Assessing Financial Market Integration in Vietnam: A Price – Based Approach

Abstract

This paper investigates the existence of financial market integration between Vietnam and the region (ASEAN, ASIAN) as well as the world using price-based indicators. Our paper is the first to assess the overall integration of the Vietnam financial market based on two different datasets for different sub-capital markets, the bond market and stock market, during the period of 2009 - 2018. The empirical results show that Vietnam, compared to other countries in research, holds lower regional and international integration levels in both the bond market and the stock market, but demonstrates considerably strong signs of progressing regional and global stock market integration over the period. Especially, the absolute values estimated from the beta coefficient and beta convergence approaches for the Vietnamese stock market are larger than for the bond market, proving better convergence degree and speed of Vietnamese stock market over the bond market. These bring policymakers and regulators new thoughts and more challenges in designing appropriate policies towards the development of the financial markets in the future.