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

【Author】 To Trung Thanh; Le Thanh Ha; Nguyen Thi Thanh Huyen; Tran Anh Ngoc

【Source】JOURNAL OF INTERNATIONAL COMMERCE ECONOMICS AND POLICY

【影响因子】0.000

【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.

【Keywords】Cryptocurrency; Vietnam's stock market; COVID-19 pandemic; dynamic connectedness; joint connectedness; TVP-VAR

【发表时间】

【收录时间】2022-10-17

【文献类型】实证数据

【主题类别】

区块链治理-市场治理-市场分析