Vietnam stock price index (VNI) is collected from the HoChiMinh Stock Exchange website. Real gross domestic production (GDP) data is obtained from Vietnam General Statistics Office website. Finally, consumer price index (CPI), money supply (M2), interest rate, andexchange rate are collected from IMF’s International Financial Statistics Database (IFS) website. The method used in this study is time series econometrics. They include unit root tests, Johansen cointegration method, estimation of the vector error correction (VEC) model, and Granger causality test in the context of the estimated VEC model. Empirical results indicate that the stock market isunidirectionally caused by economic growth and bidirectionally caused by percentage changes in money supply (M2). The Vietnamese Stock Market did not work efficiently in the sense that it could be predicted by using past information on economic growth and percentage changes in money supply (M2) in the sample period under investigation. The Vietnamese Stock Market could be predicted by using past information on economic growth and percentage changes in money supply (M2) in the sample period under investigation. The Vietnamese Stock Market could be predicted by using past information on economic growth and percentage changes in money supply (M2) in the sample period under investigation. The performance of the stock market could not serve as a leading indicator for short-run fluctuations in economic growth or, more precisely, it could not serve as a predictor for business cycles.The monetary policy might not adopted as one of the policy measures by the Vietnam government.The exchange rate policy might be adopted as one of the policy measures for economic growth by Vietnam.The Vietnamese stock market takes a long time to fully adjust previous shocks in the economy.The stock market movements can not applied as a leading indicator in supporting the economic stabilization policies in Vietnam.The financial crisis is caused of the inefficiency of the Vietnamese stock market worse, the stock market appears to be efficient with respect to monetary variables prior to the crisis and it may disappear after that.
