International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries

被引：62

作者：

Xuan Vinh Vo ^{[1
,2
]}

Ellis, Craig ^{[3
,4
]}

机构：

[1] Univ Econ Ho Chi Minh City, 59C Nguyen Dinh Chieu St,Dist 3, Ho Chi Minh City, Vietnam

[2] CFVG Ho Chi Minh City, 91 Ba Thang Hai St,Dist 10, Ho Chi Minh City, Vietnam

[3] Australian Coll Appl Psychol, Level 11,255 Elizabeth St, Sydney, NSW 2000, Australia

[4] Western Sydney Univ, Sch Business, Locked Bag 1797, Penrith, NSW 2751, Australia

来源：

EMERGING MARKETS REVIEW | 2018年 / 36卷

关键词：

Stock market linkage; Volatility transmission; VAR-GARCH; BEKK-GARCH; ASIAN EQUITY MARKETS; STRUCTURAL BREAKS; FOREIGN-EXCHANGE; SPILLOVERS; MODEL; BOND;

D O I：

10.1016/j.ememar.2018.03.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper investigates the interdependence between the Vietnamese stock market and other influential equity markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis. A VAR model is utilized to estimate the conditional return linkage among these indices and a GARCH-BEKK model is employed to investigate the volatility transmission. We find evidence of statistically significant correlation, return spillover and volatility linkage between Vietnamese stock market with other leading equity markets of the US, Hong Kong and Japan. Moreover, we find that during the financial crisis, stock markets become more interrelated.

引用

页码：19 / 27

页数：9

共 33 条

[1] Alethea R., 2012, COMP SPILLOVER EFFEC
[2] On the impacts of oil price fluctuations on European equity markets: Volatility spillover and hedging effectiveness
Arouri, Mohamed El Hedi
Jouini, Jamel
Duc Khuong Nguyen
[J]. ENERGY ECONOMICS, 2012, 34 (02) : 611 - 617
[3] Liquidity and Return Relationships in an Emerging Market
Batten, Jonathan A.
Xuan Vinh Vo
[J]. EMERGING MARKETS FINANCE AND TRADE, 2014, 50 (01) : 5 - 21
[4] Chuang I.-Y., 2007, Emerging Markets Review, V8, P311, DOI [https://doi.org/10.1016/j.ememar.2007.08.001, DOI 10.1016/J.EMEMAR.2007.08.001]
[5] Drimbetas, 2010, INT RES J FINANCE EC, V58, P141
[6] Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model
Elyasiani, Elyas
Mansur, Iqbal
[J]. JOURNAL OF FINANCIAL STABILITY, 2017, 28 : 49 - 65
[7] Volatility spillovers between oil prices and the stock market under structural breaks
Ewing, Bradley T.
Malik, Farooq
[J]. GLOBAL FINANCE JOURNAL, 2016, 29 : 12 - 23
[8] Volatility transmission and asymmetric linkages between the stock and foreign exchange markets A sectoral analysis
Fu, Tian
Holmes, Mark
Choi, Daniel
[J]. STUDIES IN ECONOMICS AND FINANCE, 2011, 28 (01) : 36 - +
[9] CORRELATIONS IN PRICE CHANGES AND VOLATILITY ACROSS INTERNATIONAL STOCK MARKETS
HAMAO, Y
MASULIS, RW
NG, V
[J]. REVIEW OF FINANCIAL STUDIES, 1990, 3 (02) : 281 - 307
[10] Jang H., 2002, J ASIAN EC, V13, P94, DOI DOI 10.1016/S1049-0078(01)00115-4

← 1 2 3 4 →