Issue: Số 16 - Tháng 6 - 2026Tài chính - Ngân hàng - Bảo hiểm
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Published: August 4, 2026
doi:10.62831/nckh.2026.397.v1
Abstract
This study quantifies and compares the dynamic correlation links and risk spillover mechanisms among five stock markets: the United States (S&P 500), the United Kingdom (FTSE 100), Japan (Nikkei 225), China (Shanghai Composite), and Vietnam (VN-Index). Utilizing daily time-series data across the two contrasting US presidential terms of Donald Trump (2017–2020) and Joe Biden (2021-2024), the paper combines the GARCH(1,1) model, DCC-GARCH, and the Diebold-Yilmaz (2012) variance decomposition approach. Empirical results indicate that the Total Spillover Index (TCI) dropped sharply from 42.43% during the Trump administration to 19.43% under the Biden administration, reflecting a post-pandemic macro-stabilization trend. In both periods, the S&P 500 consistently remained the largest net risk transmitter globally. Conversely, Vietnam (VN-Index) continuously acted as a net risk receiver, highlighting its high vulnerability to policy shocks from major external financial centers, particularly the United States.
Keywords
herding behaviorstockexchange
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