The Information Spillover Effects of International Stock Markets on the VN-Index - An Empirical Study

Abstract

Using the GARCH-in-Mean model, the present paper examines information spillover effects from some large foreign stock markets on the VN-Index. The empirical results indicate that the return rates of VN-Index are influenced by disclosures from some large stock markets in the world, especially from the US stock market. However, the volatility of VN-Index return rate and its risks are not affected by the information spillover effects from such markets.http://jabes.ueh.edu.vn/Home/SearchArticle?article_Id=0818c6c3-a4c7-4c76-93a5-6eec2f72fbc6