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Using Vietnamese stock market index and West Texas Intermediate crude oil prices from January 2007 to April 2015, we investigate whether the Vietnamese stock market index still has long-run and short-run causal relationship with the crude oil prices. The results suggest that there is no long-run relationship between the movement of Vietnamese stock market index and the movement of crude oil prices. However, the movement of crude oil prices still has a short-term impact on the movement of Vietnamese stock market index.