The nonlinear dependence of the Vietnam stock market on the Asian stock market: Evidence from a quantile-on-quantile regression

Le Thi Thuy Van (), Dang Thi Phuong Thao () and Phan Thi Hang Nga ()

International Journal of Innovative Research and Scientific Studies, 2025, vol. 8, issue 4, 535-553

Abstract: The stock market is also a flexible and attractive investment channel for organizations and individuals. It is an important medium- and long-term capital mobilization channel for businesses to promote production and business activities and create jobs and livelihoods for investors. Therefore, this study's goal employed the quantile-on-quantile regression method to study the nonlinear relationship between the Vietnam stock market and the Asian stock market. The research method also utilized the spillover index to assess the extent of spillover from the Asian stock market to the Vietnam stock market during the Covid and post-Covid periods. Moreover, the data was collected daily from January 2, 2020, to December 1, 2024, including Vietnam, South Korea, Singapore, and China. The results indicate that during the COVID period, the impact of the Asian stock market on the Vietnam stock market was more significant than in the post-COVID period. The study further reveals that in stable market conditions, the level of impact is lower compared to periods of market sensitivity. Finally, the authors proposed policy recommendations for assisting policymakers by providing evidence regarding the degree of market connectivity of each country, which can serve as a basis for developing supportive and regulatory policies for the market.

Keywords: COVID-19; Quantile-on-quantile regression; Spillover index; Stock market. (search for similar items in EconPapers)
Date: 2025
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