Abstract
The empirical research examines the impact of net purchase of foreign investors on performance of stock market and market liquidity. In this study, market performance is proxied by VN-index, which measures growth of equity market and market liquidity is estimated by the trading volume of whole market. The data is collected in Vietnamese Stock Exchange in the period of 1215 intraday from 2011 to 2014. By using ARCH model, main findings of this research are: first, there is positive relationship between market performance and net purchase; second, performance of stock market is influence by lag factor and third, liquidity of market is affected negatively by trading activity of foreign investors.
Highlights
It is undeniable that stock market is one of the most important components, which contributes to economic growth for some reasons
Market performance is proxied by VN-index, which measures growth of equity market and market liquidity is estimated by the trading volume of whole market
This research concludes the positive relationship between trading activity of foreign investors and performance of equity market
Summary
It is undeniable that stock market is one of the most important components, which contributes to economic growth for some reasons. Stock market is efficient channel where enterprises raise capital. This provides high return investment environment for individual and corporate investors when they have free cash flow. In Vietnam, the stock market has generated basing on Degree No 48/CP and Decision No 127/1998/QD-TTG, which has been approved by Prime Minister on 10 Jul 1998. Vietnamese stock market has operated more than 15 years with two main centers: Ho Chi Minh Stock Exchange (HOSE) and Hanoi Stock Exchanged (HNX). Regarding to VN-INDEX, stock market in Vietnam became bubble in 2006 and 2007, which causes sharp rise in this figure.
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