Luận văn thạc sĩ UEH the relationship between vietnam united states and related asian stock markets

MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY TRẦN THÙY HUYÊN THE RELATIONSHIP BETWEEN VIETNAM, UNITED STATES AND RELATED A ASIAN STOCK MARKETS MASTER THESIS Ho Chi Minh City 2011 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com MINISTRY OF EDUCATION AND TRAINING UNIVERSITY OF ECONOMICS HOCHIMINH CITY TRẦN THÙY HUYÊN THE RELATIONSHIP BETWEEN VIETNAM, UNITED STATES AND RELATED ASIAN STOCK MARKETS MAJOR: BANKING AND FINANCE MAJOR CODE: 60.31.12 MASTER THESIS Supervisor: DOCTOR VO XUAN VINH PROFESSOR TRAN HOANG NGAN Ho Chi Minh City 2011 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ACKNOWLEDGEMENT First and foremost, I am very much indebted to Doctor Vo Xuan Vinh for the sociable, motivation and professional guidance and comment I understand you sacrificed your valuable time and resources to help me conduct this thesis Secondly, my heartfelt gratitude goes to my supervisor the Professor Tran Hoang Ngan It is by his clemency that I am writing this thesis today Thank you very much for your understanding, commitment and your advice regarding my thesis Professors and the entire lecturers in University of economics HCMC, I thank you for academic guidance and other support during my study My master’s classmates, I thank you for your advice and I will always cherish the moments we had together Last but not least, I would like to thank my family, especially my husband, my baby for the moral support and patience I am particularly grateful to them for the moral and advisory support during the entire of my studies and my life i LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ABSTRACT The international relationship amongst the stock markets plays an important roles and implications for cost of capital and international portfolio diversification to both Vietnamese and foreigner investors Vietnam becomes widely opening the trade and equity market since its entering to WTO in 2007 And recent movements of international financial liberation in Vietnam and its region raise questions whether Vietnam and its region stock markets in Asian are being integrated into world stock markets This research aims to examine that Vietnam and related Asian stock markets have interrelationships to the world stock markets using the daily data for the period 2005-2010 In determining the impact of the international financial crisis on interrelationship amongst stock markets, the research period is being divided into two sample periods: the pre crisis period spans from January 1st, 2005 to July 22, 2007 and the crisis period spans from July 23, 2007 to June 30, 2010 Seven indices of six stock markets are chosen based on the countries’ level of development and geographical factor Six stock markets are Vietnam (Vietnam index), Singapore (Straits times’ index), Hong Kong (Hang Seng index), China (Shanghai stock exchange), Japan (Nikkei index) and United States (Standard & Poor’s index and Dow Jones index) The first content examines whether there is long run comovement amongst the stock markets in sample Bivariate and multivariate Johansen test are applied to daily stock price and daily stock return after conducting the tests for unit root with three tests of Dickey Fuller, Augmented Dickey Fuller and Phillip Perron The second content investigates whether there is causal relationship amongst these markets using Granger causality test The converging test is employed to know whether they are converging over time To analyses the return linkage, we replied on variance decomposition analysis The first finding of research is that only two cointegrations exist between two pairs of US-China and US-Hong Kong stock market in the pre crisis period and no ii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com cointegrations exist in the crisis period when we conduct the bivariate Johansen test for daily stock price Moreover, we also could not find the cointegration exist when multivariate Johansen tests when daily stock price is used These results imply that the portfolio diversification is potentially worthwhile for investors However, the results of both bivariate and multivariate test for daily return are opposite Cointegrations are found in the pre crisis and during the crisis period It can be concluded that portfolio diversification may not bring benefits to investors The Granger causality test results indicate the current global financial crisis affect significantly to the Granger causality relationship amongst the markets in sample and US market are recognized as a significant influence on the returns of Asian stock markets In addition, converging trend test results find that seven indies of six stock markets converge towards the group in whole period The five Asian stock markets are also converging to US stock market in the whole period and crisis period Except for Hong Kong and China, the other markets are converging to the group and US stock markets in the pre crisis time When apply the variance decomposition analysis, we get the findings demonstrate that most of indices of six stock markets in our sample demonstrate the strong endogenous characteristics except for US, Vietnam and China stock market Generally, the results of this research find the relationship amongst Vietnam, US and other related Asian stock markets in both sub periods Hence, the Vietnam and international investors should focus on portfolio diversification to other stock markets On the other hand, policy makers should draw up the appropriate macroeconomic strategies to promote economic performance in Asian region and in the world because high international financial integration will help to upgrade the financial development Key word: cointegration, stock markets, Granger causality, integration iii LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com TABLE OF CONTENT Acknowledgement i Abstract ii TABLE OF CONTENT iv LIST OF FIGURES vi LIST OF TABLE vi I INTRODUCTION 1 Rationales of research Problem statements 3 Research objectives and research questions 3.1 Research objectives 3.2 Research questions 4 Scope and methodology 4.1 Scope of research 4.2 Methodology of research 5 Structure of research II LITERATURE REVIEW III METHODOLOGY 15 Johansen Cointegration test 15 1.1 Unit root test 16 1.1.1 The Dickey-Fuller test (DF) 16 1.1.2 The Augmented Dickey-Fuller test (ADF) 17 1.1.3 The Phillips-Perron test (PP) 18 1.2 Cointegration test (Johansen) 19 Granger causality 20 Converging trend 22 Variance decomposition analysis 22 IV DATA AND DATA DESCRIPTION 24 1.Data 24 Data descriptive statistics 26 2.1 Summary statistics 26 2.2 Correlation 30 V EMPIRICAL RESULTS 33 Analysis of results of unit root test 33 1.1 The Dickey-Fuller test (DF) 33 1.2 The Augmented Dickey-Fuller test (ADF) 34 1.3 The Phillips-Perron test (PP) 35 iv LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Cointegration 38 2.1 Johansen cointegration test with daily stock price 38 2.1.1 Bi-variate cointegration test 38 2.1.2 Multivariate cointegration test 44 2.2 Johansen cointegration test with daily stock returns 45 2.2.1 Bi-variate cointegration test 45 2.2.2 Multivariate cointegration test 50 Granger causality 55 Converging trend 59 Variance decomposition analysis 61 VI CONCLUSION 64 Conclusion related to research questions 64 Implications 68 Contribution of research 70 Limitation and Further research 71 Appendix 73 List of References 130 v LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com LIST OF FIGURES Figure 1.1: Structure of research Figure 4.1: Movement of daily closing price of stock index from Jan 1st 2005 to Jun 2010 25 Figure 5.1: Short run causality effects (whole period) 56 Figure 5.2: Short run causality effects (pre crisis period) 57 Figure 5.3: Short run causality effects (crisis period) 59 LIST OF TABLES Table 4.1 Summary statistics of the stock returns (Whole period) 27 Table 4.2: Summary statistics of the stock returns (Pre-crisis period) 28 Table 4.3: Summary statistics of the stock returns (Crisis period) 29 Table 4.4: Correlation matrix of average daily return (Whole period) 30 Table 4.5: Correlation matrix of average daily return (Pre-crisis period) 31 Table 4.6: Correlation matrix of average daily return (Crisis period) 31 Table 5.1: Var lag Order Selection 33 Table 5.2: DF unit root test (daily price) 34 Table 5.3: ADF unit root test (daily price) 35 Table 5.4: PP unit root test (daily price) 36 Table 5.5: DF unit root test (daily return) 36 Table 5.6: ADF unit root test (daily return) 37 Table 5.7: PP unit root test (daily return) 37 Table 5.8: Bi-variate cointegration test result with intercept (no trend) in CE and test VAR (daily price of all stocks) 40 Table 5.9: Multivariate cointegration test result with intercept (no trend) in CE and test VAR (daily stock price) 44 Table 5.10: Bi-variate cointegration test result with intercept (no trend) in CE and test VAR 46 Table 5.11: Multivariate cointegration test result with intercept (no trend) in CE and test VAR 51 Table 5.12: Granger causality results (Whole period) 56 Table 5.13: Granger causality results (Pre crisis period) 57 Table 5.14: Granger causality results (Crisis period) 58 Table 5.15: Test result for converging trend 60 Table 5.19: the comparision of degree of exogeneity in pre crisis and crisis period 63 Table 5.16: the comparision of degree of exogeneity in whole period 72 Table 5.17: the comparision of degree of exogeneity in pre crisis period 75 Table 5.18: the comparision of degree of exogeneity in crisis period 78 vi LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com I INTRODUCTION Rationales of research It is well known that US is a big and main trading partner of many developed and developing countries in Asian and in the world As a result, anything happens to the US economy will may cause effect to these Asian countries’ economy This interrelationship phenomenon in international market is a result of the liberalization of capital markets in developed and developing countries and the increasing variety and complexity of financial instruments Financial specialists advocate that the US stock market fluctuation will bring effects to many other stock markets in the world For example, the Nikkei 225 (Japan stock market) and Hangseng (Hong Kong stock market) perpetually cling to the S&P 500 (US stock market) While some previous researches in Vietnam believe that Vietnam stock market is frigid with US and regional stock markets Researches on regional stock market linkages have become increasingly important for most investors The Asian region is vulnerable to ‘shocks’ (financial crisis as an example) and where the crisis is contagious, it can affect the entire region For this reason, the countries in the region should become more concerned about their interdependency in the event of any occurrences of any financial crisis For instance, the Asian financial crisis began with collapse of Thai baht in July 1997 and its stock market, and the subsequent erosion in Hong Kong and other Asian markets in October 1997 and as a result, the co-movement amongst the Asian financial markets increased (Maran, (2010) Thus, a question can be raised from the 2007-2010 international financial crisis whether this international financial crisis causes the changes of interrelationship amongst Vietnam stock market, US and region stock markets in short run and long run Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com In globalization integration economic environment, both investors and portfolio managers shall pay more attention to the knowledge of the international stock market structure Many financial theories suggest that individual and institutional investors should hold a well-diversified portfolio to reduce risk As investors become more risk averse, further risk diversification continues to be their main concern To the international investor who is willing to make portfolio investments in different stock markets, they really need to know that diversification can give some gain or not The world co-movements amongst financial markets have reduced the diversification benefit The international financial markets are quickly integrating into a global market since investors are driven to developing countries searching for higher returns and opportunities for risk diversification If the stock markets amongst different countries move together, investment in different stock markets shall not create any long term gain to portfolio diversification Hence researching results of stock market integration are useful when Asian economies are fastest growing economies This research results could be useful for investors, portfolio managers, corporate executives and policy makers To our best knowledge, most empirical works have focused on developed markets, developing markets of South East Asia such as Becker et al (1990), Mak (1992) or Chan (1992) However, researches on the Vietnam stock market or Vietnam stock market’s data of the 2007-2010 international financial crisis have been very limited This paper will investigates the interrelationship in long and short run amongst Vietnam, US and other related Asian stock markets in the pre crisis in 2007-2010 and during the crisis of period 2007-2010 By this research, we hope to contribute towards adding the literature by providing the latest empirical proof on this topic Page LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Adjustment coefficients (standard error in parentheses) D(DJI) D(HSI) D(NIK) D(S_P) D(SSE) D(STI) D(VNI) -0.026529 -0.007243 0.007792 (0.01449) (0.00277) (0.00216) 0.021647 -0.022824 0.010596 (0.03522) (0.00673) (0.00525) -0.013611 0.000893 0.000490 (0.01875) (0.00358) (0.00280) -0.002963 -0.000839 0.000864 (0.00170) (0.00033) (0.00025) 0.010452 -0.001637 0.001618 (0.00670) (0.00128) (0.00100) 0.002620 -0.001196 0.000561 (0.00365) (0.00070) (0.00054) -0.004134 -0.000223 0.000608 (0.00124) (0.00024) (0.00019) Log likelihood -43504.05 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) DJI HSI NIK S_P SSE 1.000000 0.000000 0.000000 0.000000 1.768994 0.000000 1.000000 0.000000 0.000000 -3.311749 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 1.000000 (0.36177) (0.52359) 4.434170 (1.16706) 0.270673 (0.05285) STI 1.738235 (1.02737 ) 2.481280 (1.48693 ) 3.215664 (3.31427 ) 0.169640 (0.15009 ) VNI -9.753274 (2.07886) 1.732876 (3.00877) -37.18095 (6.70637) -1.494124 (0.30371) Adjustment coefficients (standard error in parentheses) D(DJI) D(HSI) D(NIK) D(S_P) D(SSE) D(STI) D(VNI) -0.068333 -0.006516 0.001912 0.400136 (0.02930) (0.00280) (0.00418) (0.25807) -0.001656 -0.022419 0.007318 -0.157959 (0.07130) (0.00682) (0.01018) (0.62805) -0.055923 0.001629 -0.005461 0.494995 (0.03794) (0.00363) (0.00542) (0.33417) -0.006347 -0.000780 0.000388 0.033166 (0.00345) (0.00033) (0.00049) (0.03036) 0.022460 -0.001846 0.003307 -0.258403 (0.01356) (0.00130) (0.00194) (0.11948) -0.006909 -0.001030 -0.000779 0.056195 (0.00739) (0.00071) (0.00106) (0.06510) -0.001399 -0.000270 0.000993 -0.010266 (0.00252) (0.00024) (0.00036) (0.02217) Log likelihood -43498.03 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) DJI HSI NIK S_P SSE STI VNI 1.000000 0.000000 0.000000 0.000000 0.000000 -14.34220 0.000000 1.000000 0.000000 0.000000 0.000000 1.336107 (2.02940 ) 8.236780 (4.14033) 10.32384 Page 120 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com (2.68822 ) (5.48444) 0.000000 0.000000 1.000000 0.000000 0.000000 10.92182 (6.07703 ) -48.68357 0.000000 0.000000 0.000000 1.000000 0.000000 0.300763 (0.31288 ) 1.737903 (1.01029 ) -2.196273 0.000000 0.000000 0.000000 0.000000 1.000000 (12.3982) (0.63833) 2.594087 (2.06117) Adjustment coefficients (standard error in parentheses) D(DJI) -0.067454 -0.007657 0.000970 0.411496 (0.02933) (0.00345) (0.00450) (0.25881) D(HSI) 0.007164 -0.033869 -0.002144 -0.043917 (0.07123) (0.00837) (0.01093) (0.62846) D(NIK) -0.049565 -0.006626 -0.012283 0.577214 (0.03783) (0.00444) (0.00580) (0.33374) D(S_P) -0.006203 -0.000967 0.000233 0.035027 (0.00345) (0.00041) (0.00053) (0.03045) D(SSE) 0.023541 -0.003248 0.002148 -0.244434 (0.01357) (0.00159) (0.00208) (0.11972) D(STI) -0.006010 -0.002198 -0.001744 0.067823 (0.00738) (0.00087) (0.00113) (0.06515) D(VNI) -0.001275 -0.000431 0.000860 -0.008665 (0.00252) (0.00030) (0.00039) (0.02223) Log likelihood -43496.69 Cointegrating Equation(s): 0.018217 (0.01077 ) 0.068360 (0.02615 ) 0.010741 (0.01389 ) 0.002173 (0.00127 ) 0.008535 (0.00498 ) 0.003695 (0.00271 ) 0.000147 (0.00093 ) Normalized cointegrating coefficients (standard error in parentheses) DJI HSI NIK S_P SSE STI VNI 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -12.99449 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 (2.39025) 2.015534 (6.77999) 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -37.66690 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -1.892898 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 (10.1238) (0.40347) 0.841092 (1.71822) 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -1.008684 (0.67815) Adjustment coefficients (standard error in parentheses) D(DJI) -0.066972 -0.007131 0.001800 0.396432 (0.02934) (0.00357) (0.00474) (0.26019) D(HSI) 0.006776 -0.034292 -0.002812 -0.031795 (0.07126) (0.00868) (0.01151) (0.63189) D(NIK) -0.049694 -0.006767 -0.012506 0.581255 (0.03784) (0.00461) (0.00611) (0.33556) D(S_P) -0.006130 -0.000888 0.000358 0.032758 (0.00345) (0.00042) (0.00056) (0.03061) 0.018972 (0.01085 ) 0.067752 (0.02636 ) 0.010539 (0.01400 ) 0.002287 (0.00128 ) 0.066696 (0.03118) 0.140307 (0.07571) 0.011535 (0.04021) 0.007639 (0.00367) Page 121 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com D(SSE) 0.023417 (0.01357) D(STI) -0.005867 (0.00739) D(VNI) -0.003383 0.001935 -0.240570 (0.00165) (0.00219) (0.12037) -0.002042 -0.001499 0.063373 (0.00090) (0.00119) (0.06550) -0.001280 -0.000436 0.000853 -0.008531 (0.00252) (0.00031) (0.00041) (0.02235) 0.008729 (0.00502 ) (0.01442) 0.003918 (0.00273 ) (0.00785) 0.000140 (0.00093 ) 0.025274 0.002362 0.008457 (0.00268) Pre crisis period Date: 06/09/11 Time: 13:10 Sample (adjusted): 1/07/2005 11/30/2007 Included observations: 652 after adjustments Trend assumption: Linear deterministic trend Series: S_P SSE STI VNI NIK HSI DJI Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized No of CE(s) Eigenvalue Trace 0.05 Statistic Critical Value Prob.** None * 0.076671 136.2032 125.6154 0.0096 At most 0.042280 84.19303 95.75366 0.2386 At most 0.035665 56.02673 69.81889 0.3769 At most 0.023381 32.34820 47.85613 0.5929 At most 0.016998 16.92271 29.79707 0.6458 At most 0.006738 5.744651 15.49471 0.7255 At most 0.002048 1.336500 3.841466 0.2477 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen 0.05 Statistic Critical Value Prob.** None * 0.076671 52.01016 46.23142 0.0109 At most 0.042280 28.16631 40.07757 0.5500 At most 0.035665 23.67853 33.87687 0.4792 At most 0.023381 15.42549 27.58434 0.7139 At most 0.016998 11.17806 21.13162 0.6295 At most 0.006738 4.408151 14.26460 0.8139 At most 0.002048 1.336500 3.841466 0.2477 Max-eigenvalue test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): S_P SSE STI VNI NIK HSI DJI -0.098457 -0.001812 0.016846 -0.004667 0.000612 0.000109 0.004461 Page 122 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 0.004520 -0.000461 -0.000167 0.004731 -0.000230 0.000270 -0.022834 -0.003272 0.007280 -0.001316 -9.15E-05 0.000171 -0.002342 0.002671 0.031379 -0.000116 0.002091 -0.007684 -0.000107 0.000390 -0.003157 -0.057966 -0.001704 -0.002194 -0.000181 1.09E-05 0.000389 0.007396 -0.009317 0.000779 -0.004680 -4.26E-06 0.000860 0.000212 0.000120 -0.004274 -0.001759 -0.001338 0.006207 -0.000349 0.000686 0.000208 Unrestricted Adjustment Coefficients (alpha): D(S_P) 0.134669 0.435763 -0.551005 -0.676418 -0.517171 0.135569 -0.362734 D(SSE) -1.262598 -6.462770 6.006214 -3.991733 -0.164144 -1.631137 -0.661764 D(STI) -6.211726 -0.803553 -1.396825 -0.929839 -0.813044 -0.510960 -0.094868 D(VNI) -1.335989 -0.644519 0.583723 0.959756 0.422327 0.487039 -0.252106 D(NIK) -21.37699 9.313711 1.068046 6.346346 -2.986069 -8.764537 -2.810603 D(HSI) -17.81092 -25.72899 -20.58322 1.983969 -4.654688 -9.092936 D(DJI) 1.417880 3.009352 -3.309028 -4.594374 -6.927330 Log likelihood -22977.79 Cointegrating Equation(s): 1.302123 -3.131801 -2.791172 Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.018401 -0.171097 0.047397 -0.006213 -0.001106 -0.045307 (0.00497) (0.01971) (0.01648) (0.00138) (0.00131) (0.00678) Adjustment coefficients (standard error in parentheses) D(S_P) -0.013259 (0.04196) D(SSE) 0.124311 (0.22462) D(STI) 0.611587 (0.09981) D(VNI) 0.131537 (0.04892) D(NIK) 2.104710 (0.61842) D(HSI) 1.753606 (0.87175) D(DJI) -0.139600 (0.35627) Cointegrating Equation(s): Log likelihood -22963.71 Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.000000 -0.150618 0.200043 -0.013048 0.008191 -0.117532 (0.08747) (0.07593) (0.00498) (0.00492) (0.03072) 0.000000 1.000000 -1.112997 -8.295723 0.371454 -0.505276 3.925113 (4.67634) (4.05942) (0.26613) (0.26284) (1.64215) Adjustment coefficients (standard error in parentheses) D(S_P) D(SSE) D(STI) -0.011290 -0.000445 (0.04197) (0.00080) 0.095102 0.005269 (0.22344) (0.00424) 0.607955 0.011624 Page 123 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com (0.09987) D(VNI) D(NIK) D(HSI) D(DJI) (0.00189) 0.128624 0.002718 (0.04891) (0.00093) 2.146805 0.034431 (0.61800) (0.01172) 1.637319 0.044138 (0.86686) (0.01644) -0.125998 -0.003957 (0.35645) (0.00676) Cointegrating Equation(s): Log likelihood -22951.87 Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.000000 0.000000 -17.90925 0.612974 -0.973818 9.607216 (7.25532) (0.58145) (0.52371) (2.54542) 0.000000 1.000000 0.000000 -142.1153 4.997480 -7.761884 75.78665 (57.2872) (4.59110) (4.13515) (20.0984) -120.2335 4.156369 -6.519880 64.56579 (48.5599) (3.89167) (3.50518) (17.0365) 0.000000 0.000000 1.000000 Adjustment coefficients (standard error in parentheses) D(S_P) D(SSE) D(STI) D(VNI) D(NIK) 0.001292 0.001358 -0.001815 (0.04302) (0.00160) (0.00780) -0.042044 -0.014383 0.023534 (0.22808) (0.00850) (0.04137) -0.114675 0.639850 0.016195 (0.10236) (0.00381) (0.01857) 0.115296 0.000808 -0.018149 (0.05015) (0.00187) (0.00910) 2.122417 0.030936 -0.353893 (0.63436) (0.02363) (0.11507) D(HSI) 2.107314 0.111485 -0.445571 (0.88598) (0.03300) (0.16071) D(DJI) -0.050441 0.006870 -0.000706 (0.36565) (0.01362) (0.06633) Log likelihood -22944.16 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.000000 0.000000 0.000000 -0.010008 0.017388 -0.169588 (0.00637) (0.00611) (0.02498) 0.000000 1.000000 0.000000 0.000000 0.053931 0.103634 -1.795243 (0.09004) (0.08626) (0.35292) 0.000000 0.000000 1.000000 0.000000 -0.026013 0.134569 -1.070671 (0.05222) (0.05003) (0.20470) 0.000000 0.000000 0.000000 1.000000 -0.034785 0.055346 -0.545908 (0.03061) (0.02933) (0.11998) Adjustment coefficients (standard error in parentheses) D(S_P) D(SSE) D(STI) -0.019933 0.001437 -0.003230 0.007356 (0.04496) (0.00160) (0.00784) (0.00435) -0.167300 -0.013919 0.015187 -0.001914 (0.23821) (0.00848) (0.04154) (0.02304) 0.610672 0.016303 -0.116619 0.034168 Page 124 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com D(VNI) D(NIK) D(HSI) D(DJI) (0.10710) (0.00381) (0.01868) (0.01036) 0.145412 0.000696 -0.016142 -0.004958 (0.05235) (0.00186) (0.00913) (0.00506) 2.321559 0.030198 -0.340622 0.093652 (0.66363) (0.02362) (0.11572) (0.06418) 2.169568 0.111255 -0.441423 -0.026785 (0.92757) (0.03301) (0.16175) (0.08971) -0.194607 0.007404 -0.010314 0.047280 (0.38234) (0.01361) (0.06667) (0.03698) Log likelihood -22938.57 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.000000 0.000000 0.000000 0.000000 -0.017389 -0.022591 0.000000 1.000000 0.000000 0.000000 0.000000 (0.13759) (0.48434) 0.000000 0.000000 1.000000 0.000000 0.000000 0.044175 -0.688578 (0.02394) (0.08427) 0.000000 0.000000 0.000000 1.000000 0.000000 -0.065533 -0.034962 (0.02574) (0.09060) 0.000000 0.000000 0.000000 0.000000 1.000000 -3.474977 14.68848 (1.11984) (3.94200) (0.00616) (0.02170) 0.291044 -2.587410 Adjustment coefficients (standard error in parentheses) D(S_P) D(SSE) D(STI) D(VNI) D(NIK) D(HSI) D(DJI) 0.010045 0.002318 -0.002095 0.007450 9.95E-05 (0.05119) (0.00175) (0.00789) (0.00434) (0.00028) -0.157785 -0.013639 0.015547 -0.001885 0.000593 (0.27155) (0.00930) (0.04183) (0.02304) (0.00150) -0.003396 0.657801 0.017688 -0.114835 0.034315 (0.12203) (0.00418) (0.01880) (0.01035) (0.00068) 0.120931 -2.36E-05 -0.017068 -0.005034 -0.000821 (0.05964) (0.00204) (0.00919) (0.00506) (0.00033) 2.494648 0.035287 -0.334070 0.094192 -0.016034 (0.75636) (0.02592) (0.11651) (0.06418) (0.00419) 2.439380 0.119187 -0.431209 -0.025943 -0.003348 (1.05714) (0.03622) (0.16285) (0.08970) (0.00586) 0.206940 0.019210 0.004886 0.048532 0.000895 (0.43458) (0.01489) (0.06695) (0.03688) (0.00241) Log likelihood -22936.37 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) S_P SSE STI VNI NIK HSI DJI 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -0.102836 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 -1.244306 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 -0.484723 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 -0.337381 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 -1.347769 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -4.614778 (0.00458) (0.09857) (0.02274) (0.02833) (0.53059) Page 125 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com (0.41883) Adjustment coefficients (standard error in parentheses) D(S_P) D(SSE) D(STI) D(VNI) D(NIK) D(HSI) D(DJI) 0.008782 0.002423 -0.002730 0.007449 0.000216 (0.05133) (0.00178) (0.00813) (0.00434) (0.00046) -0.000398 (0.00029) -0.142588 -0.014909 0.023181 -0.001878 -0.000810 -0.002824 (0.27224) (0.00946) (0.04312) (0.02303) (0.00245) (0.00153) 0.662562 0.017291 -0.112444 0.034318 -0.003836 -0.001919 (0.12236) (0.00425) (0.01938) (0.01035) (0.00110) (0.00069) 0.116393 0.000356 -0.019348 -0.005036 -0.000402 0.000422 (0.05977) (0.00208) (0.00947) (0.00506) (0.00054) (0.00034) -0.000180 2.576309 0.028463 -0.293053 0.094229 -0.023575 (0.75744) (0.02633) (0.11996) (0.06408) (0.00682) (0.00425) 2.524100 0.112108 -0.388655 -0.025905 -0.011172 -0.015372 (1.05939) (0.03683) (0.16778) (0.08962) (0.00953) (0.00595) 0.194808 0.020224 -0.001208 0.048527 0.002016 -0.003807 (0.43583) (0.01515) (0.06902) (0.03687) (0.00392) (0.00245) Crisis period Date: 06/09/11 Time: 13:03 Sample (adjusted): 12/06/2007 6/30/2010 Included observations: 540 after adjustments Trend assumption: Linear deterministic trend (restricted) Series: VNI STI SSE S_P NIK HSI DJI Lags interval (in first differences): to Unrestricted Cointegration Rank Test (Trace) Hypothesized Trace 0.05 No of CE(s) Eigenvalue Statistic Critical Value Prob.** None * 0.072985 158.2182 150.5585 0.0171 At most 0.057198 117.2942 117.7082 0.0531 At most 0.052353 85.48880 88.80380 0.0847 At most 0.040705 56.45150 63.87610 0.1798 At most 0.032145 34.01067 42.91525 0.2880 At most 0.016625 16.36727 25.87211 0.4634 At most 0.013454 7.314400 12.51798 0.3128 Trace test indicates cointegrating eqn(s) at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegration Rank Test (Maximum Eigenvalue) Hypothesized No of CE(s) Eigenvalue Max-Eigen 0.05 Statistic Critical Value Prob.** None 0.072985 40.92407 50.59985 0.3486 At most 0.057198 31.80537 44.49720 0.5710 At most 0.052353 29.03729 38.33101 0.3860 At most 0.040705 22.44083 32.11832 0.4596 At most 0.032145 17.64340 25.82321 0.4050 At most 0.016625 9.052871 19.38704 0.7190 At most 0.013454 7.314400 12.51798 0.3128 Page 126 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com Max-eigenvalue test indicates no cointegration at the 0.05 level * denotes rejection of the hypothesis at the 0.05 level **MacKinnon-Haug-Michelis (1999) p-values Unrestricted Cointegrating Coefficients (normalized by b'*S11*b=I): VNI STI SSE S_P NIK HSI DJI @TREND(12/04/07) -0.000125 -0.010808 -0.000328 -0.071872 0.003209 0.000733 0.006981 0.015448 0.000607 0.002425 -0.001181 0.013249 0.000412 6.82E-05 -0.002938 0.000465 0.015092 0.004910 -0.002199 -0.020854 0.000150 -0.000243 0.000911 -0.006935 -0.011641 -0.002487 0.015036 -0.000524 -0.076470 0.000712 -0.000941 0.005819 0.001438 -1.71E-05 -0.000181 0.021277 0.000707 -0.000792 -0.001367 0.005232 0.001483 -0.002325 0.000814 -0.030365 0.000562 -0.000370 0.003889 0.006689 -0.000288 -0.000360 -0.002383 -0.015856 -0.000979 0.000754 0.001939 -0.007552 0.124851 Unrestricted Adjustment Coefficients (alpha): D(VNI) -0.548352 2.344366 -1.055289 0.364072 0.398972 -0.002417 D(STI) -4.933291 1.422669 -3.507617 -0.272012 -2.235680 4.442461 0.053243 D(SSE) -0.145744 5.914530 6.691645 1.669026 0.845370 5.741342 5.131137 D(S_P) -2.043963 1.014796 0.058380 2.115767 -2.959769 0.386672 -0.292848 D(NIK) -36.60781 1.044021 -19.81990 5.891454 -8.448314 7.464303 11.75791 D(HSI) -69.99558 14.70571 -7.241386 33.32846 9.064607 39.88255 4.899279 D(DJI) -21.62518 9.133669 3.865415 14.76717 -25.18903 2.060786 -3.192851 Log likelihood -19985.71 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI @TREND(12/04/07) 1.000000 86.56342 2.630039 575.6258 -25.69750 -5.871577 -55.90759 -123.7227 (24.4986) (3.80694) (144.637) (4.46050) (2.08587) (13.4732) (29.0500) @TREND(12/04/07) Adjustment coefficients (standard error in parentheses) D(VNI) 6.85E-05 (6.2E-05) D(STI) 0.000616 (0.00024) D(SSE) 1.82E-05 (0.00040) D(S_P) 0.000255 (0.00012) D(NIK) 0.004571 (0.00111) D(HSI) 0.008740 (0.00240) D(DJI) 0.002700 (0.00100) Cointegrating Equation(s): Log likelihood -19969.81 Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI 1.000000 0.000000 -2.168378 -4.968320 1.955961 0.402144 -2.371613 6.793635 (0.91719) (35.6508) (1.04793) (0.37999) (3.37375) (4.26455) Page 127 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 0.000000 1.000000 0.055432 6.707153 -0.319459 -0.072475 -0.618460 -1.507754 (0.04554) (1.77018) (0.05203) (0.01887) (0.16752) (0.21175) Adjustment coefficients (standard error in parentheses) D(VNI) D(STI) D(SSE) D(S_P) D(NIK) D(HSI) D(DJI) 0.001491 0.011611 (0.00030) (0.00541) 0.001479 0.056770 (0.00119) (0.02122) 0.003606 0.015917 (0.00200) (0.03576) 0.000871 0.024552 (0.00059) (0.01047) 0.005204 0.398199 (0.00549) (0.09827) 0.017661 0.792189 (0.01192) (0.21319) 0.008241 0.255878 (0.00497) (0.08884) Cointegrating Equation(s): Log likelihood -19955.29 Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI @TREND(12/04/07) 1.000000 0.000000 0.000000 -3.449273 -0.036565 -0.024752 0.476667 -0.521254 (3.02168) (0.09145) (0.02326) (0.28920) (0.35011) 6.668320 -0.268522 -0.061562 -0.691273 -1.320757 0.000000 1.000000 0.000000 0.000000 0.000000 1.000000 (1.59931) (0.04840) (0.01231) (0.15307) (0.18531) 0.700545 -0.918901 -0.196873 1.313554 -3.373439 (17.1704) (0.51966) (0.13219) (1.64334) (1.98948) Adjustment coefficients (standard error in parentheses) D(VNI) D(STI) D(SSE) -0.014436 0.006430 -0.000268 (0.00735) (0.00589) (0.00122) -0.051458 0.039547 0.007652 (0.02884) (0.02313) (0.00481) -0.021651 0.104598 0.048775 (0.04857) (0.03896) (0.00809) D(S_P) 0.001752 0.024839 -0.000656 (0.01427) (0.01145) (0.00238) D(NIK) -0.293921 0.300877 0.054369 (0.13337) (0.10698) (0.02223) D(HSI) D(DJI) -0.091627 0.756632 0.021540 (0.29067) (0.23317) (0.04844) 0.066579 0.274858 -0.012185 (0.12112) (0.09716) (0.02019) Log likelihood -19944.07 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI @TREND(12/04/07) 1.000000 0.000000 0.000000 0.000000 -0.114466 -0.021389 0.139338 -0.617371 (0.05074) (0.02040) (0.05039) (0.27686) -0.068065 -0.039129 -1.134937 0.000000 1.000000 0.000000 0.000000 -0.117919 (0.02241) (0.00901) (0.02225) (0.12228) 0.000000 0.000000 1.000000 0.000000 -0.903080 -0.197557 1.382065 -3.353917 (0.32898) (0.13225) (0.32671) (1.79516) Page 128 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 0.000000 0.000000 0.000000 1.000000 -0.022585 0.000975 -0.097797 -0.027866 (0.00409) (0.00165) (0.00407) (0.02234) Adjustment coefficients (standard error in parentheses) D(VNI) D(STI) D(SSE) -0.015341 0.011904 -0.000459 0.064639 (0.00744) (0.00939) (0.00125) (0.05241) -0.050782 0.035457 0.007795 0.467365 (0.02922) (0.03687) (0.00491) (0.20582) -0.178339 0.100447 0.073871 -0.022526 (0.04921) (0.06208) (0.00827) (0.34658) D(S_P) -0.003509 0.056653 -0.001765 -0.002659 (0.01440) (0.01816) (0.00242) (0.10140) D(NIK) -0.308571 0.389464 0.051280 2.607730 (0.13511) (0.17043) (0.02269) (0.95152) D(HSI) D(DJI) -0.174507 1.257772 0.004068 2.827989 (0.29374) (0.37055) (0.04934) (2.06878) 0.029856 0.496903 -0.019926 0.465419 (0.12236) (0.15435) (0.02055) (0.86173) Log likelihood -19935.25 Cointegrating Equation(s): Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI @TREND(12/04/07) 1.000000 0.000000 0.000000 0.000000 0.000000 -0.100376 0.212952 -0.030175 (0.02352) (0.05985) (0.27350) 0.000000 1.000000 0.000000 0.000000 0.000000 -0.149435 0.036706 -0.530024 (0.01868) (0.04752) (0.21716) 0.000000 0.000000 1.000000 0.000000 0.000000 -0.820725 1.962844 1.278779 (0.17409) (0.44296) (2.02420) -0.014609 -0.083273 0.087991 (0.00326) (0.00830) (0.03793) 0.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 1.000000 -0.690048 0.643109 5.129887 (0.14234) (0.36216) (1.65499) @TREND(12/04/07) Adjustment coefficients (standard error in parentheses) D(VNI) -0.014768 0.011897 -0.000531 0.073128 (0.00747) (0.00938) (0.00125) (0.05338) (0.00165) -0.053996 0.035495 0.008200 0.419798 -0.017543 (0.02931) (0.03682) (0.00491) (0.20952) (0.00646) 0.101662 0.073856 -0.022679 -0.160352 0.004759 (0.04942) (0.06207) (0.00829) (0.35324) (0.01090) -0.007764 0.056703 -0.001229 -0.065633 -0.006717 (0.01432) (0.01799) (0.00240) (0.10237) (0.00316) D(NIK) -0.320716 0.389608 0.052809 2.427979 -0.121780 (0.13558) (0.17028) (0.02273) (0.96903) (0.02989) D(HSI) -0.161476 1.257617 0.002428 3.020852 -0.189478 (0.29497) (0.37047) (0.04945) (2.10823) (0.06504) D(DJI) -0.006354 0.497335 -0.015367 -0.070516 -0.072330 (0.12172) (0.15288) (0.02041) (0.86999) (0.02684) Log likelihood -19930.72 D(STI) D(SSE) D(S_P) Cointegrating Equation(s): -0.000411 Normalized cointegrating coefficients (standard error in parentheses) VNI STI SSE S_P NIK HSI DJI 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 -1.663959 9.575462 (0.60258) (6.35704) Page 129 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 0.000000 0.000000 0.000000 0.000000 0.000000 1.000000 -2.757552 13.77040 (0.90781) (9.57715) -13.38376 79.81951 (4.93308) (52.0426) -0.356453 1.486070 (0.08889) (0.93774) -12.25999 71.16527 (4.17820) (44.0788) -18.69884 95.69674 (6.11365) (64.4974) Adjustment coefficients (standard error in parentheses) D(VNI) D(STI) -0.014771 0.011903 -0.000533 0.073201 -0.000412 (0.00750) (0.00945) (0.00131) (0.05538) (0.00167) -0.000643 (0.00073) -0.047409 0.025168 0.011817 0.284903 -0.015045 -0.002284 (0.02930) (0.03689) (0.00513) (0.21624) (0.00652) (0.00285) D(SSE) 0.110176 0.060510 -0.018004 -0.334688 0.007987 -0.005692 (0.04950) (0.06233) (0.00866) (0.36536) (0.01101) (0.00481) D(S_P) -0.007191 0.055804 -0.000914 -0.077374 -0.006499 -0.001235 (0.01439) (0.01812) (0.00252) (0.10619) (0.00320) (0.00140) D(NIK) -0.309648 0.372257 0.058887 2.201326 -0.117584 -0.023567 (0.13612) (0.17139) (0.02382) (1.00465) (0.03028) (0.01322) D(HSI) -0.102339 1.164907 0.034901 1.809821 -0.167055 -0.101843 (0.29512) (0.37160) (0.05165) (2.17820) (0.06566) (0.02866) D(DJI) -0.003298 0.492544 -0.013689 -0.133091 -0.071171 -0.010889 (0.12228) (0.15397) (0.02140) (0.90253) (0.02720) (0.01188) Other test results will be presented when required Page 130 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com References Abul, R M a M M (1999) "Are Asian stock market fluctuations due mainly to intraregional contagion effects? Evidence based on Asian emerging stock markets." PacificBasin Finance Journal, vol 7, no 3-4, pages 251-282 Adwin, S A (2009) "The Asean Stock Market Integration: The Effect of the 2007 Financial Crisis on the Asean Stock Indices’ Movements." Jurnal Akuntansi dan Keuangan, 11(1), - 12 Allen, D E a M., G (1995) "The long gains from international equity diversification Australia evidence from cointegration tests." Applied Financial Economic, vol 5, pages 33-42 Andy C C Kwan, A.-b S., John A Cotsomitis (1995) "The causal relationships between equity indices on world exchanges." Applied Economics, vol 27, pages 33 – 37 Angelos, K (1999) "A note on the long run benefits from international equity diversification for a UK investor diversifying in the US equity market " Applied Economic letters, vol 6, no 1, pages 47-53 Bala Arshanapalli, J D a L H P L (1995) "Pre and post-October 1987 stock market linkages between U.S and Asian markets." Pacific-Basin Finance Journal, vol 3, no 1, pages 57-73 Bala, P G a L (2004) "Stock market volatility: Examining North America, Eupore and Asia." Econometric society 2004 Far Eastern Meeting 479, Econometric Society Bonfiglioli, A (2005) "Equity and inequity." Economics working papers 947, department of economics and business, Universitant Pompeu Fabra Brooks, C (2008) "Introductrory Ecnometrics for Finance." (Second edition) Chan Kam C., G B E., Pan Min Shiun (1992) "An empirical analysis of stock prices in major Asian markets and the United States." The Financial review, vol 27, no 2, pages 289-307 Cheung, S.-c M a L (1992) "The international transmission of stock market fluctuation between the developed markets and the Asian—Pacific markets”, Applied Financial Economics, vol 2, no 1, pages 43 – 47." David A., Y., Jian, Bessler (2003) "The structure of interdependence in international stock markets." 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Acceptable for presentation at the practice and theory of Automated timetabling VII, 2008 Zikmund, W G (1997) "Business Research Methodology Fort Worth, TX: The Dryden Press." Page 134 LUAN VAN CHAT LUONG download : add luanvanchat@agmail.com ... determine the long run relationship amongst the Vietnam stock market and US and other related Asian stock markets, the bi-variate cointegration test are applied for the pairs between the daily stock. .. Vietnam, US and other related Asian stock markets in both sub periods Hence, the Vietnam and international investors should focus on portfolio diversification to other stock markets On the other... amongst the stock markets Becker et al (1990) examine the intertemporal relation between the US and Japanese stock markets They find a high correlation between US stocks’ previous trading day and the