THE RELATIONSHIP BETWEEN THE UNITED STATES AND VIETNAM STOCK MARKETS

Luu Tien Thuan

The International Journal of Business and Finance Research, 2011, vol. 5, issue 1, 77-89

Abstract: This paper uses the Generalized Autoregressive Conditional Heteroscedasticity - Autogressive Moving Average (GARCH-ARMA) and the Exponentially General Autoregressive Conditional Heteroscedasticity- Autogressive Moving Average (EGARCH-ARMA) models to examine the relationship between United States and Vietnam stock markets. The paper analyzes 1,483 daily observations from 2003-2009. The study finds that the U.S. market has a positive and significant influence on the Vietnam market. Specifically, the S&P 500 Index has a positive and strong significant influence to the VN-Index return in recent years. However, there is no evidence of a volatility effect of the S&P 500 Index on the VN-Index. To support the initial findings, the study performs robustness tests to examine the effect of Dow Jones Index on the VN-Index return and shows similar results. Not only do these findings provide additional evidence that Vietnam is a viable market economy but also indicates that fund managers’ should consider movement of the U.S. stock market before making Vietnam investment decisions.

Keywords: Index; stock market; volatility effect. (search for similar items in EconPapers)
JEL-codes: E50 G1 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:77-89

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