This paper investigates the interdependence between the Vietnamese stock market and other influential stock markets in terms of return linkage and volatility transmission covering the period including pre, during and post the 2008 Global Financial Crisis. A VAR model is used to estimate the...

That asset returns are typically neither independent nor normally distributed is a stylised fact of many financial markets. We examine market returns for a number of emerging Asian nations before and during the Asian crisis and global financial crisis periods and consider how well these are...