An analysis of shock and volatility spillovers among Vietnamese and BRICS equity markets

Fadia Al Hajj, Duc Nguyen, Sara Omran, Tonguç Çagin and Virginie Nahas (nahas.virginie@gmail.com)
Additional contact information
Virginie Nahas: ESPI - Ecole Supérieure des Professions Immobilières, ESPI2R - Laboratoire ESPI2R Research in Real Estate [Bordeaux] - ESPI - Ecole Supérieure des Professions Immobilières

Post-Print from HAL

Abstract: Globalisations of financial markets have contributed to the connectedness among cross border equity markets. BRICS and Vietnam Stock Markets are closely related and are believed to be interdependent, an interdependence that is expected to increase in times of crisis. The aim of this paper is to investigate the volatility spillover within these markets by detecting the impact of the GFC and COVID-19, separately. The main contribution is to present a comparative analysis of the impact of both crises on stock markets amalgamation. The research employs daily stock prices for a sample of Vietnam and BRICS countries. The study considers two periods, GFC period (from January 2007 to December 2009) and COVID-19 period (from January 2019 to December 2021). The data utilised in this analysis are MSCI indices obtained from the DataStream. The applied tests are the generalised Diebold and Yilmaz (2012) to measure the returns and volatilities and generalised impulse response function of the innovation accounting analysis of Koop et al. (1996) and Pesaran and Shin (1998). The results have detected an increasing connectedness and spillover among Vietnam and BRICS during COVID-19 as compared to GFC with the strongest relationship between India, China, and Vietnam.

Keywords: COVID-19; GFC; Vietnamese stock market; BRICS; portfolio diversification; financial connectedness (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Published in International Journal of Economics and Business Research, 2024, 28 (3/4), pp.255-271. ⟨10.1504/IJEBR.2024.141494⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-04715687

DOI: 10.1504/IJEBR.2024.141494

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD (hal@ccsd.cnrs.fr).