EMPIRICAL ANALYSIS OF DEPENDENCE STRUCTURES AND SPILLOVER EFFECTS ACROSS STOCK MARKETS: A STUDY OF RELATIONSHIP BETWEEN VIETNAM AND ITS MAJOR TRADING PARTNERS

Abstract

This thesis studies dependence structures and spillover effects between the Vietnamese stock market and the American, Japanese, and European equity markets over the period from 2005 to 2020. For this purpose, I use copula-based models to investigate the dependence structure and asymmetric VAR-BEKK-GARCH frameworks to further define spillover effects. I find evidence of substantial influences of the United States (US) and Japanese markets on the Vietnamese market. In addition, the results also show that the Vietnamese stock market is more likely to experience extreme events jointly with the Japanese market. It is also noteworthy that the dependence structure between the markets varies over time and increases during crises. The results with VAR-BEKK-GARCH models indicate the existence of unidirectional return spillovers from the US and European markets to the Vietnamese market and no return linkage between Vietnamese and Japanese markets. In addition, by conducting the second-order Granger-type causality test, I find evidence for bi-directional volatility spillovers between Vietnamese and American markets, whereas for the other markets, I note one-way volatility transmissions from the advanced market to Vietnam’s market.