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Return Spillover from the US and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency-Domain Approach

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  • Minh Kieu Nguyen
  • Dinh Nghi Le

Abstract

Using a frequency-domain analysis, this article examines return spillover from the US and Japanese stock markets to the Vietnamese stock market. We use daily data from the S&P 500, the Nikkei 225, and Vietnam Stock Index (VN-Index) from January 1, 2012, to December 31, 2015. A Granger-causality test is used to examine the return spillover, and the test for causality in the frequency domain by (Breitung and Candelon 2006) is used to examine the return spillover at different frequencies. The results show that significant return spillover occurs from the US to the Vietnamese stock market at all frequencies and from the Japanese to the Vietnamese stock market at higher frequencies—evidence that return spillover effects are not the same at different frequencies.

Suggested Citation

  • Minh Kieu Nguyen & Dinh Nghi Le, 2021. "Return Spillover from the US and Japanese Stock Markets to the Vietnamese Stock Market: A Frequency-Domain Approach," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 47-58, January.
    • Handle: RePEc:mes:emfitr:v:57:y:2021:i:1:p:47-58
    DOI: 10.1080/1540496X.2018.1525357
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    Cited by:

    1. Li, Hailing & Li, Yuxin & Zhang, Hua, 2023. "The spillover effects among the traditional energy markets, metal markets and sub-sector clean energy markets," Energy, Elsevier, vol. 275(C).
    2. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2022. "Investigating the role of metal and commodity classes in overcoming resource destabilization," Resources Policy, Elsevier, vol. 79(C).
    3. Kai Shi, 2021. "Spillovers of Stock Markets among the BRICS: New Evidence in Time and Frequency Domains before the Outbreak of COVID-19 Pandemic," JRFM, MDPI, vol. 14(3), pages 1-37, March.
    4. Syed Kumail Abbas Rizvi & Bushra Naqvi & Nawazish Mirza, 2022. "Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs," Annals of Operations Research, Springer, vol. 313(1), pages 495-524, June.

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