This paper extends recent investigations into risk contagion effects on stock
markets to the Vietnamese stock market. Daily data spanning October 9, 2006
to May 3, 2012 are sourced to empirically validate the contagion effects
between stock markets in Vietnam, and China, Japan, Singapore, and the US. To
facilitate the validation of contagion effects with market-related
coefficients, this paper constructs a bivariate EGARCH model of dynamic
conditional correlation coefficients. Using the correlation contagion test
and Dungey et al.?s (2005) contagion test, we find contagion effects between
the Vietnamese and four other stock markets, namely Japan, Singapore, China,
and the US. Second, we show that the Japanese stock market causes stronger
contagion risk in the Vietnamese stock market compared to the stock markets
of China, Singapore, and the US. Finally, we show that the Chinese and US
stock markets cause weaker contagion effects in the Vietnamese stock market
because of stronger interdependence effects between the former two markets.
Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis
