CONTAGION EFFECT OF CHINESE STOCK MARKET ON VIETNAM STOCK MARKET

Abstract

In this paper, the researchers investigate the existence of the contagion effect of China’s stock market performance on Vietnam’s stock market return and how strong the impacts are. There are certain causes for the researchers to select China as our research object. First of all, recently China has been claimed as the second largest economy, according to World Bank. China is now regarded as a powerful and influential country that might bring out significant impacts on other economies and regions. On top of that, with a special geographic position right next to China, together with a long shared border, Vietnam has been affected greatly by China’s development in various aspects such as politics, economy and culture. Beside, in this thesis, we collected data of both two stock markets Vietnam (Ho Chi Minh Stock Exchange) and China (Shanghai Stock Exchange) from 2006 to 2016. We also study about the contagion effect, gather all the information about the two markets and economic events that affect two markets in the time period we chose. After that, we use the VAR model to analysis all the data that collected before and test the contagion effect and relation between Vietnam and China’s stock market. The result of this paper will show that whether contagion effects exist between China and Vietnam’s stock market and how strong they are.