An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam

To Trung Thanh, Le Thanh Ha (), Nguyen Thi Thanh Huyen and Tran Anh Ngoc ()
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To Trung Thanh: National Economics University, Vietnam
Le Thanh Ha: National Economics University, Vietnam
Nguyen Thi Thanh Huyen: National Economics University, Vietnam
Tran Anh Ngoc: National Economics University, Vietnam

Journal of International Commerce, Economics and Policy (JICEP), 2023, vol. 14, issue 01, 1-20

Abstract: In this paper, we employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between the cryptocurrency and Vietnam’s stock market by characterizing their connectedness starting from January 1, 2018, to December 31, 2021. We report that the COVID-19 health shocks impact the system-wide dynamic connectedness, which reaches a peak during the COVID-19 pandemic. Net total directional connectedness suggests that the cryptocurrency market significantly impacts Vietnam’s stock market, especially those with the largest market capitalization like Bitcoin and Ethereum. This market can be held accountable for Vietnam’s stock market volatility. In encountering the COVID-19 pandemic, the effect of the three cryptocurrencies reduced before 2020, around the end of 2019 and the beginning of 2020. However, from the end of 2020–2021, while cryptocurrencies continued their roles as net transmitters for Vietnam’s stock market.

Keywords: Cryptocurrency; Vietnam’s stock market; COVID-19 pandemic; dynamic connectedness; joint connectedness; TVP-VAR (search for similar items in EconPapers)
JEL-codes: C32 F3 G12 Q43 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (2)

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DOI: 10.1142/S179399332250017X

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