Stock returns volatility persistence and spillover effects: Empirical evidence from Vietnam

Le Tin * , Yolanda T. Garcia and Nguyen Huu Dang

* Corresponding author (ltin@ctu.edu.vn)

Article Sidebar

Full Text: PDF

Received: 11 Apr 2016
Revised: 21 Oct 2016
Accepted: 30 Mar 2017
Published: 31 Mar 2017
DOI: 10.22144/ctu.jen.2017.005
Views
145
Downloads
42
Crossref
Scopus
Google Scholar
Europe PMC
How to Cite
Le, T., Yolanda, T. G., & Nguyen, H. D. (2017). Stock returns volatility persistence and spillover effects: Empirical evidence from Vietnam. CTU Journal of Innovation and Sustainable Development , (05), 39-46. https://doi.org/10.22144/ctu.jen.2017.005
Issue
No. 05 (2017)

Main Article Content

Abstract

This study aimed to investigate stock returns volatility of the Ho Chi Minh and Ha Noi stock exchanges. The used data in the study were the daily stock indexes of the Vietnam stock market and nine global stock markets from the State Securities Commission of Vietnam (SSC) and Yahoo Finance website, respectively. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model was performed to investigate the determinants of the persistence of volatility and volatility spillovers from foreign stock markets.  The results indicated that there are evidences of volatility clustering and persistence of volatility in the two stock exchanges of Vietnam. This study also showed that both Ho Chi Minh and Ha Noi stock exchanges are affected by major stock markets in Asia and the rest of the world. Specifically, the Vietnam stock market is mostly influenced by Singapore stock market.
Keywords: GARCH, persistence, spillovers, stock market, volatility, Vietnam

Article Details

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

References

Abdalla, S.Z.S., (2012). “Modelling Stock Returns Volatility: Empirical Evidence from Saudi Stock Exchange”. International Research Journal of Finance and Economics ISSN 1450-2887 Issue 85 (2012).

Abidin, S., Zhang, C., (2011). “Price and Volatility Spillover Effects in Selected Asia Pacific Stock Markets”. International Review of Business Research Papers Vol. 7. No. 5. September 2011. Pp. 83-97.

Asteriou, D., Hall, S. G., 2011. Applied Econometrics, Palgrave Macmillan.

Booth, G. G., Chowdhury, M., Martikainen, T., Tse, Y., (1997). “Intraday Volatility in International Stock Index Futures Markets: Meteor Showers or Heat Waves?”. Management Science 43(11), 1564-1576.

Frimpong, J.M., Oteng-Abayie, E.F., (2006). “Modelling and Forecasting Volatility of Returns on the Ghana Stock Exchange”. MPRA Paper No. 593, posted 07. November 2007 / 01:08. Online at http://mpra.ub.uni-muenchen.de/593/

Goyal, A., (2000). “Predictability of Stock Return Volatility from GARCH Models”. Anderson Graduate School of Management, UCLA, 110 Westwood Plaza, Box 951481, Los Angeles, CA 90095-1481.

Hien, M.T.T., (2008). “Modelling and Forecasting Volatility by Garch-Type Models: The Case of Vietnam Stock Exchange”. MA Dissertation of Finance and Investment (edissertations.nottingham.ac.uk/2017/1/08MAlixhm7.pdf).

Palm, F.C., Maddala, G.S., Rao, C.R., (1996). “GARCH Models of Volatility”. Handbook of Statistics, Vol. 14, Elsevier Science B. V.

Peña, J.I., (1992). “On Meteor Showers in Stock Markets: New York vs Madrid”. Investigaciones Economicas, Fundación SEPI, vol. 16(2), pages 225-234.

Phu, C.N.V., (2009). “Volatility Transmissions and Spillover Effects: An Empirical Study of Vietnam’s Stock Market and Other Asian Stock Markets”. Master thesis of Business, Auckland University of Technology.

Thuan, L.T., (2010). “An Analysis of the Effect of U.S. Stock Market to Vietnam Stock Market: The Case of S&P 500 and Dow Jones Indices to VN-Index”. Chung Yuan Christian University, Taiwan. Unpublished Paper.

Yang, X., (2008). “Forecasting Volatility in Stock Market using GARCH models”. Master thesis of Arts, University of Kansas, United States.