Ảnh hưởng biến động của thị trường chứng khoán giữa Trung Quốc và Việt Nam

Tóm tắt

In this paper, we attempt to estimate the daily returns and volatility spillover effects in common stock prices between China and Vietnam. The analysis utilizes a vector autoregression with a bivariate GARCH-BEKK model to capture return linkage and volatility transmission spanning the period including pre and post the 2008 Global Financial Crisis. Our main empirical result is that the volatility of the Chinese market has had a significant impact on the Vietnamese stock market in our data sample. For the stock return linkage between China and Vietnam seem to be remarkable during and after the global financial crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis situation. Finally, there exist volatility spillovers from China stock market to Vietnam has crucial implications for policymakers and investors.

Từ khóa: Volatility spillover, China, Financial crisis, GARCH-BEKK, stock markets. JEL codes: G15, F21, C18, C51

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