Dependence between Chinese stock market and Vietnamese stock market during the Covid-19 pandemic

Abstract

The study aims to investigate the tail dependence between Chinese stock market and Vietnamese stock market in the context of the Covid-19 pandemic. Using the data on the Ho Chi Minh City Stock Exchange (VNI) and the Shanghai Stock Exchange (SSEC) representing for Vietnam and China stock markets, the study reveals the tail dependence across three periods including: pre-pandemic, during the chaos of the pandemic, and the period of adaptation to the pandemic. Using the copula method including Normal, Clayton, Plackett, Frank, Student, Symmetrised Joe-Clayton copulas, the research results confirm that there is no dependent relationship between the stock market between the two countries in the pre-pandemic. During the pandemic, the Vietnamese stock market is heavily dependent on Chinese stock market, especially the upper tail dependence. During the period of adaptation to the pandemic, this dependence relationship still exists but less than that in the pandemic.

Abstract

Copula; Covid-19 pandemic; Dependence structure; Stock market