* Journal No. 84 (2016) - Code: 230
* Authors: Nguyen Phuc Canh, Phan Gia Quyen, Ha Thi My Duyen
This paper examines the spillover effects of Chinese stock market to 6 Asean stock markets including Indonesia, Malaysia, Phillipines, Singapore, and Vietnam in the period of 2005 – 2015. By applying Vector autoregression model, impulse response function, and variance decomposition for the daily time series, the results show that the Chinese stock market has spillover effects to 6 Asean stock markets, and its lags from 2 to 3 days.
Keywords: stock market, spillover effects, China, Asean.