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The Relationship Between The United States And Vietnam Stock Markets

Author

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  • Luu Tien Thuan

Abstract

This paper uses the Generalized Autoregressive Conditional Heteroscedasticity - Autogressive Moving Average (GARCH-ARMA) and the Exponentially General Autoregressive Conditional Heteroscedasticity- Autogressive Moving Average (EGARCH-ARMA) models to examine the relationship between United States and Vietnam stock markets. The paper analyzes 1,483 daily observations from 2003-2009. The study finds that the U.S. market has a positive and significant influence on the Vietnam market. Specifically, the S&P 500 Index has a positive and strong significant influence to the VN-Index return in recent years. However, there is no evidence of a volatility effect of the S&P 500 Index on the VN-Index. To support the initial findings, the study performs robustness tests to examine the effect of Dow Jones Index on the VN-Index return and shows similar results. Not only do these findings provide additional evidence that Vietnam is a viable market economy but also indicates that fund managers’ should consider movement of the U.S. stock market before making Vietnam investment decisions.

Suggested Citation

  • Luu Tien Thuan, 2011. "The Relationship Between The United States And Vietnam Stock Markets," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 5(1), pages 77-89.
    • Handle: RePEc:ibf:ijbfre:v:5:y:2011:i:1:p:77-89
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    Citations

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    Cited by:

    1. Korkmaz, Turhan & Çevik, Emrah İ. & Atukeren, Erdal, 2012. "Return and volatility spillovers among CIVETS stock markets," Emerging Markets Review, Elsevier, vol. 13(2), pages 230-252.
    2. Nguyen, Cuong & Ishaq Bhatti, M. & Henry, Darren, 2017. "Are Vietnam and Chinese stock markets out of the US contagion effect in extreme events?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 480(C), pages 10-21.

    More about this item

    Keywords

    Index; stock market; volatility effect.;
    All these keywords.

    JEL classification:

    • E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
    • G1 - Financial Economics - - General Financial Markets

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