International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.

18 Pages Posted: 18 Aug 2016

See all articles by Xuan Vinh Vo

Xuan Vinh Vo

University of Economics Ho Chi Minh City; French-Vietnamese Center for Management Education (CFVG) in Ho Chi Minh City

Craig Ellis

Education Centre Australia

Abstract

This paper investigates the interdependence between the Vietnamese stock market and other influential stock markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis. A VAR model is used to estimate the conditional return linkage amongst these indices and a GARCH-BEKK model is employed to investigate the volatility transmission. We find evidence of statistically significant correlation, return spillover and volatility linkage between Vietnamese stock market with other leading stock markets of the US, Hong Kong and Japan. Moreover, we find that during the financial crisis, stock markets become more interrelated.

Keywords: Stock market linkage, Volatility transmission, VAR-GARCH, BEKK-GARCH

JEL Classification: F02, F21, F3, F4

Suggested Citation

Vo, Xuan Vinh and Ellis, Craig, International Financial Integration: Stock Return Linkage and Volatility Transmission between Vietnam and Other Advanced Countries.. 29th Australasian Finance and Banking Conference 2016. Available at SSRN: https://ssrn.com/abstract=2825807 or http://dx.doi.org/10.2139/ssrn.2825807

Xuan Vinh Vo (Contact Author)

University of Economics Ho Chi Minh City ( email )

Ho Chi Minh City, Ho Chi Minh City
Vietnam

HOME PAGE: http://www.ueh.edu.vn

French-Vietnamese Center for Management Education (CFVG) in Ho Chi Minh City

91 Ba Thang Hai Street
District 10
Ho Chi Minh City
Vietnam

Craig Ellis

Education Centre Australia ( email )

Sydney
Australia

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