The dynamic interaction between macroeconomic factors and stock market performance is a central concern in financial decision-making. This study examines the short-term and long-term effects of selected macroeconomic variables, the Consumer Price Index (CPI), USD/VND exchange rate, gold price, WTI crude oil price, and Brent crude oil price, on the Vietnamese stock market, proxied by the VN Index. Using monthly data (January 2010–December 2023) for long-term analysis and daily data for short-term analysis, the study employs a comprehensive econometric framework including the Augmented Dickey–Fuller stationarity test, Johansen cointegration test, Granger causality test, Vector Autoregression (VAR) model, and the Autoregressive Distributed Lag (ARDL) model. The findings reveal that in the short run, CPI, WTI oil price, and Brent oil price exert significant impacts on the VN Index, whereas the USD/VND exchange rate and gold price do not produce immediate effects. In the long run, the ARDL model indicates a negative relationship between CPI and the VN Index, a mild lagged influence from the exchange rate, and a complex, nonlinear effect of Brent oil prices. These results offer actionable insights for investment decision-making: investors should closely monitor inflation and oil price movements to adjust portfolio strategies, while policymakers should prioritize effective inflation control and exchange rate management to enhance stock market stability. By identifying which macroeconomic variables carry predictive power for stock market fluctuations, this study contributes empirical evidence to support more informed and resilient financial decision-making in emerging market contexts.