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Did Vietnam stock market avoid the “contagion risk” from China and the U.S.? The contagion effect test with dynamic correlation coefficients

  • Kuan-Min Wang

    ()

This paper examines the Vietnamese stock market with an extension of the recent investigation of risk contagion effects. Daily data spanning October 9, 2006–June 19, 2009 are sourced for the empirical validation of the risk contagion between the stock markets in Vietnam, China, and the U.S. To facilitate the validation of contagion effects with market related coefficients, this paper constructs a bivariable EGARCH model of dynamic condition correlation coefficients. First, we examine whether there are contagion effects when there is a financial crisis in the Vietnamese stock market. Next, we verify whether the contagion risk triggered by the crisis can affect the Vietnamese market and examine which market influences the Vietnamese market the most. We find that compared to the U.S. stock market, the Chinese stock market brings more contagion risk to the Vietnamese market, and these effects gain more significance after the sub-prime mortgage crisis. Copyright Springer Science+Business Media B.V. 2013

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File URL: http://hdl.handle.net/10.1007/s11135-011-9647-2
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Article provided by Springer in its journal Quality & Quantity.

Volume (Year): 47 (2013)
Issue (Month): 4 (June)
Pages: 2143-2161

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Handle: RePEc:spr:qualqt:v:47:y:2013:i:4:p:2143-2161
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