International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries |
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| Institution: | 1. University of Economics Ho Chi Minh City, 59C Nguyen Dinh Chieu Street, District 3, Ho Chi Minh City, Viet Nam;2. CFVG Ho Chi Minh City, 91 Ba Thang Hai Street, District 10, Ho Chi Minh City, Viet Nam;3. Australian College of Applied Psychology, Level 11, 255 Elizabeth Street, Sydney, New South Wales, 2000, Australia;4. School of Business, Western Sydney University, Locked Bag 1797, Penrith, New South Wales, 2751, Australia;1. Stetson School of Business and Economics (SSBE), Mercer University, 1501 Mercer University Drive, Macon, GA 31207, United States;2. Surveillance Analyst, Cambridge Investment Research Inc., 1776 Pleasant Plain Road, Fairfield, IA 52556, United States;3. Florida Atlantic University, 777 Glades Road, Boca Raton, FL 33431, United States;1. Department of Finance, Métis Lab, EM-Normandie, France;2. EconomiX-CNRS (UMR 7235), University of Paris Ouest Nanterre La Defense, France;3. Department of Finance, IPAG Lab, IPAG Business School, France |
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| Abstract: | This paper investigates the interdependence between the Vietnamese stock market and other influential equity 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 utilized to estimate the conditional return linkage among 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 equity markets of the US, Hong Kong and Japan. Moreover, we find that during the financial crisis, stock markets become more interrelated. |
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