The relationship between the Vietnam stock market and its major trading partners - TECM with bivariate asymmetric GARCH model

Hsu-Ling Chang and Chi-Wei Su

Applied Economics Letters, 2010, vol. 17, issue 13, 1279-1283

Abstract: This study employs threshold error-correction model with bivariate Glosten-Jagannathan-Runkle-generalized autoregressive conditional heteroscedasticity model to examine the relationship between the Vietnam stock market and its major trading partners, the United States, Japan, Singapore and China. The results indicate that the Vietnam stock market and return risks are influenced by Japan and Singapore stock markets. We also find that the volatility of stock market in Vietnam and its trading countries have an asymmetrical effect. These findings could be valuable to individual investors and financial institutions holding long-run investment portfolios in the Vietnam stock market.

Date: 2010
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DOI: 10.1080/00036840902881892

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