Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach
Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Economists' Association of Vojvodina
2021-01-01
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| Series: | Panoeconomicus |
| Subjects: | |
| Online Access: | http://www.doiserbia.nb.rs/img/doi/1452-595X/2021/1452-595X2000003N.pdf |
| _version_ | 1818573119040782336 |
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| author | Nghi Le Dinh Kieu Nguyen Minh |
| author_facet | Nghi Le Dinh Kieu Nguyen Minh |
| author_sort | Nghi Le Dinh |
| collection | DOAJ |
| description | Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature. |
| first_indexed | 2024-12-15T00:06:49Z |
| format | Article |
| id | doaj.art-98be7efcb4e140ed9415c487324fa4d2 |
| institution | Directory Open Access Journal |
| issn | 1452-595X 2217-2386 |
| language | English |
| last_indexed | 2024-12-15T00:06:49Z |
| publishDate | 2021-01-01 |
| publisher | Economists' Association of Vojvodina |
| record_format | Article |
| series | Panoeconomicus |
| spelling | doaj.art-98be7efcb4e140ed9415c487324fa4d22022-12-21T22:42:43ZengEconomists' Association of VojvodinaPanoeconomicus1452-595X2217-23862021-01-01681355210.2298/PAN170428003N1452-595X2000003NVolatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approachNghi Le Dinh0Kieu Nguyen Minh1Saigon University, Vietnam + Ho Chi Minh City Open University, VietnamHo Chi Minh City Open University, VietnamUsing frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of S&P 500, Nikkei 225 and VN-Index from January 01, 2012 to May 31, 2016 is used. In terms of estimation, the GARCH model is used to estimate volatilities in these stock markets; the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.http://www.doiserbia.nb.rs/img/doi/1452-595X/2021/1452-595X2000003N.pdfcausalityfrequency domainspillovervolatility |
| spellingShingle | Nghi Le Dinh Kieu Nguyen Minh Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach Panoeconomicus causality frequency domain spillover volatility |
| title | Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach |
| title_full | Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach |
| title_fullStr | Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach |
| title_full_unstemmed | Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach |
| title_short | Volatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach |
| title_sort | volatility spillover from the united states and japanese stock markets to the vietnamese stock market a frequency domain approach |
| topic | causality frequency domain spillover volatility |
| url | http://www.doiserbia.nb.rs/img/doi/1452-595X/2021/1452-595X2000003N.pdf |
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