Volatility transmissions and spillover effects: an empirical study of Vietnam’s stock market and other Asian stock market
Vu, Phu Nguyen Chau
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In this study, I examine the transmissions of volatility spillovers during the subprime crisis in the U.S between Vietnam and other Asian financial markets (Japan, Korea, China, Hong Kong, and Taiwan). I attempt to explore the level and magnitude of volatility spillover effects of other Asian markets on the Vietnam stock market by applying a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model. It is found that the level of the volatility effect of the selected financial markets on the Vietnamese stock market’s return from 2006 to August - 2009 increases over time. Particularly, the level of volatility transmissions and spillover effect of two developed markets, Hong Kong and Japan onto the Vietnamese market are relatively higher and more consistent than other markets during the 2006-2009 period. Also, the Vietnamese financial market seems to perform better than other markets during my 2006-2009 sample, including the financial crisis period in 2007.