Interdependence of stock markets: evidence from Vietnam

The study investigates the effect of spillovers regionally and worldwide on Vietnam’s stock market. vector error correction model (VECM) is used to analyze collected data from Bloomberg. Data include eight comparable market indices, namely DJI, NKY, SHCOMP, SET, MXSG, PCOMP, FBMKLCI, JCI. empirical results show that Vietnamese significantly linked other countries. During periods dramatic fluctuation, cross-border linkage between VN-Index indices largest. impact markets small nearby countries such as Singapore Malaysia are greater than large ones including United States, Japan China. findings this contribute literature interdependence interaction markets. common economic integration, especially in showing found studies, meaningful explaining observed phenomenon.