Which Global Stock Indices Trigger Stronger Contagion Risk in the Vietnamese Stock Market? Evidence Using a Bivariate Analysis

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Kuan-Min Wang; Hung-Cheng Lai;
  • Journal: Panoeconomicus,volume 60,issue 4 June,pages473-497
  • Subject: Vietnamese stock market, Contagion risk, EGARCH model, DCC estimation, Sub-prime mortgage crisis
    • jel: jel:C12 | jel:C22 | jel:F30

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... View more
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