HIỆU ỨNG DẪN TRUYỀN GIAO DỊCH CỦA KHỐI ĐẦU TƯ NGOẠI TRÊN THỊ TRƯỜNG CHỨNG KHOÁN VIỆT NAM

Abstract

This paper investigates the spillover effect of net trading value of foreign investors on net trading value of other investor groups in Vi-etnam stock market. The study employs Vector Autoregression (VAR) model, using weekly frequency data including net trading value of domestic investors, foreign investors, proprie-tary trading, VN-Index closing price and USD/VND exchange rate. The empirical re-sults show that net trading value of foreign in-vestors has an impact on net trading value of domestic investors but no impact on net trad-ing value of proprietary trading. The spillover effect of net trading value of foreign investors to net trading value of domestic investors is very low and no spillover to proprietary trading group...