Title: Is Bitcoin a risky investment compared to the stock market of Vietnam?

Authors: Lê Văn

Addresses: UEH College of Technology and Design, University of Economics Ho Chi Minh City (UEH University), 59C Nguyen Dinh Chieu Street, Ward 6, District 3, Ho Chi Minh City, Vietnam; School of Finance, UEH College of Business, University of Economics Ho Chi Minh City (UEH University), 59C Nguyen Dinh Chieu Street, Ward 6, District 3, Ho Chi Minh City, Vietnam

Abstract: In this study, we investigate the relationship between VN Index and Bitcoin based on the multivariate GARCH framework with the dataset of return series from 13 October 2013 to 29 April 2021. We find that the interactions are best explained under the VARMA mechanism, which constantly reveals the return and volatility spillovers effect between the two financial assets. Our estimations reveal a significantly positive correlation between VN Index and Bitcoin returns, which imply the diversifier role of the cryptocurrency. We assess the stock-coin portfolio under COVID-19 impacts and clarify that Bitcoin is consistently a risky investment compared the stock market of Vietnam. Indeed, the optimal holding weight of Bitcoin is approximately 5%. This finding reflects two socio-economic trends of Vietnam, those are, post-COVID policies and the digital transformation era. The findings imply recommendations on the enhancement of digital financial markets in pursuit of sustainable development goals.

Keywords: Bitcoin; Vietnam stock market; COVID-19.

DOI: 10.1504/IJEPEE.2024.138489

International Journal of Economic Policy in Emerging Economies, 2024 Vol.19 No.2, pp.141 - 158

Received: 18 Oct 2021
Accepted: 30 Dec 2021
Published online: 07 May 2024 *

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