For many emerging economies, FDI inflows are important sources of development though the spillover effects are heterogeneous. The interdependence between stocks markets both regional and global are found more and more evidently. This paper aims to discover the dependence of a heavily net FDI receiver, Vietnam, to her major investors regarding the stock index. To detect the dynamic linkages between indices, several copulas were employed. The findings figure out that the linkages depends on the position of FDI inflows and the changes of FDI inflows. The dependence to FDI investor could be only in positive extreme, only negative extreme, or both.