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Trade Relations between Vietnam and Bulgaria: Performance and Its Determinants

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  • Nguyen Chien Thang
  • Tran Thi Mai Thanh

Abstract

Economic cooperation of countries across the world has led to the integration of stock and commodities markets. The group of seven countries (G7) represents the world’s most industrialised and developed economies. In an integrated market, understanding the price discovery mechanism and volatility spillover across markets is crucial for traders, investors and other stakeholders. This paper investigates the return dynamics and volatility Spillover among the stock markets of G7 countries, oil and gold. We apply VAR and GARCH to examine the relationship between the returns and the transmission of volatility between commodities and stock markets. The research is based on the major stock indices of G7 countries for the years between 2009 and 2018. Oil and gold are taken as a proxy for the commodities market. This study begins by examining the cointegration of the stock and commodities market using the Johansen cointegration test. Stochastic volatility models are used to estimate the volatility and its spillover effect. We estimate the volatility spillover index using variance decomposition. The results indicate the presence of an asymmetric volatility spillover effect between the stock and commodities market. The outcome of the study would facilitate the investors and portfolio managers to understand the return dynamics and volatility spillover effect, which is a prerequisite for an investment decision.

Suggested Citation

  • Nguyen Chien Thang & Tran Thi Mai Thanh, 2022. "Trade Relations between Vietnam and Bulgaria: Performance and Its Determinants," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 5, pages 19-32.
    • Handle: RePEc:bas:econst:y:2022:i:5:p:19-32
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    File URL: https://www.iki.bas.bg/Journals/EconomicStudies/2022/2022-5/02_Nguyen-Chien-Thang.pdf
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    References listed on IDEAS

    as
    1. Sabrina Kalinkova, 2021. "Bulgarian economy as a producer of intermediate goods for the European Union," University Economic Bulletin, Hryhorii Skovoroda University in Pereiaslav, Faculty of Financial, Economic and Vocational Education, issue 48, pages 97-102, March.
    2. Prema-chandra Athukorala & Nguyen Trung Kien, 2020. "Transition to a market economy, foreign direct investment and export performance in Vietnam," Departmental Working Papers 2020-22, The Australian National University, Arndt-Corden Department of Economics.
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    More about this item

    JEL classification:

    • C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
    • O51 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - U.S.; Canada
    • O52 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Europe
    • O57 - Economic Development, Innovation, Technological Change, and Growth - - Economywide Country Studies - - - Comparative Studies of Countries
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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