TAILIEUCHUNG - 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 market, 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 between the markets to respond to volatility shocks and whether these changes are temporary or extended. | Nguyen Khac Quoc Bao & Bui Van Hoang / Journal of Economic Development 24(2) 51-73 51 Volatilities in the interdependence between stock market, bond market, and foreign exchange market in Vietnam: An empirical investigation NGUYEN KHAC QUOC BAO University of Economics HCMC – nguyenbao@ BUI VAN HOANG hvbuikt@ ARTICLE INFO ABSTRACT Article history: This study analyzes volatilities in the relations between stock market, 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 between 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. Received: Apr. 8, 2016 Received in revised form: Jul. 8, 2016 Accepted: Mar. 31, 2017 Keywords: Exchange rate Stock market Volatility shifts Spillover effects 52 Nguyen Khac Quoc Bao & Bui Van Hoang / Journal of Economic Development 24(2) 51-73 1. Introduction For most investors and policy makers, perceiving the interdependence between markets is of crucial importance. Correlation structures of these markets act as a basis for formulating strategic policies and allocating investment portfolios. Economic analysts and fund management keep track of the fluctuations in correlations between assets to put forward investment guidelines in order to obtain excess profits. Given macroeconomic policy makers, analyses of the transmission channels between these markets play

• Kinh tế học
• Exchange rate
• Stock market
• Volatility shifts
• Spillover effects
• Bond market
• Interest rate
• Stock return
• Vietnam stock market
• Interest rate on stock return
• Impact of exchange rate
• Trade balance
• Real effective exchange rate
• Floating exchange rate policy
• Exchange rate volatility
• Vector autoregression
• Exchange policy
• Exchange rate regime
• Exchange control regime
• Moroccan economy
• Exchange regulation in Morocco
• International financial management
• Quản lý tài chính quốc tế
• Lecture International financial management
• Exchange rate determination
• Exchange rate equilibrium
• Exchange rates
• Lecture International Economics
• Bài giảng Kinh tế quốc tế
• Exchange rate systems
• Currency crises
• Official exchange rate
• Exchange stabilization fund
• International Finance
• Lecture International finance
• Tài chính quốc tế
• Bài giảng Tài chính quốc tế
• Exchange rate forecasting
• Sign restriction
• Monetary policy
• Fixed exchange rate
• Monetary setting
• ASEAN income gap
• Optimal exchange rate
• Foreign demand shock
• Income gap
• Panel SVAR
• Summary of PHD thesis
• The impact of CNY USD exchange rate
• Vietnamese macroeconomic factors
• Vietnamese economic objectives
• The exchange rate policy management
• The impact of USD
• Order imbalance
• NTD USD exchange rate
• Causality relation
• Taiwan exchange rate market
• Imbalance based trading strategies
• Firm level analysis
• Exchange rate exposure of Indian firms
• Exchange rate exposure
• Indian firms
• Stock returns
• Exchange rate regimes
• Financial crises
• Banking crises
• Logit model
• Exchange rate politics
• Time series
• Monetary policy on the exchange rate
• Sign restriction approaches
• RMB exchange rate expectations
• China's housing price fluctuations
• FAVAR model
• Degree of reversal intervention
• RMB exchange rate expectations explain
• Exchange rate on inflation and economic growth in Vietnam
• Inflation and economic growth in Vietnam
• Bilateral real exchange rate
• Consumer price index
• The two exogenous variables
• Oil price
• Exchange rate affect non oil GDP
• Oil rich country
• Non oil gross domestic product
• Fully modified ordinary smallest square approach
• Cointegration analysis
• Intra regional trade
• Panel gravity model approach
• Exports in COMESA
• Exchange rate volatility on exports
• Summary of Economics Ph d’s thesis
• Summary of Ph d’s thesis
• Exchange rate exposure research
• Market data
• Background on exchange rate exposure
• Models indicate
• Currency depreciation
• Exchange rate movements
• Oil price shock
• Real exchange rate
• Exchange rate in Bangladesh
• Nexus between oil price shock
• Oil plays a crucial role
• International trade
• Econometric models
• Integrating properties
• Pegged exchange rate system
• Long run equilibrium
• Exchange Rate and Foreign Exchange Reserve
• Official website of Reserve Bank of India
• Software E – Views
• Cointegration Test and Unit Root Test
• Forward foreign exchange rate
• Spot foreign exchange rate
• Rational expectations
• Forward discount bias
• Forward rate biasedness
• Equilibrium exchange rate