Return and Volatility Spillover Effects between Bond, Stock, Oil, and Gold Markets in Vietnam: Evidence from the Pre- and During the COVID-19 Period

Abstract

This study uses the EGARCH model to examine the return and volatility spillover effects of four financial markets in Vietnam including bonds, stocks, oil, and gold, with data collected from January 2010 to December 2021, divided into subsamples before and during the COVID-19 period. The results uncover bidirectional price spillovers between bond and stock markets in the pre-COVID-19 crisis, while there exist volatility transmissions between these assets during the COVID-19 outbreak. In particular, the highest hedging effectiveness occurs during the COVID-19 spread in the case of gold and stock markets. Our findings are reliable and statistically significant, making them a useful information channel for investors, policymakers, and participants in these markets.