Co-movement between Vietnamese stock market and that of United States, China, Japan, and South East Asia region in different time periods

Abstract

This paper aims to investigate the relationship between Vietnamese stock market and that of United States, China, Japan and South East Asia under a Vietnamese perspective. The data full period ranges from 2007 to 2015. The full sample period is divided into two different period, Period I from 2007 to 2008 and Period II from 2009 to 2015 to investigate the relationship under crisis and non-crisis periods. The thesis employs Engle & Granger co-integration and Granger causality test to examine the co-movement between Vietnamese stock market and others. Although there is no co-integration found between Vietnam and other countries during the crisis time, Vietnamese stock market is found to have short run mono-directional causal relationship with other countries implying that Vietnam’s regulations may not be open enough to be co-integrated with the world. In the non-crisis period, it is found that Vietnam has a long-run relationship with Japan, not with other nations. One potential explanation is that Japan is the biggest investor in Vietnam in term of ODA, FDI and other types of investments. Keywords: co-integration, co-movement, unit root test, granger causality test, engle and granger co-integration, stock market integration.