Findings show that the fluctuations in HNX-Index have no influence on VN-Index, yet, the fluctuations in VN-Index impact on the HNX-Index. This is to say, such the causality is unidirectional, from VN-Index to HNX-Index. | RESEARCHES & DISCUSSIONS By using Granger Causality Test, this study is to investigate whether there is the causality between VN-Index and HNX-Index. The weekly time series data set of VN-Index and HNX-Index quoted from July 20, 2005 to Dec. 30, 2009 shall be employed in this study. Findings show that the fluctuations in HNX-Index have no influence on VN-Index; yet, the fluctuations in VN-Index impact on the HNX-Index. This is to say, such the causality is unidirectional, from VN-Index to HNX-Index. Keywords: VN-Index, HNX-Index, causality 1. Introduction After 10 years, Vietnamese stock market has accomplished considerable achievements, greatly contributing to the national economic growth. It has provided a channel of capital mobilization and rotation, meeting the need for capital of the whole economy. Besides, it has also seen strong fluctuations in the two main indexes (. VN-Index and HNX-Index). In such a situation, the ever-most concerned question raised by investors is whether there is a causality between the VN-Index and HNX-Index. In recent years, the causality in terms of price fluctuation among stock markets has attracted special considerations of many researchers. Most results point out that the fluctuation in stock price of a market may affect others and vice versa (Huang et al., 2000; Zhu et al. 2004; Floros, 2005; Fan et al., 2009). Such the research on this topic, although carried out in many markets in the world, has not ever been published for the case of Vietnam. Therefore, the aim of this research is to define the causality in terms of price fluctuation between stocks listed in HOSE and those in Hanoi Stock Exchange (HNX). 2. Literature review So far, many a study on price linkages among different stock markets has been published. Due to incapably mentioning a full list of all studies on * Caàn Thô University ** BIDV Haäu Giang this topic, in this item, we just sest forth here several outstanding studies which lay a foundation for our .
