Trade Relations between Vietnam and Bulgaria: Performance and Its Determinants

Nguyen Chien Thang and Tran Thi Mai Thanh

Economic Studies journal, 2022, issue 5, 19-32

Abstract: Economic cooperation of countries across the world has led to the integration of stock and commodities markets. The group of seven countries (G7) represents the world’s most industrialised and developed economies. In an integrated market, understanding the price discovery mechanism and volatility spillover across markets is crucial for traders, investors and other stakeholders. This paper investigates the return dynamics and volatility Spillover among the stock markets of G7 countries, oil and gold. We apply VAR and GARCH to examine the relationship between the returns and the transmission of volatility between commodities and stock markets. The research is based on the major stock indices of G7 countries for the years between 2009 and 2018. Oil and gold are taken as a proxy for the commodities market. This study begins by examining the cointegration of the stock and commodities market using the Johansen cointegration test. Stochastic volatility models are used to estimate the volatility and its spillover effect. We estimate the volatility spillover index using variance decomposition. The results indicate the presence of an asymmetric volatility spillover effect between the stock and commodities market. The outcome of the study would facilitate the investors and portfolio managers to understand the return dynamics and volatility spillover effect, which is a prerequisite for an investment decision.

JEL-codes: C23 O51 O52 O57 Q02 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://www.iki.bas.bg/Journals/EconomicStudies/20 ... uyen-Chien-Thang.pdf

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bas:econst:y:2022:i:5:p:19-32

Access Statistics for this article

More articles in Economic Studies journal from Bulgarian Academy of Sciences - Economic Research Institute Contact information at EDIRC.
Bibliographic data for series maintained by Diana Dimitrova ().