Stock returns volatility persistence and spillover effects: Empirical evidence from Vietnam

Abstract

This study aimed to investigate stock returns volatility of the Ho Chi Minh and Ha Noi stock exchanges. The used data in the study were the daily stock indexes of the Vietnam stock market and nine global stock markets from the State Securities Commission of Vietnam (SSC) and Yahoo Finance website, respectively. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model was performed to investigate the determinants of the persistence of volatility and volatility spillovers from foreign stock markets. The results indicated that there are evidences of volatility clustering and persistence of volatility in the two stock exchanges of Vietnam. This study also showed that both Ho Chi Minh and Ha Noi stock exchanges are affected by major stock markets in Asia and the rest of the world. Specifically, the Vietnam stock market is mostly influenced by Singapore stock market.

Keywords

• GARCH
• persistence
• spillovers
• stock market
• volatility
• Vietnam