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The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

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  • Le Thi Minh Huong

Abstract

Existing literature does not assess the contagion from emerging Asian stock markets to Vietnam amid the Pandemic. The bivariate VAR and BEKK-GARCH models in this study aim to analyse the return and volatility contagion effects between countries. The main findings reveal Philippine, Singapore, and Thai stocks’ spread on the Vietnam index during the COVID-19 period. The direction from the Vietnam index towards Malaysia and the Philippines is opposite. This conclusion helps investors with more information to diversify their portfolios, minimize risks during the Pandemic.

Suggested Citation

  • Le Thi Minh Huong, 2024. "The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic," Macroeconomics and Finance in Emerging Market Economies, Taylor & Francis Journals, vol. 17(1), pages 78-94, January.
    • Handle: RePEc:taf:macfem:v:17:y:2024:i:1:p:78-94
    DOI: 10.1080/17520843.2021.1993653
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