Vietnam stock market after nearly 20 years of operation has undergone many ups and downs. In addition to the contribution to the development of the national economy, the Vietnam Stock market still has some certain shortcomings. Goods on the market have increased in size, quantity, and categories but not much of diversity. The potential risks due to many different causes, always hurt investors. Therefore, the study of Macroeconomic factors affecting the volatility of stock indexes has been paid special attention by society. Research results show that, in the long term, the VNI stock price index is affected by the oil price, money supply, interest rate, SJC gold price, and exchange rate. In the short term, the stock price index has a causal relationship with oil prices, interest rates, and the M2 money supply. When there are impacts of market shocks, short-term corrections affect extremely slow to the long-term balance.