Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis
Kuan Min Wang () and
Hung-Cheng Lai ()
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Hung-Cheng Lai: Department of Finance, Overseas Chinese University, Taiwan
Panoeconomicus, 2013, vol. 60, issue 4, 473-497
This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.â€™s (2005) contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion riskin the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock marketscause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.
Keywords: Vietnamese stock market; Contagion risk; EGARCH model; DCC estimation; Sub-prime mortgage crisis (search for similar items in EconPapers)
JEL-codes: C12 C22 F30 (search for similar items in EconPapers)
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