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The impact of COVID-19 crisis on return and volatility spillovers between the Vietnam stock market and world gold price

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  • Le Van
  • Nguyen Khac Quoc Bao

Abstract

In this paper, we examine the relations between Vietnam stock and world gold spot price in terms of return and volatility spillovers using the bivariate BEKK-GARCH framework models with student's t-distributed errors for daily return series from 1 January 2010 to 15 May 2020. We find that the world gold price positively affects the VN index return from 2010 to 2019 while affects negatively during the period of novel corona virus disease (COVID-19) pandemic from 1 January 2020 to 15 May 2020.The COVID-19 impact assessment on the VN index-world gold portfolio reveals that the gold weight gradually increases, and the optimal hedge ratio dramatically decreases to a negative value under implications of the pandemic.

Suggested Citation

  • Le Van & Nguyen Khac Quoc Bao, 2025. "The impact of COVID-19 crisis on return and volatility spillovers between the Vietnam stock market and world gold price," International Journal of Economic Policy in Emerging Economies, Inderscience Enterprises Ltd, vol. 21(3), pages 223-243.
    • Handle: RePEc:ids:ijepee:v:21:y:2025:i:3:p:223-243
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