Article info.

ABSTRACT

Received date: 11/04/2016

Accepted date: 30/03/2017

This study is aimed to investigate stock returns volatility of Ho Chi Minh and Ha Noi stock exchanges. The data were collected from the daily stock indexes of Vietnam stock market and nine global stock markets from the State Securities Commission of Vietnam (SSC) and Yahoo Finance website. The Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model was performed to investigate the determinants of the persistence of volatility and volatility spillovers from foreign stock markets.  The results indicated that there were evidences of volatility clustering and persistence of volatility in the two stock exchanges of Vietnam. This study also showed that both Ho Chi Minh and Ha Noi stock exchanges were affected by major stock markets in Asia and the rest of the world. Specifically, Vietnam stock market was mostly influenced by Singapore stock market.

Keywords

GARCH,  persistence, spillovers, stock market, volatility, Vietnam

Cited as: Tin, L., Garcia, Y. T., Dang, N. H., 2017. Stock returns volatility persistence and spillover effects: Empirical evidence from Vietnam. Can Tho University Journal of Science. Vol 5: 39-46.