Dependence Structure of the Vietnam Stock Market on the International Stock Market
Background: The deep and broad integration of Vietnam's economy with the world economy brings opportunities and challenges in sustainable economic development. In light of the risk of global financial crises significantly impacting the national economy, implementing a sustainable stock market...
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| Format: | Article |
| Language: | English |
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Department of Mass Communication, University of Nigeria
2025-06-01
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| Series: | Ianna Journal of Interdisciplinary Studies |
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| Online Access: | https://iannajournalofinterdisciplinarystudies.com/index.php/1/article/view/809 |
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| author | Thi Phuong Thao Dang Hoang Thai Hung Phan Thi Hang Nga |
| author_facet | Thi Phuong Thao Dang Hoang Thai Hung Phan Thi Hang Nga |
| author_sort | Thi Phuong Thao Dang |
| collection | DOAJ |
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Background: The deep and broad integration of Vietnam's economy with the world economy brings opportunities and challenges in sustainable economic development. In light of the risk of global financial crises significantly impacting the national economy, implementing a sustainable stock market development strategy has become extremely necessary.
Objective: The goal was to examine the impact of Vietnam's stock market's dependence structure on the international stock market, thereby providing policy implications for a more stable and sustainable development of Vietnam's stock market.
Methodology: This article examines the dependence structure between the Vietnamese stock market and international stock markets, utilising research data collected from January 2007 to December 2024 and employing the Monte Carlo simulation method.
Result: The results show that during the COVID period, the level of dependence of the Vietnamese stock market on the international stock market was higher than in other periods. The results indicate that the selected copula is most appropriate for capturing the dependency structure between the Vietnamese and international stock markets. The article also calculates the value at risk using the Monte Carlo simulation method, demonstrating that an investment portfolio in the Vietnamese stock market under the negative impact of the US market has the highest risk level compared to other markets.
Conclusion: The model demonstrates that the Copula function is suitable for financial market pairs.
Unique Contribution: This study develops an early warning system for the financial market, playing a significant role in helping state management agencies estimate and calculate the likelihood of a crisis, understand the factors that can lead to such a situation, and enable them to react and make appropriate adjustments when the economy undergoes unfavourable changes.
Key Recommendation: Based on the research results, several essential policy implications are proposed to develop an early warning system that also enables state management agencies to assess the impact of macroeconomic policies on the likelihood of a crisis, thereby evaluating the effectiveness of these policies on the stock market.
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| format | Article |
| id | doaj-art-e2a358d28a75464abd8a81b5a2b39e1f |
| institution | OA Journals |
| issn | 2735-9883 2735-9891 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | Department of Mass Communication, University of Nigeria |
| record_format | Article |
| series | Ianna Journal of Interdisciplinary Studies |
| spelling | doaj-art-e2a358d28a75464abd8a81b5a2b39e1f2025-08-20T02:03:27ZengDepartment of Mass Communication, University of NigeriaIanna Journal of Interdisciplinary Studies2735-98832735-98912025-06-0172Dependence Structure of the Vietnam Stock Market on the International Stock MarketThi Phuong Thao Dang0https://orcid.org/0009-0008-6036-1787Hoang Thai Hung 1https://orcid.org/0000-0001-9826-8803Phan Thi Hang Nga 2https://orcid.org/0000-0003-1143-2741University of Finance - Marketing University of Finance - Marketing University of Finance - Marketing Background: The deep and broad integration of Vietnam's economy with the world economy brings opportunities and challenges in sustainable economic development. In light of the risk of global financial crises significantly impacting the national economy, implementing a sustainable stock market development strategy has become extremely necessary. Objective: The goal was to examine the impact of Vietnam's stock market's dependence structure on the international stock market, thereby providing policy implications for a more stable and sustainable development of Vietnam's stock market. Methodology: This article examines the dependence structure between the Vietnamese stock market and international stock markets, utilising research data collected from January 2007 to December 2024 and employing the Monte Carlo simulation method. Result: The results show that during the COVID period, the level of dependence of the Vietnamese stock market on the international stock market was higher than in other periods. The results indicate that the selected copula is most appropriate for capturing the dependency structure between the Vietnamese and international stock markets. The article also calculates the value at risk using the Monte Carlo simulation method, demonstrating that an investment portfolio in the Vietnamese stock market under the negative impact of the US market has the highest risk level compared to other markets. Conclusion: The model demonstrates that the Copula function is suitable for financial market pairs. Unique Contribution: This study develops an early warning system for the financial market, playing a significant role in helping state management agencies estimate and calculate the likelihood of a crisis, understand the factors that can lead to such a situation, and enable them to react and make appropriate adjustments when the economy undergoes unfavourable changes. Key Recommendation: Based on the research results, several essential policy implications are proposed to develop an early warning system that also enables state management agencies to assess the impact of macroeconomic policies on the likelihood of a crisis, thereby evaluating the effectiveness of these policies on the stock market. https://iannajournalofinterdisciplinarystudies.com/index.php/1/article/view/809stock marketpolicy implicationsinternational stock marketVietnam |
| spellingShingle | Thi Phuong Thao Dang Hoang Thai Hung Phan Thi Hang Nga Dependence Structure of the Vietnam Stock Market on the International Stock Market Ianna Journal of Interdisciplinary Studies stock market policy implications international stock market Vietnam |
| title | Dependence Structure of the Vietnam Stock Market on the International Stock Market |
| title_full | Dependence Structure of the Vietnam Stock Market on the International Stock Market |
| title_fullStr | Dependence Structure of the Vietnam Stock Market on the International Stock Market |
| title_full_unstemmed | Dependence Structure of the Vietnam Stock Market on the International Stock Market |
| title_short | Dependence Structure of the Vietnam Stock Market on the International Stock Market |
| title_sort | dependence structure of the vietnam stock market on the international stock market |
| topic | stock market policy implications international stock market Vietnam |
| url | https://iannajournalofinterdisciplinarystudies.com/index.php/1/article/view/809 |
| work_keys_str_mv | AT thiphuongthaodang dependencestructureofthevietnamstockmarketontheinternationalstockmarket AT hoangthaihung dependencestructureofthevietnamstockmarketontheinternationalstockmarket AT phanthihangnga dependencestructureofthevietnamstockmarketontheinternationalstockmarket |