Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation
This study analyzes volatilities in the relations between stock mar-ket, bond market, and foreign exchange market in Vietnam from April 2014 through December 2015. Particularly, we address the questions of whether there exist sudden changes in correlations be-tween the markets to respond to volatili...
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University of Economics Ho Chi Minh City
2023
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| Truy cập trực tuyến: | http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=2f03b1e2-38de-4b41-ac76-5f49ff0d8621 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115543 |
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oai:scholar.dlu.edu.vn:DLU123456789-1155432023-03-08T03:56:58Z Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation Nguyen, Khac Quoc Bao Bui, Van Hoang This study analyzes volatilities in the relations between stock mar-ket, bond market, and foreign exchange market in Vietnam from April 2014 through December 2015. Particularly, we address the questions of whether there exist sudden changes in correlations be-tween the markets to respond to volatility shocks and whether these changes are temporary or extended. By using VAR(p) – FIEGARCH(1,d,1) – cDCC and PELT approaches in combination with a regression estimation with dummy variables, our empirical results validate the interdependence between the markets, which is found to vary over time. More importantly, volatility shocks give rise to sudden changes in their correlations, and at certain times these are long-lasting. Investors and policy makers in Vietnam should accordingly have due consideration of long-term spillovers. 2023-03-08T03:56:58Z 2023-03-08T03:56:58Z 2017 Article 2615-9112 http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=2f03b1e2-38de-4b41-ac76-5f49ff0d8621 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115543 10.24311/jabes/2017.24.2.04 en Journal of Asian Business and Economic Studies, Volume 24, Issue 02; p. 51-73 application/pdf University of Economics Ho Chi Minh City |
| institution |
Thư viện Trường Đại học Đà Lạt |
| collection |
Thư viện số |
| language |
English |
| description |
This study analyzes volatilities in the relations between stock mar-ket, bond market, and foreign exchange market in Vietnam from April 2014 through December 2015. Particularly, we address the questions of whether there exist sudden changes in correlations be-tween the markets to respond to volatility shocks and whether these changes are temporary or extended. By using VAR(p) – FIEGARCH(1,d,1) – cDCC and PELT approaches in combination with a regression estimation with dummy variables, our empirical results validate the interdependence between the markets, which is found to vary over time. More importantly, volatility shocks give rise to sudden changes in their correlations, and at certain times these are long-lasting. Investors and policy makers in Vietnam should accordingly have due consideration of long-term spillovers. |
| format |
Article |
| author |
Nguyen, Khac Quoc Bao Bui, Van Hoang |
| spellingShingle |
Nguyen, Khac Quoc Bao Bui, Van Hoang Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| author_facet |
Nguyen, Khac Quoc Bao Bui, Van Hoang |
| author_sort |
Nguyen, Khac Quoc Bao |
| title |
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| title_short |
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| title_full |
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| title_fullStr |
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| title_full_unstemmed |
Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation |
| title_sort |
volatilities in the interdependence between stock market, bond market, and foreign exchange market in vietnam: an empirical investigation |
| publisher |
University of Economics Ho Chi Minh City |
| publishDate |
2023 |
| url |
http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=2f03b1e2-38de-4b41-ac76-5f49ff0d8621 http://scholar.dlu.edu.vn/thuvienso/handle/DLU123456789/115543 |
| _version_ |
1765278375927087104 |