Dynamic spillover effect and hedging between the gold price and key financial assets. New evidence from Vietnam

ABSTRACT

This study investigates the interlinkage of gold markets and Vietnamese asset classes at multiple investment horizons using a hybrid wavelet-based VAR-GARCH-BEKK approach. The findings show that the spillover effects between time series are time-varying across various wavelet scales in terms of direction and strength. The connectedness for various market pairs is weak in the short run but eventually strengthened towards the long run. We also analyse the multiscale behaviour of hedge ratio for optimal portfolio allocation decisions, which decompose volatility spillovers, allowing investors to adapt their hedging strategies.

KEYWORDS:

• Vietnam
• stock market
• foreign exchange rates
• optimal hedge ratio
• multiscale analysis
• volatility spillover

JEL:

• C32
• C18
• G32

Acknowledgments

The author thanks editor and anonymous reviewers for helpful comments and suggestions. I gratefully acknowledge the support of University of Finance-Marketing under grant number CS-44-20.

Authors’ contributions

NTH conceived of the study, carried out drafting the manuscript.

Data availability statement

Please contact author for data and program codes requests. Data is obtained from Bloomberg and R & Rats are used to organize data.

Disclosure statement

No potential conflict of interest was reported by the author(s).

Additional information

Funding

The author received no financial support for the research, authorship and/or publication of this article.

Notes on contributors

Ngo Thai Hung

Ngo Thai Hung graduated PhD in Finance at Corvinus University of Budapest, Hungary. Currently, he works as a lecturer in Finance at University of Finance-Marketing, Ho Chi Minh, Vietnam, where he delivers different finance and economic-related courses. His interest research is primarily concentrated on the market integration and the non-linear dynamics of financial prices. He also concerns about macroeconomics, economic and sustainable development. He has published many research papers in refereed journals.