Economics at your fingertips  

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

Xuan Vinh Vo and Craig Ellis

Emerging Markets Review, 2018, vol. 36, issue C, 19-27

Abstract: 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.

Keywords: Stock market linkage; Volatility transmission; VAR-GARCH; BEKK-GARCH (search for similar items in EconPapers)
JEL-codes: F02 F21 F3 F4 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Access Statistics for this article

Emerging Markets Review is currently edited by Jonathan A. Batten

More articles in Emerging Markets Review from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-04-16
Handle: RePEc:eee:ememar:v:36:y:2018:i:c:p:19-27