Using the GARCH-in-Mean model, the present paper examines information spillover effects from some large foreign stock markets on the VN-Index. The empirical results indicate that the return rates of VN-Index are influenced by disclosures from some large stock markets in the world, especially from the US stock market. However, the volatility of VN-Index return rate and its risks are not affected by the information spillover effects from such markets. | JED 2012 |91 The Information Spillover Effects of International Stock Markets on the VN-Index - An Empirical Study NGUYỄN HÒA NHÂN Doctor of Philosophy, Đà Nẵng University of Economics nhndhdn@ ĐẶNG TÙNG LÂM Master of Arts, Đà Nẵng University of Economics dangtlam@ ABSTRACT Using the GARCH-in-Mean model, the present paper examines information spillover effects from some large foreign stock markets on the VN-Index. The empirical results indicate that the return rates of VN-Index are influenced by disclosures from some large stock markets in the world, especially from the US stock market. However, the volatility of VN-Index return rate and its risks are not affected by the information spillover effects from such markets. Keywords: Information spillover effect; GARCH; stock market; rates of return; volatility of return rate 92 | Nguyễn Hòa Nhân The Information Spillover Effects 1. RATIONALE The economic globalization has made countries commercially and financially interdependent; and financial markets in the world are getting closer to each other. Such interdependence also implies that the macroeconomic and financial information of a country, especially large ones, can profoundly influence financial markets. Additionally, significant breakthroughs in IT (. the booming of the Internet) has gradually reduced “isolation” of financial markets and enhanced the immediate response of a market to disclosures from others. Such facts lead to correlations among changes in international stock exchanges. There have been numerous researches on the information spillover effect among stock markets in the world as well as in the Asia-Pacific region; such as those of Eun and Shim (1989); Hamao, Masulis and Ng (1990); and Koutmos and Booth (1995). Their researches were based on data collated in developed countries and implied that considerable interrelations between markets caused by the information spillover effect did exist. Those who have .
