Volatility spillover from the us stock market to Vietnamese stock market

Abstract

This paper examines the volatility spillovers from US to Vietnamese stock markets. Daily data of S&P 500 and VN-Index from 01/01/2012 to 31/12/2015 is used. In term of estimation, GARCH model is used to estimate volatilities in these stock markets, and Granger Causatility Test is used to examine volatility spillover. The empirical results show that there is a significant spillover from US to Vietnamese stock markets.