Which global stock indices trigger stronger contagion risk in the Vietnamese stock market? Evidence using a bivariate analysis

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Wang Kuan-Min ; Lai Hung-Cheng (2013)
  • Publisher: Economists' Association of Vojvodina
  • Journal: Panoeconomicus, volume 60, issue 4 June, pages 473-497 (issn: 1452-595X)
  • Related identifiers: doi: 10.2298/PAN1304473W
  • Subject: Sub-prime mortgage crisis | EGARCH model | DCC estimation | Vietnamese stock market | Vietnamese stock market, Contagion risk, EGARCH model, DCC estimation, Sub-prime mortgage crisis | HB1-3840 | Contagion risk | Economic theory. Demography
    • 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 Ch... View more
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