Volatility Spillover from the United States and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency Domain Approach

Le Dinh Nghi () and Nguyen Minh Kieu ()

Panoeconomicus, 2021, vol. 68, issue 1, 35-52

Abstract: Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.Key words: Causality, Frequency domain, Spillover, Volatility.JEL: C58, G15.

Keywords: Causality; Frequency domain; Spillover; Volatility (search for similar items in EconPapers)
Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
https://panoeconomicus.org/index.php/jorunal/article/view/1029/635 (application/pdf)

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: https://EconPapers.repec.org/RePEc:voj:journl:v:68:y:2021:i:1:p:35-52:id:1029

Access Statistics for this article

Panoeconomicus is currently edited by Kosta Josifidis

More articles in Panoeconomicus from Savez ekonomista Vojvodine, Novi Sad, Serbia
Bibliographic data for series maintained by Savez ekonomista Vojvodine, Novi Sad, Serbia ().