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An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam

Author

Listed:
  • To Trung Thanh

    (National Economics University, Vietnam)

  • Le Thanh Ha

    (National Economics University, Vietnam)

  • Nguyen Thi Thanh Huyen

    (National Economics University, Vietnam)

  • Tran Anh Ngoc

    (National Economics University, Vietnam)

Abstract

In this paper, we employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between the cryptocurrency and Vietnam’s stock market by characterizing their connectedness starting from January 1, 2018, to December 31, 2021. We report that the COVID-19 health shocks impact the system-wide dynamic connectedness, which reaches a peak during the COVID-19 pandemic. Net total directional connectedness suggests that the cryptocurrency market significantly impacts Vietnam’s stock market, especially those with the largest market capitalization like Bitcoin and Ethereum. This market can be held accountable for Vietnam’s stock market volatility. In encountering the COVID-19 pandemic, the effect of the three cryptocurrencies reduced before 2020, around the end of 2019 and the beginning of 2020. However, from the end of 2020–2021, while cryptocurrencies continued their roles as net transmitters for Vietnam’s stock market.

Suggested Citation

  • To Trung Thanh & Le Thanh Ha & Nguyen Thi Thanh Huyen & Tran Anh Ngoc, 2023. "An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam," Journal of International Commerce, Economics and Policy (JICEP), World Scientific Publishing Co. Pte. Ltd., vol. 14(01), pages 1-20, February.
    • Handle: RePEc:wsi:jicepx:v:14:y:2023:i:01:n:s179399332250017x
    DOI: 10.1142/S179399332250017X
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    More about this item

    Keywords

    Cryptocurrency; Vietnam’s stock market; COVID-19 pandemic; dynamic connectedness; joint connectedness; TVP-VAR;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • F3 - International Economics - - International Finance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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