An Application of a TVP-VAR Extended Joint Connected Approach to Investigate Dynamic Spillover Interrelations of Cryptocurrency and Stock Market in Vietnam

IF 1.3 Q3 ECONOMICS

Journal of International Commerce Economics and Policy Pub Date : 2022-09-30 DOI:10.1142/s179399332250017x

To Trung Thanh, Leavitt Ha, N. Huyen, Tran Anh Ngoc

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引用次数: 0

Abstract

In this paper, we employ a time-varying parameter vector autoregression (TVP-VAR) in combination with an extended joint connectedness approach to study interlinkages between the cryptocurrency and Vietnam’s stock market by characterizing their connectedness starting from January 1, 2018, to December 31, 2021. We report that the COVID-19 health shocks impact the system-wide dynamic connectedness, which reaches a peak during the COVID-19 pandemic. Net total directional connectedness suggests that the cryptocurrency market significantly impacts Vietnam’s stock market, especially those with the largest market capitalization like Bitcoin and Ethereum. This market can be held accountable for Vietnam’s stock market volatility. In encountering the COVID-19 pandemic, the effect of the three cryptocurrencies reduced before 2020, around the end of 2019 and the beginning of 2020. However, from the end of 2020–2021, while cryptocurrencies continued their roles as net transmitters for Vietnam’s stock market.

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TVP-VAR扩展联合关联方法在越南加密货币与股票市场动态溢出相互关系研究中的应用

在本文中，我们采用时变参数向量自回归(TVP-VAR)结合扩展的联合连通性方法，通过表征2018年1月1日至2021年12月31日期间的连通性，研究加密货币与越南股市之间的相互联系。我们报告说，COVID-19健康冲击影响了全系统的动态连通性，这种连通性在COVID-19大流行期间达到峰值。净总定向连通性表明，加密货币市场对越南股市产生了重大影响，尤其是比特币和以太坊等市值最大的股市。这个市场可以对越南股市的波动负责。在2019冠状病毒病大流行中，三种加密货币的影响在2020年之前，2019年底前后和2020年初都有所下降。然而，从2020年底到2021年底，加密货币继续充当越南股市的净发射器。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of International Commerce Economics and Policy ECONOMICS-

CiteScore

1.50

自引率

0.00%

发文量

期刊介绍： Journal of International Commerce, Economics and Policy (JICEP) is a peer-reviewed journal that seeks to publish high-quality research papers that explore important dimensions of the global economic system (including trade, finance, investment and labor flows). JICEP is particularly interested in potentially influential research that is analytical or empirical but with heavy emphasis on international dimensions of economics, business and related public policy. Papers must aim to be thought-provoking and combine rigor with readability so as to be of interest to both researchers as well as policymakers. JICEP is not region-specific and especially welcomes research exploring the growing economic interdependence between countries and regions.