Title: Dependence and contagion between Vietnamese and major East Asian stock markets

Authors: Van Chien Nguyen; Thu Thuy Nguyen

Addresses: Institute of Graduate Studies, Thu Dau Mot University, Thu Dau Mot City, Binh Duong, Vietnam ' Department of Mathematics, Thuongmai University, Hanoi, Vietnam

Abstract: This research examines the contagion from four major East Asian stock markets including Indonesia, Singapore, Malaysia, and the Philippines to Vietnam's stock market in the financial crisis. Some copula functions are applied on the sample data from five stock exchange markets from 2006 to 2019. The empirical results demonstrate that the Singaporean stock market has an impact on the Vietnamese stock market in pre-crisis and post-crisis periods. In the case of Indonesia, the Indonesian stock market has no impact on the Vietnamese stock market in the pre-crisis and post-crisis periods but during financial crisis, the Indonesian stock market influences the Vietnamese stock market. However, no evidence has been found to demonstrate the influence of the Philippines and Malaysian stock markets on the Vietnamese one in all three periods from 2006 to 2019.

Keywords: contagion; copula; financial crisis; dependence structure.

DOI: 10.1504/IJMP.2022.124590

International Journal of Management Practice, 2022 Vol.15 No.4, pp.445 - 459

Received: 24 Aug 2020
Accepted: 01 Jun 2021
Published online: 29 Jul 2022 *

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