Return and Volatility Spillover Effects between Bond, Stock, Oil, and Gold Markets in Vietnam: Evidence from the Pre- and During the COVID-19 Period
Main Article Content
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.
Keywords:
Bond, stock, oil, gold, EGARCH, Vietnam. *
References
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Tiwari, A. K., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85-91.
Yousaf, I., & Ali, S. (2021). Linkages between stock and cryptocurrency markets during the COVID-19 outbreak: An intraday analysis. The Singapore Economic Review, 1-20.
Akhtaruzzaman, M. et al. (2021). Is gold a hedge or a safe-haven asset in the COVID-19 crisis? Economic Modelling, 102, 105588.
Benlagha, N., & El Omari, S. (2021). Connectedness of stock markets with gold and oil: New evidence from COVID-19 pandemic. Finance Research Letters, 102373.
Bouri, E. et al. (2017). Cointegration and nonlinear causality amongst gold, oil, and the Indian stock market: Evidence from implied volatility indices. Resources Policy, 52, 201-206.
Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of forecasting, 28(1), 57-66.
Dutta, A. et al. (2020). COVID-19 and oil market crash: Revisiting the safe haven property of gold and Bitcoin. Resources Policy, 69, 101816.
Ha Anh, Q. (2015). The impact of macroeconomic variables on Vietnam stock market. Doctoral dissertation, HCMC-International University.
Hung, N. T. (2021). Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam. Macroeconomics and Finance in Emerging Market Economies, 1-31.
Junttila, J. et al. (2018). Commodity market based hedging against stock market risk in times of financial crisis: The case of crude oil and gold. Journal of International Financial Markets, Institutions and Money, 56, 255-280.
Kyriazis, Ν. A. (2021). Investigating the nexus between European major and sectoral stock indices, gold and oil during the COVID-19 pandemic. SN Business & Economics, 1(4), 1-12.
Liao, J., Zhu, X., & Chen, J. (2021). Dynamic spillovers across oil, gold and stock markets in the presence of major public health emergencies. International Review of Financial Analysis, 77, 101822.
Koutmos, G., & Booth, G. G. (1995). Asymmetric volatility transmission in international stock markets. Journal of International Money and Finance, 14(6), 747–762.
Maghyereh, A. I. et al. (2017). Volatility spillovers and cross-hedging between gold, oil and equities: Evidence from the Gulf Cooperation Council countries. Energy Economics, 68, 440-453.
Ma, R. et al. (2021). Hedging stock market risks: Can gold really beat bonds? Finance Research Letters, 42, 101918.
Mensi, W. et al. (2020). Impact of COVID-19 outbreak on asymmetric multifractality of gold and oil prices. Resources Policy, 69, 101829.
Mensi, W. et al. (2021). Asymmetric spillover and network connectedness between crude oil, gold, and Chinese sector stock markets. Energy Economics, 98, 105262.
Nelson, D. B. (1991). Conditional heteroskedasticity in asset returns: A new approach. Econometrica: Journal of the Econometric Society, 59(2), 347–370.
Prabheesh, K. P. et al.(2020). COVID-19 and the oil price–stock market nexus: Evidence from net oil-importing countries. Energy Research Letters, 1(2), 13745
Singhal, S. et al. (2019). Return and volatility linkages among International crude oil price, gold price, exchange rate and stock markets: Evidence from Mexico. Resources Policy, 60, 255-261.
Tiwari, A. K., & Sahadudheen, I. (2015). Understanding the nexus between oil and gold. Resources Policy, 46, 85-91.
Yousaf, I., & Ali, S. (2021). Linkages between stock and cryptocurrency markets during the COVID-19 outbreak: An intraday analysis. The Singapore Economic Review, 1-20.