Estimating Conditional Correlations among Subgroups of Service Sector in Vietnam Stock Exchanges
Keywords:
Conditional Correlations, MGARCH, Service Sector, Vietnam Stock Exchange.
Abstract
The paper explores the time-varying correlations among five subgroups of the service sector i.e., CONSTRUCTION, ENERGY, TECHOLOGY, TRANSPORT and TOURISM, and market index ‘VNINDEX’ in the Vietnam stock exchanges. Two multivariate GARCH models namely the CCC and DCC were employed to examine how closely returns of each pair correlate with each other. The estimates of conditional correlations reveal low to relatively high [0.1958; 0.6720] between the selected indexes, of which the subgroup ‘TECHNOLOGY’ exhibits low correlations with the others, while the remaining subgroups show medium interdependence from each other and relatively high with the market index. Moreover, the estimates of the DCC model show the time-varying patterns in the pair correlation paths among the selected indexes. The findings provide a crucial background for investors, capital investment funds, listed firm owners and market managers in the Vietnam stock exchanges in fore-seeing long-run and short-run investment, portfolio selection and risk management in the selected indexes.
Published
2022-04-10
Section
Research Article
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