Vietnam exhibits an impressive development record for the last two decades its economy has been one of the fastest growing ones in Asia, however Vietnam’s securities market is remaining tiny, high risk and preliminary form. Therefore, to master factors affecting the Vietnamese stock performance is necessary for not only investors but also CEO as well as policymakers. This study investigates these factors with the daily and yearly data during 2007 to 2011 period. The structural break is also taken into consideration for more proper results. The empirical results show that the state and foreign capital and firm size have the positive effect on stock performance, while private capital does not exert its ability. When considering the break of foreign capital, it is found that the higher stock performance accompanied with higher risk concentrate on the group with foreign capital within 0~19.87%, and with higher foreign capital is only significant on the group with foreign capital within 19.87%~38.70%. Moreover, the interest rate is found to have the negative impact on stock return.