Dependence and contagion between Vietnamese and major East Asian stock markets

Van Chien Nguyen and Thu Thuy Nguyen

International Journal of Management Practice, 2022, vol. 15, issue 4, 445-459

Abstract: This research examines the contagion from four major East Asian stock markets including Indonesia, Singapore, Malaysia, and the Philippines to Vietnam's stock market in the financial crisis. Some copula functions are applied on the sample data from five stock exchange markets from 2006 to 2019. The empirical results demonstrate that the Singaporean stock market has an impact on the Vietnamese stock market in pre-crisis and post-crisis periods. In the case of Indonesia, the Indonesian stock market has no impact on the Vietnamese stock market in the pre-crisis and post-crisis periods but during financial crisis, the Indonesian stock market influences the Vietnamese stock market. However, no evidence has been found to demonstrate the influence of the Philippines and Malaysian stock markets on the Vietnamese one in all three periods from 2006 to 2019.

Keywords: contagion; copula; financial crisis; dependence structure. (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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