Empirical Study Of The Co-movement Between Vietnam Stock Market And The World Major Stock Market

Due to the international financial intergration, the liberalization of capital movements and the development of securitization process in stock markets, international financial markets have become more and more closely related. The Advanced computer technology and popularity of internet make the national stock market Rapid response to updated information from the global financial market. Many researchers have studied the co-movements of the security market, especially the study on the price correlation and asymmetric volatility transmission in the global stock market.In this thesis, Vietnam index(VN-index) and Hanoi index( HNX-index) are selected to represent Vietnam's stock market while S&P500 index, NIKKEI225 index, Hangseng and Shanghai securities composite index are selected to represent world major stock markets. The Sample data is the daily, weekly and monthly closing price from January 3rd, 2006 to July 1st, 2014.The preface includes the background, significance, method and structure of the research. This paper reviewed and simple evaluated of the related Domestic and international literature. And introduces the related theory which focuses on the market contagion theory, the information spillover effect, the investor behavior, etc. Then we make the further Explain of the procedure of co-movement formation according to the foreign trade, Foreign Direct Investment between Vietnam and the three countries and international investors in Vietnam.In the empirical research, econometrics models are mainly used to examine and analyze the data. In order to make it easily to understand, there is a brief description of applied methods. Firstly, the correlation coefficient test and descriptive statistics are conducted. Secondly, Granger Causality, Impulse Response Function(IMF) and Variance Decomposition are carried out by the Vector Autoregressive model(VAR). Finally, EGARCH and TGARCH models are used to investigate the asymmetric volatility in the stock markets.Results from the empirical research show that two indexes of Vietnam stock market strongly reflect high-risk for high-return features. As a representative of the small and medium stock market, Hanoi index has a volatility trend that is relatively independent, the volatility is mainly influenced by its own;while as a representative of the Vietnam main stock market, Vietnam index is affected by not only the world's major stock market, but also the impact of Hanoi index. The two indexes reflect the asymetric volatility which means that good news causes more volatility than bad news.