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.