Open AccessVolatility spillover from the united states and Japanese stock markets to the Vietnamese stock market: A frequency domain approach
Author(s) -
Le Dinh Nghi,
Nguyen Thi Minh Kieu
Publication year - 2020
Publication title -
panoeconomicus
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.289
H-Index - 14
eISSN - 2217-2386
pISSN - 1452-595X
DOI - 10.2298/pan170428003n
Subject(s) - spillover effect , vietnamese , volatility (finance) , stock market , economics , stock (firearms) , granger causality , financial economics , stock market index , volatility swap , econometrics , forward volatility , monetary economics , volatility smile , implied volatility , macroeconomics , geography , linguistics , philosophy , context (archaeology) , archaeology
Using frequency domain analysis, this paper examines the volatility spillover from the United States and Japanese stock markets to the Vietnamese stock market. Daily data of SP the Granger Causality Test is used to examine volatility spillover; and the test for causality in the frequency domain by Jorg Breitung and Bertrand Candelon (2006) is used to examine the volatility spillover at different frequencies. The empirical results provide two main contributions: (i) there is a significant volatility spillover from the United States to the Vietnamese stock markets, but the evidence of volatility spillover from the Japanese to the Vietnamese stock market is not found; and (ii) the volatility spillover may vary across frequency spectrum bands. To our best understanding, volatility spillover analysis using frequency domain approach was not previously reported in literature.Keywords: Causality, Frequency domain, Spillover, Volatility.JEL: C58, G15.
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