Bitcoin and Vietnam Stock Markets: Evidence from COVID-19 and Russia-Ukraine Crises
DOI:
https://doi.org/10.24311/jabes/2023.34.6.2Keywords:
DECO-GARCH, Bitcoin, Stock Markets, Vietnam, COVID–19, Russia-UkraineAbstract
This study aims to explore the return spillover effects between Bitcoin and stock markets in Vietnam during the COVID-19 and Russia-Ukraine crises. By doing so, the authors employ the DECO-GARCH model and spillover index proposed by Diebold and Yilmaz (2014). Empirical analysis uncovers that there exists a time-varying equicorrelation between Bitcoin and stock market returns during the sample period. In addition, the price spillover effects between Bitcoin and Vietnam stock markets have a high level of 48%, which implies that there is a significant connectedness between these time series. These results have important implications for investors and market participants.
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