SỐ 197 | THÁNG 8/2022
Đo lường hội nhập tài chính của Việt Nam: Bằng chứng thực nghiệm từ mô hình GARCH-DCC
Dương Thị Thùy An, Phan Minh Anh, Phạm Thị Mỹ Châu, Bùi Ngọc Mai Phương, Nguyễn Thị Như Quỳnh, Võ Thiên Trang
Tóm tắt:
Bài nghiên cứu đo lường mức độ hội nhập tài chính theo thời gian của Việt Nam với các thị trường tài chính quốc tế trong giai đoạn 2006–2022. Sử dụng mô hình GARCH-DCC, nghiên cứu cho thấy thị trường cổ phiếu Việt Nam hội nhập với các thị trường cổ phiếu trong khu vực nhiều hơn là đối với các thị trường cổ phiếu quốc tế. Tuy nhiên, mức độ hội nhập vẫn còn khiêm tốn. Thị trường cổ phiếu Việt Nam hội nhập ổn định đối với thị trường cổ phiếu Nhật Bản. Đối với thị trường cổ phiếu Trung Quốc, Việt Nam thể hiện sự hội nhập ngày càng tăng. Đối với các thị trường Mỹ, Pháp, Đức và Anh, Việt Nam thể hiện sự hội nhập biến động theo thời gian nhưng nhìn chung vẫn ở mức thấp. Kết quả nghiên cứu có thể được ứng dụng cho các nhà đầu tư trong việc đa dạng hóa danh mục đầu tư quốc tế và các nhà hoạch định chính sách để có các quyết sách phù hợp nhằm ổn định tài chính.
Tài liệu tham khảo:
- Baele, L., Ferrando, A., Hördahl, P., Krylova, E., Monnet, C. (2004). Measuring financial integration in the euro area. ECB Occasional Paper Series, European Central Bank, 14(14),
- Batten, J. A., Morgan, P. & Szilagyi, P. G. (2015). Time varying asian stock market integration. Singapore Economic Review, 60 (01), 1550006.
- Bauwens, L. & Laurent, S. (2005). A new class of multivariate skew densities, with application to generalized autoregressive conditional heteroscedasticity models. Journal of Business & Economic Statistics, 23(3), 346-354.
- Boubakri, S. & Guillaumin, C. (2015). Regional integration of the East Asian stock markets: An empirical assessment. Journal of International Money and Finance, 57, 136-160.
- Cavoli, T., Rajan, R. S. & Siregar, R. (2004). A survey of financial integration in East Asia: How far? How much further to go. University of Adelaide, 0401.
- Celik, S. (2012). The more contagion effect on emerging markets: The evidence of DCC-GARCH model. Economic Modelling, 29(5), 1946-1959.
- Chiang, T. C., Jeon, B. N. & Li, H. (2007). Dynamic correlation analysis of financial contagion: Evidence from Asian markets. Journal of International Money and Finance, 26(7), 1206–1228.
- Chien, M. S., Lee, C. C., Hu, T. C. & Hu, H. T. (2015). Dynamic Asian stock market convergence: Evidence from dynamic cointegration analysis among China and ASEAN-5. Economic Modelling, 51, 84-98.
- Chuang, I., Lu, J. & Tswei, K. (2007). Interdependence of international equity variances: Evidence from East Asian markets. Emerging Markets Review, 8(4), 311-327.
- Danareksa Research Institute (2004). Toward a regional financial architecture for East Asia. Report commissioned by ASEAN Secretariat.
- Engle, R. (2002). Dynamic Conditional Correlation: A Simple Class of Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models. Journal of Business & Economic Statistics, 20(3), 339-350.
- Engle, R. F. & Sheppard, K. (2001). Theoretical and empirical properties of dynamic conditional correlation multivariate garch. NBER Working Paper, 8554.
- Giampiero, M. G. & Edoardo, O. (2008). Volatility spillovers, interdependence and comovements: a Markov Switching approach. Computational Statistics & Data Analysis, 52(6), 3011-3026.
- In, F., Kim, S., Yoon, J. H. & Viney, C. (2001). Dynamic interdependence and volatility transmission of Asian stock markets: evidence from the Asian crisis. International Review of Financial Analysis, 10(1), 87-96.
- Indika, K., Abbas, V. & Martin, O. B. (2010). Financial crises and international stock market volatility transmission. Australian Economic Papers, 49(3), 209-221.
- Johnson, R. & Soenen, L. (2002). Asian economic integration and stock market comovement. Journal of Financial Research, 25(1), 141-157.
- Kearney, C.& Potì, V. (2006). Correlation dynamics in European equity markets. Research in International Business and Finance, 20(3), 305-321.
- Kim, S., Kim, S. H. & Wang, Y. (2006). Financial integration and consumption risk sharing in East Asia. Japan and the World Economy, 18(2), 143-157.
- Lee, S. J. (2009). Volatility spillover effects among six Asian countries. Applied Economics Letters, 16(5), 501-508.
- Li, Y. & Giles, D. E. (2015). Modelling volatility spillover effects between developed stock markets and Asian emerging stock markets. International Journal of Finance and Economics, 20(2), 155-177.
- Lin, W. L., Engle, R. F. & Ito, T. (1994). Do bulls and bears move across borders? International transmission of stock returns and volatility. The Review of Financial Studies, 7(3), 507-538.
- Plummer, M. G. & Click, R. W. (2005). Bond market development and integration in Asean. International Journal of Finance & Economics, 10(2), 133-142.
- Pukthuanthong, K. & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94(2), 214-232.
- Raju, G. A. & Pavto, V. S. (2019). Stock Market Integration: A Review of Literature from a Global Perspective. IUP Journal of Applied Finance, 25(3).
- Sang, H. K. & Seong, M. Y. (2011). The global financial crisis and the integration of emerging stock markets ian asia. Journal of East Asian Economic Integration, 15(4), 49-73.
- Singh, P., Kumar, B. & Pandey, A. (2010). Price and volatility spillovers across North American, European and Asian stock markets. International Review of Financial Analysis, 19(1), 55-64.
- Tatsuyoshi, M. (2003). Spillovers of stock return volatility to Asian equity markets from Japan and the US. Journal of International Financial Markets, Institutuion and Money, 13(4), 383-399.
- 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.
- World Trade Organisation (2021b). Trade policy review – Report by The Secretariat of World Trade Organisation
- Yarovaya, L., Brzeszczyński, J. & Lau, C. K. M. (2016). Volatility spillovers across stock index futures in Asian markets: evidence from range volatility estimators. Finance Research Letters, 17, 158-166.
- Yilmaz, K. (2010). Return and volatility spillovers among the East Asian equity markets. Journal of Asian Economics, 21(3), 304-313.
- Yu, I. W., Fung, K. P. & Tam, C. S. (2010). Assessing financial market integration in Asia – Equity markets. Journal of Banking & Finance, 34(12), 2874-2885.
- Zhou, X., Zhang, W. & Zhang, J. (2012). Volatility spillovers between the chinese and world equity markets. Pacific Basin Finance Journal, 20(2), 247-270.
Measuring Financial Integration in Vietnam: Empirical Evidence from GARCH-DCC Model
Abstract:
This paper measures the time-varying degree of the financial integration between the Vietnamese stock market and the international stock markets over the period 2006–2022. Using the GARCH-DCC model, the paper shows that the Vietnamese stock market is more integrated with regional stock markets than other international stock markets. However, the degree of financial integration is weak. Among stock markets in our sample, Vietnam appears to integrate relatively stable with the Japanese stock market. Vietnam also displays an increasing in financial integration with the Chinese stock market. To the US, France, Germany, and United Kingdom stock markets, the financial integration is also time-varying, though it remains low on average. The results are relevant for investors to diversify international portfolios and for policymakers to take suitable policies to promote financial stability.