(Luận văn) return and volatility spillovers vietnamese and some asian markets

to tn MINISTRY OF EDUCATION AND TRAINING gh UNIVERSITY OF ECONOMICS HOCHIMINH CITY p ie -o0o - EÂ1 w n ad lo th yj an lu la ip uy NGUYỄN VĨNH NGHIÊM n va RETURN AND VOLATILITY SPILLOVERS VIETNAMESE AND SOME ASIAN MARKETS m ll fu n oi MAJOR: BUSINESS ADMINISTRATION tz MAJOR CODE: 60.34.05 z jm SUPERVISOR: ht vb MASTER THESIS Dr VÕ XUÂN VINH k om l.c gm an Lu n va re y te th HO CHI MINH CITY, 2012 i Acknowledgement t to ng Foremost, I would like to express my sincere gratitude to my advisor Dr Võ hi Xuân Vinh for the continuous support of my thesis, for his patience, motivation, ep enthusiasm, and immense knowledge His guidance helped me in all the time of w research and writing of this thesis n ad lo I would like to thank professors at Faculty of Business Administration and u yj th Postgraduate Faculty, University of Economics Ho Chi Minh City for their yi teaching, their guidance and support during my MBA course pl n ua al I wish to thank my family for the love, support and constant encouragement I n va have got over the years m ll fu t n oi z z j ht vb k m gm om l.c an Lu n va y te re ii Abstract t to Purpose - This thesis investigates the interdependence between the Vietnamese ng hi stock market and other nine Asian markets in terms of return and volatility ep spillovers during three periods: pre-crisis, crisis and post-crisis w n ad lo Methodology - Long run and short run integration are examined through Johansen cointegration and Granger causality test respectively Vector u yj th autoregressive model is used to estimate the conditional return spillover among yi these indices Volatility spillover is studied through BEKK and AR-GARCH pl Model n ua al va Findings - We find evidence of the integration of Vietnamese market with n statically significant correlation, cointegration, return spillover and volatility fu m ll spillover with other markets The crisis has strong impacts to market n oi interdependence with higher correlation, cointegration and spillovers In the t current period, there may be long run benefits from portfolio diversification to z Vietnamese stocks z j ht vb Originality/Value - The thesis points out the return and volatility between m k Vietnamese stock market and other nine Asian Markets and suggests potential gm benefits from diversification om l.c Key words - Return spillover, Volatility spillover, VAR, BEKK, VAR-GARCH, an Lu Cointegration, Granger causality n va y te re iii Contents t to ng Acknowledgement i hi Abstract ii ep Contents iii List of Figures v w n List of Tables vi lo ad Chapter Introduction Background 1.2 Purpose and scope 1.3 Basic definition yi u yj th 1.1 Stock index 1.3.2 Return 1.3.3 Volatility 1.3.4 Return spillover 1.3.5 Volatility spillover 1.3.6 Time series 1.3.7 Cointegration 1.3.8 Granger causality pl 1.3.1 n ua al n va m ll fu t n oi Research questions 1.5 Structure z 1.4 z vb Literature review Chapter Methodology 12 j ht Chapter m Data 12 3.2 The model and methods 12 k 3.1 gm Introduction 12 3.2.2 Unit root and stationary test 13 3.2.3 Johansen’s cointegration techniques 14 3.2.4 Granger causality analysis 16 3.2.5 VAR Model 18 3.2.6 Bivariate BEKK Model 18 3.2.7 GARCH Model 20 Chapter Data Description, Results and Analysis of Results 22 an Lu y te Opening and closing time of Indices 22 re 4.1.1 n Descriptive statistics and correlation matrix 22 va 4.1 om l.c 3.2.1 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets iv 4.1.2 Descriptive statistics of Indices 23 4.1.3 Descriptive statistics of Indices’ return 24 4.1.4 Correlation matrix 25 t to 4.2 Long-run interdependence 26 ng hi ep 4.2.1 Unit root test 26 4.2.2 Johansen’s cointegration 27 4.3 Short-run interdependence 31 w 4.3.1 n lo 4.3.2 VAR Model for estimation of return spill over 34 Volatility spill over 40 ad 4.4 Granger causality analysis 31 BEKK model 40 4.4.2 VAR – GARCH model 43 Chapter Conclusions 49 yi u yj th 4.4.1 pl n ua al Figure 51 References 53 n va m ll fu t n oi z z j ht vb k m gm om l.c an Lu n va y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets v List of Figures t to Figure Index timings by UTC Time 22 ng Figure Index closing price 51 hi Figure Index return 52 ep w n ad lo yi u yj th pl n ua al n va m ll fu t n oi z z j ht vb k m gm om l.c an Lu n va y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets vi List of Tables t to Table Indices and their origination ng Table Descriptive statistics of Indices in pre-crisis period 23 hi Table Descriptive statistics of Indices in crisis period 23 ep Table Descriptive statistics of Indices in post-crisis period 23 Table Descriptive statistics of Indices’ return in pre-crisis period 24 w n Table Descriptive statistics of Indices’ return in crisis period 24 ad lo Table Descriptive statistics of Indices’ return in post-crisis period 24 Table Correlation Matrix between Indices' returns in pre-crisis period 25 u yj th Table 9.Correlation Matrix between Indices' returns in crisis period 26 yi Table 10.Correlation Matrix between Indices’ returns in post-crisis period 26 pl Table 11 Unit root test result on Indices 27 n ua al Table 12 Unit root test results on Indices' return 27 Table 13 Johansen's cointegration test for pre-crisis period 30 n va Table 14 Johansen's cointegration test for crisis period 30 fu Table 15.Johansen's cointegration test for post-crisis period 31 m ll Table 16 Granger causality test results for pre-crisis period 33 n oi Table 17 Granger causality test results for crisis period 33 t Table 18 Granger causality test results for post-crisis period 34 z Table 19 Bivariate VAR Model (VNIndex and other Indices) estimates of model on indices return in pre-crisis period 37 z j ht vb Table 20 Bivariate VAR Model (VNIndex and other Indices) estimates of model on indices return in crisis period 38 k m Table 21 Bivariate VAR Model (VNIndex and other Indices) estimates of model on indices return in post-crisis period 39 gm Table 22 Parameters estimates of BEKK model for pre-crisis period 42 om l.c Table 23 Parameters estimates of BEKK model for crisis period 42 Table 24 Parameters estimates of BEKK model for post-crisis period 43 an Lu Table 25 Volatility spillover estimates of AR(1) GARCH(1,1) model for precrisis period 46 y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets n Table 27 Volatility spillover estimates of AR(1) GARCH(1,1) model for post-crisis period 48 va Table 26 Volatility spillover estimates of AR(1) GARCH(1,1) model for crisis period 47 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets Chapter t to 1.1 Introduction Background ng hi Currently, the globalization of domestic market becomes an evident trend The ep equity markets attract capital not only from domestic but also from international w investors who expect to reduce the risk via diversification This trend would n ad lo reduce the isolation of domestics markets and the markets can react quickly to international news and shocks u yj th The information transmission across market has been widely studied in two yi pl different faces First, the long term interdependence and causality among markets n ua al are considered as strong signal of information transmission And secondly, the volatility transmission across markets gets more studies these days because it va n becomes important as a good measure of the risk of internationally diversified fu m ll portfolio which very helpful in deciding the asset diversification strategy n oi Vietnamese stock market was formed a decade ago and now attracts valuable t investment However, there have been relatively few studies on the linkages of z z Vietnamese equity market with international markets, especially the Asian vb markets j ht k Purpose and scope m 1.2 gm This study attempts to investigate interactions in terms of price and volatility om l.c spillover amongst Vietnamese equity market and other nine Asian markets (India, Hong Kong, Indonesia, Malaysia, Japan, Philippines, China, Singapore Lu an and Taiwan) (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te spillovers re bivariate BEKK and AR-GARCH model is used to evaluate the volatility n spillovers) and Granger causality test (for short term spillovers) Meanwhile, the va The return spillovers are examined with Johansen co-integration (for long term (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets Both the return spillovers and volatility spillovers are considered through three periods: the pre-crisis period (from 03rd January 2005to 31st December 2007), t to the crisis period (from 01st January 2008 to 30th June 2010) and the post-crisis ng period (from 1st July 2010 to 31st August 2012) The evaluation based on these hi ep three periods would indicate the effect of financial crisis to the return and volatility spillovers between Vietnamese stock market and other nine Asian w markets n lo ad The markets are presented by their Indices as following: Index BSESN HIS JKSE KLSE Nikkei 225 PSEI SSE STI TWII VNIndex Index name BSE Sensex Index Hang Seng Index Jakarta Composite Index FTSE Bursa Malaysia Nikkei 225 Index Philippines Stock Exchange PSEi index SSE Composite Index Straights Times Index TSEC weighted index Vietnam Index yi u yj th Table Indices and their origination pl n ua al n va m ll fu t n oi Country India Hong Kong Indonesia Malaysia Japan Philippines China Singapore Taiwan Vietnam z z vb j ht The reason for selecting these markets is that they represent the developed and k m emerging economies of Asian stock markets and they have potential effect to benchmark indices om l.c - gm Vietnamese stock market Moreover the chosen indices are widely accepted Hong Kong and Japan are regarded as one of the mature financial centers Lu in Asia and play important role in the regional economy with high an n va transaction volume and high influences to other markets China is the fastest developing economy in the world and gains stronger border with China and the trade among Vietnam and China gets large (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te position today in financial market; furthermore Vietnam shares same re - (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets portion of the Vietnamese international trading, so we expect information transmission among China and Vietnam t to - Other markets (Indonesia, Malaysia, Philippines and Singapore) are in the ng hi same ASEAN (Association of Southeast Asian Nations) organization as ep Vietnam ASEAN is the ninth largest economy in the world and is growing with more and proven integration between its members w n Basic definition ad lo 1.3 u yj th 1.3.1 Stock index yi pl A stock index or stock market index is a method of measuring the value of a n ua al section of the stock market It is computed from the prices of selected stocks (sometimes a weighted average) It is a tool used by investors and financial va managers to describe the market, and to compare the return on specific n m ll Return t n oi 1.3.2 fu investments Most financial studies involve returns, instead of prices, of assets Campbell et al z z (1996) give two main reasons for using returns First, for average investors, vb j ht return of an asset is a complete and scale-free summary of the investment gm the former have more attractive statistical properties k m opportunity Second, return series are easier to handle than price series because word ‘return’ in means of continuously compounded return om l.c There are several definitions of an asset return, and in this thesis, we use the an Lu Continuously compounded return 𝑃𝑡 = ln(𝑃𝑡 ) − ln(𝑃𝑡−1 ) 𝑃𝑡−1 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te 𝑟𝑡 = 𝑙𝑛 re continuously compounded return or log return: n va The natural logarithm of the simple gross return of an asset is called the (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 40 4.4 Volatility spill over t to 4.4.1 BEKK model ng hi The parameters estimates of the BEKK Model which explain the volatility ep spillover between Vietnamese market and other market through periods are presented in table 22, 23 and 24 w n ad lo Each column in these tables gives value of the estimate from the bivariate BEKK u yj th model for the two time series [Index, VNIndex] Two most important parameters are 𝑎12 and 𝑎21 : parameter 𝑎12 explains the volatility spillover from the Index yi to VNIndex; and 𝑎21 represents the volatility from the VNIndex to the studied pl n ua al index Other remarkable parameters are 𝑎11 and 𝑎22 that present the effect of the va residuals (the ARCH component) to the conditional variance; and 𝑏11 , 𝑏22 that indicate the impact of the previous variance (volatility) to the conditional n m ll fu variance Pre-crisis period: t n oi We summarize the results from the bivariate BEKK model as below: z z j ht vb Three indices HIS, JKSE, PSEI affect the conditional volatility of m Vietnamese markets: the parameter (𝑎12 ) is significant at 5% With JKSE k and PSEI, the effect from these markets is positive (𝑎12 > 0) This implies gm that high volatility in JKSE or PSEI market creates lesser volatility in the om l.c Vietnamese stock market However, with HIS, the effect is negative an Vietnamese stock market Lu (𝑎12 0) on JKSE and negative effect (𝑎21 0); but the effect is negative from SSE w The volatility spillover from Vietnamese stocks market has positive affect n ad lo to HIS and Nikkei; and negative affect to BESEN u yj th Post-crisis period: yi During this period, two indices PSEI and SSE affect the conditional pl - n ua al volatility of Vietnamese markets: the parameter (𝑎12 ) is significant at 5%; The volatility spillover from Vietnamese stocks market has positive affect m ll n oi to Nikkei (𝑎21 > 0) fu - n va and all the effects from these markets are negative (𝑎12 < 0) t In the crisis period, the volatility spillovers get more significance: during pre- z crisis, crisis and post crisis, the conditional variances of Vietnamese stock market z vb is affected from 3, 5, and markets respectively; and it contribute to the explain j ht of the conditional volatility of 2, and markets in these three periods k m ARCH and the GARCH: om l.c - gm We also learn about the components of the conditional variance of markets - the ARCH components (reflected via the A (1, 1) and A (2, 2) coefficient): Lu the residuals which correlates the price variation of the present day to the an price variation of the previous day; this component shows the effect of n va past innovation GARCH components (reflected via the B (1, 1) and B (2, 2) coefficient): the previous volatility (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te re - (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 42 Generally for all three periods; the volatilities show that the coefficient of GARCH effect is much higher than the value of ARCH coefficient This t to indicates that the volatility depends more on its lags than on the innovation ng hi Table 22 Parameters estimates of BEKK model for pre-crisis period ep HIS JKSE KLSE NIKKEI PSEI SSE STI TWII 0.00245* 0.00092* 0.00477* 0.00097* 0.00168* 0.00268* 0.01484* -0.00091* 0.00190* C(2,1) -0.00011 0.00026 -0.00099* -0.00085 0.00049* -0.00033 -0.00082 -0.00051* -0.00026* BSESN C(1,1) w -0.00107* -0.00100* -0.00002 0.00089 -0.00101 0.00088* 0.00000 0.00097* -0.00111* lo -0.19429* -0.41640* 0.28569* -0.22428 -0.26963* -0.18761* -0.25467* -0.21417* 0.06654* -0.08041* -0.01471 0.03275 0.03801 0.01333 0.06965 0.07277* -0.01440 -0.04156 0.05920* 0.22662 0.03820 0.01063 -0.44978* -0.45482* -0.46094 -0.43599* -0.48505* -0.45099* -0.46288* 0.82636* 0.94806* 0.96187 0.93802* 0.26764 0.96092* 0.95834* 0.06370* 0.03870* -0.01111 0.00738 0.09381* -0.01200 0.01043* n ua al n C(2,2) 0.03034* -0.00348* -0.01443 0.02974* 0.18698* 0.01801* 0.01090* B(2,2) 0.90857* 0.90012* 0.90555* * denotes rejection significance at the 5% level 0.90223* 0.90446* 0.91520* 0.87964* 0.90992* 0.90261* -0.27838* A(2,1) 0.02230 A(1,2) 0.07137 -0.06170* ad A(1,1) 0.04021 u yj th -0.45151* -0.47515* 0.93968* 0.97366* B(2,1) 0.00596 0.00185 B(1,2) 0.02919* -0.02443* yi A(2,2) B(1,1) pl n va fu KLSE 0.00286* -0.00025 C(2,1) -0.00370* 0.00146* -0.00138 -0.00932* C(2,2) 0.00000 0.00332* -0.00345* 0.00000 NIKKEI PSEI SSE STI TWII 0.00336* 0.00252* 0.01999* 0.00117* 0.00138 -0.00087 0.00056 -0.00414* 0.00168 -0.00034 0.00222* 0.00362* 0.00282 0.00294* 0.00399* -0.23061* 0.28898* -0.20981* -0.20748* -0.02995 -0.00886 -0.07380 z JKSE 0.00257* t HIS 0.00124 n oi BSESN C(1,1) vb m ll Table 23 Parameters estimates of BEKK model for crisis period -0.26882* 0.30235* -0.25194* 0.28377* 0.26474* -0.16065* 0.13470* -0.06327 -0.02825 0.22918* z A(1,1) A(2,1) 0.02911 j ht 0.12249* -0.06134 0.13148* -0.03283 0.08696* 0.01828 -0.22605* 0.01192 0.12308* -0.38233* -0.44787* -0.40439* -0.83907* -0.37507* -0.45240* -0.39238* -0.40742* -0.44458 B(1,1) 0.93968* 0.95107* 0.93448* 0.16785* 0.92003* 0.94778* -0.04002* 0.97537* 0.95802* B(2,1) -0.07884* -0.01337 -0.02190 0.78455* -0.02165 -0.02632 0.14147* 0.01023 0.01396 B(1,2) 0.11995* -0.01584 0.07841* -0.66908* 0.05870* 0.03347 0.29204* -0.00529 0.04814* B(2,2) 0.89425* 0.88691* 0.89725* * denotes rejection significance at the 5% level -0.08012 0.92628* 0.88554* 0.85893* k m A(1,2) A(2,2) gm om l.c 0.90118* 0.87286* an Lu n va y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 43 Table 24 Parameters estimates of BEKK model for post-crisis period BSESN HIS JKSE KLSE NIKKEI PSEI SSE STI TWII t to ng 0.00133* 0.00126 0.00205* 0.00082* 0.00427* 0.00942* 0.00792* 0.00104 0.00067 C(2,1) -0.00116 0.00125 0.00320 0.00331 -0.00112* -0.00075 -0.00078 -0.00004 0.00851* C(2,2) 0.00710* 0.00804* 0.00905* 0.00726* 0.00592* 0.00634* 0.00585* 0.00807* 0.00000 A(1,1) 0.18226* -0.23294 -0.34025* -0.25818 0.30182* 0.36976* 0.24009* -0.24868* -0.27662* hi C(1,1) ep -0.06586 -0.06587 0.03282 -0.02293 0.12621* 0.01205 0.03189 -0.11033 0.01281 -0.04712 0.04324 0.02055 -0.01536 0.02381 -0.11862* -0.19775* -0.03239 0.06024 A(2,2) -0.49520* -0.50567* -0.55996* -0.48324* -0.40554* -0.43115* -0.42510* -0.49848* -0.52301* B(1,1) 0.97594* 0.95919* 0.92922* 0.95907* 0.84415* 0.49135* 0.65189* 0.96447* 0.94709* 0.07521 0.03186 -0.03335 0.11373 0.03953 0.04188 -0.00016 -0.11314 -0.01862 0.13936 0.00812 -0.03553 -0.03291 0.06453 B(2,2) 0.66746* 0.58929* 0.40005* * denotes rejection significance at the 5% level 0.62416* 0.79461* 0.74133* 0.78187* 0.59461* 0.56178* A(2,1) A(1,2) w n 0.03026 lo 0.02024 B(1,2) -0.01211 0.04820 ad B(2,1) yi u yj th pl VAR – GARCH model n ua al 4.4.2 va Volatility spillovers estimated through BEKK (1, 1) not provide the partial n effect of indices and also not consider same day effect We estimate the partial fu m ll effect of indices and same day effect using univariate GARCH model as t for three periods n oi discussed earlier The results of the parameters are presented in table 25, 26, 27 z z Because of difference in opening and closing time, the volatility of Vietnamese j ht vb stock market would depend on, if any: m The same day residuals from BSE, HIS, JKSE, KLSE, PSEI, STI - The one lag day residuals from Nikkei, SSE, and TWI k - gm om l.c Pre-crisis period: an Lu From the GARCH equation of the Vietnamese market, we discover that stock market (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te higher volatility from STI/HIS, the higher/less volatility in Vietnamese re two markets are all statically significant at 5% level Or more specific, the n effect from STI and negative effect from HIS The coefficients from these va the volatility of Vietnamese market depends on two markets: the positive (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 44 The VNIndex has only positive effect on the KLSE volatility Crisis period: t to ng In this period, the volatility spillovers become stronger in comparison with hi ep the pre-crisis period: the VNIndex volatility depends on markets: negative dependence on KLSE, PSEI, SSE and positive dependence on w TWII n lo ad The results also indicate that the volatility spillovers from Vietnam have u yj th positive impact on HIS, JKSE and negative impact on BSE yi pl Post-crisis period: n ua al The volatility spillovers in this period decreases significantly: Vietnamese va stock market now depends only on PSEI and has no impact on any other n market m ll fu It is interesting that the volatility spillovers get more significance in the crisis n oi period: during pre-crisis, crisis and post crisis, the conditional variances of t Vietnamese stock market is affected from 2, 4, and market respectively; and it z z make contribution to the explain of the volatility of 1, and markets vb j ht respectively m k Our results are similar with findings of other authors: the study of Andrew Stuart gm & Alain (2011) indicate that global volatility linkages are particularly strong om l.c during the financial crises in Asia (1997-1998), Russia (1998), and the United States (2007-2008) Indika, Abbas & Martin (2010) found that the Asian and Lu an global financial crises of 1997-1998 and 2008-2009 significantly increased the (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets y te East Asian crisis re experiences significant bursts during major market crises, including the n UK, and the US Yilmaz (2010) argued that the volatility spillover index va stock return volatilities across all of the four markets Australia, Singapore, the (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 45 From the study of volatility spillover from the BEKK and VAR- GARCH model, we conclude some main points: t to The volatilities depends more on its lags than on the innovation - Vietnamese stock market has some integration with other markets in term ng - hi ep of volatility spillover w n - The volatility spillovers are stronger in crisis period ad lo u yj th The important implication from the findings of this chapter is that international investors can invest to Vietnamese stock market to gain potential long run yi benefits from portfolio diversification in this period In one hand, the VNIndex pl n ua al return still have low correlation with the studied markets’ return; the cointegrations between them are low In another hand, there are low return and va volatility spillovers between Vietnamese and other markets All these facts help n m ll fu increase the benefits of diversification and reduce the investment risk t n oi z z j ht vb k m gm om l.c an Lu n va y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets o w (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets n ad lo u yj th 46 p yi BSESN 2.75E-05* ARCH 0.149784* GARCH 0.226279* STI TWII 6.86E-06* JKSE 4.75E-05* 1.50E-05* 6.09E-05* 0.000113 6.69E-06* 2.61E-05* 7.78E-05* -1.66E-06 0.050184* 0.093601* ‘0.072081 0.011676 0.09237 0.044813 -0.072331 0.123715 0.316434* 0.1154818* -0.076469 0.339391* 0.365431* 0.461978* 0.921222* 0.247949* 0.509264* 0.671353* -0.015236* -0.017849 -0.008007* 0.018673 -0.025754 0.008667 -0.043718* -0.008192 0.060631* KLSE NIKKEI at nh oi HIS(-1) m BES(-1) HIS ll fu Intercept n va an lu la Table 25 Volatility spillover estimates of AR(1) GARCH(1,1) model for pre-crisis period JKSE(-1) KLSE(-1) SSE 0.004166 -0.00285 -0.011225 0.005005 0.136811 0.005034 0.02261 0.014027 -0.024733 0.011214 0.000618 0.007319 -0.023447 0.282045* 0.34113 0.181505* 0.074968* 0.101914 -0.020232* 0.017277 -0.005924 0.056922 -0.010751* SSE -0.002738 0.018413* -0.015161* 0.001615 0.004653 STI 0.373536* 0.508687* 0.431152* 0.129939* 0.011278 0.13701 0.190979* -0.037434 0.013484 -0.007296 -0.005439 0.024806 -0.004166* 0.051741* 0.170505* Lu 0.017698 0.006852 9.28E-05 n re -0.001605 -0.035317 0.013929 va 0.174485* -0.040929* an -0.00227 0.000555 0.055854 0.05083 -0.005468 ac th -7.11E-02 * denotes rejection significance at the 5% level 0.170222* y KLSE 0.067836* te 0.018226 om 4.04E-02 VNIndex -0.106355* l.c 0.151746 JKSE -0.000851 -0.008424 -0.005003 HIS TWII 0.0151 -0.000821 0.001741 -0.013665 BES PSEI -0.041713* 0.028611 gm VNIndex(-1) 0.238163* 0.021171 -0.011461 0.011027 k jm STI(-1) TWII(-1) -0.004556 0.011653 -0.016314* ht vb SSE(-1) VNIndex -0.01306 z PSEI(-1) NIKKEI -0.00883 z NIKKEI(-1) PSEI si eg cd jg hg (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets o w (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets n ad lo u yj th 47 p yi an lu la Table 26 Volatility spillover estimates of AR(1) GARCH(1,1) model for crisis period BSESN 0.000104* 0.036425 GARCH 0.058124 0.257809* JKSE(-1) 0.157658 KLSE(-1) -0.001796 -0.022438 STI(-1) 0.459322* TWII(-1) VNIndex 1.36E-05* 0.000161* -0.030335 0.074078* 0.245765* 0.056842 0.049153 0.113611* -0.040316* 0.02898 0.210389* 0.04508 0.019083 -0.010631 0.681706* 0.037473 0.283067* 0.062859* 0.724896* 0.001545 0.004937 0.013775 -0.004558 0.079154* 0.028774 0.062602* 0.121746* 0.014597 0.063146 0.026593 0.002193 -0.025861 0.002995 0.03883 0.016682 -0.054534* -0.025507* 0.0156 0.007095 0.003048 -0.007937* 0.004521 -0.006768* -0.041232* -0.056973 0.054891 0.084033* 0.003115 -0.007308 0.119876 -0.061178* 0.000165 -0.014899 HIS 0.056499 0.047805 0.001522 0.151639* 0.123911 0.033795 SSE 0.062824* 0.028374 0.013238 STI 0.806386* 0.516657* 0.161111* TWII 0.202395* 0.173918* 0.08004 VNIndex 0.085806* 0.042074* -0.000956 0.24915* 0.184073* 0.01698 0.031997 -0.018991* -0.032851* 0.123146* 0.307495 0.090428* 0.011016 ac * denotes rejection significance at the 5% level 0.005909 0.028129 -0.021608 th 0.042063 y PSEI 0.000378 0.065256 te 0.219947* re NIKKEI 0.003427 0.123585* n 0.003152 va -0.00223* 0.018752 an KLSE -0.014006 Lu om 0.061221 0.117384* 0.056255 0.305211* 0.088849* JKSE -0.069639 l.c BES -0.057299* -0.004097 gm VNIndex(-1) TWII 1.72E-05* k jm SSE(-1) STI 0.000181* ht vb -0.035803 SSE 3.12E-05* z 0.127072 PSEI(-1) PSEI 4.08E-06 z NIKKEI(-1) NIKKEI 1.11E-05* at nh oi HIS(-1) KLSE 1.03E-05 m BES(-1) JKSE 2.04E-05* ll fu ARCH HIS n va Intercept si eg cd jg hg (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets o w (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets n ad lo u yj th 48 p yi BSESN 4.25E-05 ARCH 0.008301 GARCH 0.268203 0.062585 JKSE(-1) 0.070662 KLSE(-1) 0.040572 0.006721 STI(-1) 0.333347* 0.026902 VNIndex(-1) 0.001879 3.01E-05* 8.57E-05* 1.53E-05* 2.20E-06 2.47E-05 -0.077422* 0.136217* 0.144764 0.134678* 0.130528* -0.011128 -0.002595 0.03776 0.179035* 0.399419* 0.494712* 0.561235* 0.555812* 0.347637* 0.382414 0.007409 0.92249* 0.670697* -0.099447* -0.020777 -0.032275* -0.032514 -0.040657 -0.012014 0.02693 0.0125 0.009051 -0.026246 0.007688 -0.040951* -0.011297 -0.012085 -0.016849 0.130652* -0.003088 -0.013902 -0.010134 -3.79E-06 2.156177 -0.000311 1.883219 -4.76794 -0.003721 -0.03035 0.003406 -0.055307 0.001881 -0.011623 0.018728 -0.002705* -0.007226* 0.000891 -0.002109 0.110555 0.099584* 0.003833 -0.082388 -0.015396 -0.017154 -0.014513 0.019373 0.055368 0.051667 0.01628 0.009717 -0.021411 -0.000964 -0.005655 0.003766 0.093757* 0.049813 -0.009985 ac th 0.005827 0.000342 0.006497 y -0.018003* 0.164558* 0.020333 te 0.025865 0.248023* -0.005922 0.101566* re -0.017497 STI 0.000231* 0.266978* n SSE 0.003213 va 0.000165 -0.019707 an 5.82E-06 0.088224 Lu KLSE -0.009122 om 0.011414 * denotes rejection significance at the 5% level VNIndex -0.008939 l.c 0.019543 0.072446 VNIndex 0.002739 -0.027233 JKSE TWII TWII -0.035765 HIS PSEI STI -0.010408* BES NIKKEI SSE gm TWII(-1) 0.000139* k jm -0.002663 SSE(-1) 2.37E-05* ht vb PSEI(-1) KLSE z -0.004696 PSEI 1.16E-05* z NIKKEI(-1) JKSE at nh oi HIS(-1) N225 1.17E-04* m BES(-1) HIS ll fu Intercept n va an lu la Table 27 Volatility spillover estimates of AR(1) GARCH(1,1) model for post-crisis period si eg cd jg hg (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 49 Chapter Conclusions t to This thesis study the interdependence between the Viet Nam Index and other ng nine Asian Indices in terms of return and volatility spillover effect during hi ep periods: pre-crisis, crisis and post-crisis Although the correlations between Vietnamese stock market and other markets w n are still low but the correlations get increase; in the crisis period the correlations lo ad are strongest; this indicates stronger linkage and integration of Vietnamese stock yi u yj th market Vietnamese stock market is not cointegrated with any market in the pre-crisis pl n ua al period, but cointegrated with almost all markets in the crisis period and with two others in the post-crisis period Again we observe the impact of the crisis that n va makes the market co-integrate together fu m ll Both the Granger causality test and the VAR model indicate the return spillovers n oi from studied markets to Vietnamese stock market especially in the crisis period; t however in the current period, the VNIndex return does not depend on any z market Beside that we not find any evidence of the return spillovers from z j ht vb Vietnam in any period k m The study on volatility spillovers discovers that the volatilities of markets depend gm more on its lags than on the innovation; Vietnamese stock market has some integration with other markets in term of volatility spillover; the volatility om l.c spillovers are stronger in crisis periods Lu an The impact of the crisis on the market interdependence is clear: the markets get y te re spillover n cointegration and more spillover in both term of return spillover and volatility va more integration during the crisis period, their correlations are higher with more From the perspective of foreign investors, the overall long-term independence in post-crisis results implies that there may be long run benefits from portfolio (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 50 diversification to Vietnamese stocks; because VNIndex seems not to move in long-time with the studied markets in the current period with little effect from the t to return and volatility spillover from other markets ng hi ep w n ad lo yi u yj th pl n ua al n va m ll fu t n oi z z j ht vb k m gm om l.c an Lu n va y te re (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 51 Figure t to Figure Index closing price ng BSESN HIS hi 26,000 22,000 ep 24,000 20,000 22,000 18,000 w 20,000 n 16,000 ad lo 18,000 14,000 2010M07 2011M07 u yj th 4,400 2011M01 16,000 2010M07 2012M07 2012M01 2012M07 2012M01 2012M07 1,500 2011M07 1,400 1,300 2012M01 1,200 2010M07 2012M07 n 2011M01 2012M07 1,600 va 2,800 2010M07 2012M01 KLSE n ua al 3,200 2011M07 1,700 pl 3,600 2011M01 JKSE yi 4,000 2012M01 fu Nikkei 225 10,500 2011M07 PSEI m ll 11,000 2011M01 5,500 5,000 n oi 10,000 4,500 t 9,500 4,000 9,000 z 3,500 8,500 z 2011M01 2011M07 2012M01 2012M07 3,000 2010M07 vb 8,000 2010M07 2011M01 2011M07 j ht SSE 3,200 k 3,000 STI m 3,400 3,200 gm 2,800 3,000 2,600 om l.c 2,800 2,400 2,600 2,200 2011M01 2011M07 2012M01 2012M07 2,400 2010M07 2011M01 2012M01 2012M07 an TWII 2011M07 Lu 2,000 2010M07 VNINDEX 9,500 550 va 9,000 n 500 re 8,500 450 y te 8,000 400 7,500 350 7,000 6,500 2010M07 2011M01 2011M07 2012M01 2012M07 300 2010M07 2011M01 2011M07 2012M01 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 2012M07 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 52 Figure Index return HIS BSESN 06 t to 04 04 02 ng 02 hi 00 00 ep -.02 -.02 -.04 -.04 w n -.06 2010M07 2011M01 2011M07 2012M01 -.06 2010M07 2012M07 lo ad 02 u yj th 025 2011M01 2012M01 2012M07 2012M01 2012M07 -.01 -.02 n ua al -.100 2010M07 00 pl -.075 2012M07 01 yi -.050 2012M01 KLSE 03 000 2011M07 JKSE 050 -.025 2011M01 2011M07 -.03 2010M07 2012M07 10 m ll fu 00 05 00 n oi -.04 2011M07 15 n 04 2011M01 PSEI va N225 08 2012M01 -.05 -.08 t 2011M01 2011M07 2012M01 2012M07 -.15 2010M07 2011M01 z -.12 2010M07 -.10 2011M07 z SSE 04 STI j ht vb 06 04 02 00 k m 02 00 gm -.02 -.02 -.04 2011M01 2011M07 2012M01 2012M07 -.04 2010M07 2011M01 TWII 2011M07 2012M01 VNINDEX 2012M07 Lu 06 om l.c -.06 2010M07 04 an 04 02 va 02 00 n 00 re -.02 -.02 -.06 2010M07 y te -.04 -.04 2011M01 2011M07 2012M01 2012M07 -.06 2010M07 2011M01 2011M07 2012M01 2012M07 (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets 53 References t to ng hi ep Alethea, R., William, R., Marco, R & Carl, S 2012, A comparison of Spillover Effects before, during and after the 2008 Financial Crisis, University of Canterbury, Department of Economics and Finance Andrew Stuart, D & Alain, K 2011, Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets, Economic Research Southern Africa 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(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets (Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets(Luận.văn).return.and.volatility.spillovers.vietnamese.and.some.asian.markets