Interdependence of stock markets: evidence from Vietnam
The study investigates the effect of spillovers regionally and worldwide on Vietnam’s stock market. The vector error correction model (VECM) is used to analyze the collected data from Bloomberg. Data include eight comparable stock market indices, namely DJI, NKY, SHCOMP, SET, MXSG, PCOMP, FBMKLCI, a...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
HDV INSER., JSC
2022-11-01
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| Series: | Journal of International Economics and Management |
| Subjects: | |
| Online Access: | https://jiem.ftu.edu.vn/index.php/jiem/article/view/275 |
| _version_ | 1828004065915699200 |
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| author | Tran Thi Van Anh Dao Hoang Tuan Nguyen Thi Nhung |
| author_facet | Tran Thi Van Anh Dao Hoang Tuan Nguyen Thi Nhung |
| author_sort | Tran Thi Van Anh |
| collection | DOAJ |
| description | The study investigates the effect of spillovers regionally and worldwide on Vietnam’s stock market. The vector error correction model (VECM) is used to analyze the collected data from Bloomberg. Data include eight comparable stock market indices, namely DJI, NKY, SHCOMP, SET, MXSG, PCOMP, FBMKLCI, and JCI. The empirical results show that the Vietnamese stock market is significantly linked to that of the other countries. During the periods of dramatic market fluctuation, the cross-border linkage between the VN-Index and comparable indices is the largest. The impact of the stock markets of small nearby countries such as Singapore and Malaysia on the Vietnamese stock market are greater than the other large ones including the United States, Japan and China. The findings of this study contribute to the literature on the interdependence and interaction of stock markets. The common economic integration, especially in showing that effect found in other studies, is meaningful in explaining the observed phenomenon. |
| first_indexed | 2024-04-10T07:08:29Z |
| format | Article |
| id | doaj.art-7f8db689d72d45dea8c034377419abd8 |
| institution | Directory Open Access Journal |
| issn | 2615-9856 |
| language | English |
| last_indexed | 2024-04-10T07:08:29Z |
| publishDate | 2022-11-01 |
| publisher | HDV INSER., JSC |
| record_format | Article |
| series | Journal of International Economics and Management |
| spelling | doaj.art-7f8db689d72d45dea8c034377419abd82023-02-27T02:50:31ZengHDV INSER., JSCJournal of International Economics and Management2615-98562022-11-01223110128Interdependence of stock markets: evidence from VietnamTran Thi Van AnhDao Hoang TuanNguyen Thi NhungThe study investigates the effect of spillovers regionally and worldwide on Vietnam’s stock market. The vector error correction model (VECM) is used to analyze the collected data from Bloomberg. Data include eight comparable stock market indices, namely DJI, NKY, SHCOMP, SET, MXSG, PCOMP, FBMKLCI, and JCI. The empirical results show that the Vietnamese stock market is significantly linked to that of the other countries. During the periods of dramatic market fluctuation, the cross-border linkage between the VN-Index and comparable indices is the largest. The impact of the stock markets of small nearby countries such as Singapore and Malaysia on the Vietnamese stock market are greater than the other large ones including the United States, Japan and China. The findings of this study contribute to the literature on the interdependence and interaction of stock markets. The common economic integration, especially in showing that effect found in other studies, is meaningful in explaining the observed phenomenon.https://jiem.ftu.edu.vn/index.php/jiem/article/view/275interdependencespillover effectprice co-movementcross-border relationshipasean exchangesstock market indices |
| spellingShingle | Tran Thi Van Anh Dao Hoang Tuan Nguyen Thi Nhung Interdependence of stock markets: evidence from Vietnam Journal of International Economics and Management interdependence spillover effect price co-movement cross-border relationship asean exchanges stock market indices |
| title | Interdependence of stock markets: evidence from Vietnam |
| title_full | Interdependence of stock markets: evidence from Vietnam |
| title_fullStr | Interdependence of stock markets: evidence from Vietnam |
| title_full_unstemmed | Interdependence of stock markets: evidence from Vietnam |
| title_short | Interdependence of stock markets: evidence from Vietnam |
| title_sort | interdependence of stock markets evidence from vietnam |
| topic | interdependence spillover effect price co-movement cross-border relationship asean exchanges stock market indices |
| url | https://jiem.ftu.edu.vn/index.php/jiem/article/view/275 |
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