無

This thesis investigates the interdependence relationship between the Vietnam stock market and other advanced equity markets, including Taiwan and US during the period from 2000 to 2019. An ARIMA-GARCH model is used to capture the volatility transmissions and a VAR model is used to describe the returns linkage. I find statistical evidence that the Vietnam stock market is partially affected by its past performance and strongly affected by performance of US market, while there is little association between Vietnam and Taiwan stock markets.

Ahmad, N., Ahmed, A. A., Yveinhardt, Y., Streimikienec, D. (2016) “Empirical analysis of stock returns and volatility: Evidence from Asian stock markets”, Technological and Economic Development of Economy, Vol. 22(6): 808–829.
Chancharoenchai, K. & Dibooglu, S. (2006) “Volatility Spillovers and Contagion During the Asian Crisis. Evidence from Six Southeast Asian Stock Markets”, Emerging Markets Finance and Trade, Vol. 42, No. 2, pp. 4–17.
Chao, S. W. (2019) “The Role of US Variables in Long-Run and Short-Run Taiwan Stock Volatility”, Emerging Markets Finance & Trade, 55:1153–1170.
Coghlan, A. “A Little Book of R for Time Series”. a-little-book-of-r-for-time-series.readthedocs.io/en/latest/. Accessed on February 1st, 2019.
Elton, E. J. & Gruber, M. J. (1997) “Modern Portfolio Theory, 1950 to Date”, New York University, Stern School of Business, Finance Department, Working paper series.
Green, S. (2011) "Time Series Analysis of Stock Prices Using the Box-Jenkins Approach", Electronic Theses & Dissertations. Paper 668.
Hyndman, R.J., & Athanasopoulos, G. (2018) “Forecasting: principles and practice”, 2nd edition, OTexts: Melbourne, Australia. OTexts.com/fpp2. Accessed on December 1st, 2018.
James, G., Witten, D., Hastie, T. & Tibshirani, R. “An introduction to Statistical Learning with Applications in R”, 2013.
Koima, J.K, Mwita, P.N & Nassiuma, D.K (2015) “Volatility Estimation of Stock Prices using Garch Method”, European Journal of Business and Management, Vol.7, No.19.
Kunt, A. D. and Maksimovis, V. (1996) “Stock Market Development and Financing Choices of Firms”, The World Bank Economic Review, Vol. 10, Issue 2, pp. 341–369.
Lupi, C. (2009) “Unit Root CADF Testing with R”, Journal of Statistical Software, 32(2), 1--19. http://www.jstatsoft.org/v32/i02/
Luu, T. T. (2011) “The relationship between the United States and Vietnam stock markets”, The International Journal of Business and Finance Research, Vol. 5, No. 1.
Malik, A., Tran, M. H, Abumustafa, N. I., & Jamal, A. (2018) “Examining the integration between Vietnamese stock market and markets from US, UK, China, Japan and ASEAN”, International Journal of Developing and Emerging Economies, Vol.6, No.2, pp.21-38.
Nguyen, T. T. D., Rainey, I. D. and Gregoriou, A. (2012) “Financial Development and the Determinants of Capital Structure in Vietnam”. Available at http://dx.doi.org/10.2139/ssrn.2014834.
Nist/Sematech e-Handbook of Statistical Methods, "Introduction to Time Series Analysis". Accessed on March, 2019.
Schmidt, Dr. “Autoplot: Graphical Methods with ggplot2”. Wrathematics, my stack runneth over. Accessed on March, 2019.
Wooldridge, J. M. “Introductory Econometrics. A modern approach”, 6th edition, 2016.
Vo, X. V. & Ellis, C. (2018) “International financial integration: Stock return linkages and volatility transmission between Vietnam and advanced countries”, Emerging Markets Review, 36, 19-27.
Xiao, L. & Dhesi, G. (2010) “Volatility spillover and time-varying conditional correlation between the European and US stock markets”, Global Economy and Finance Journal, Vol.3, No. 2., pp. 148–164.
Yang, J. & Bessler, D. A (2008) “Contagion around the October 1987 stock market crash”, European Journal of Operational Research, 184, 291–310.