Search

AbstractWe evaluate the counterparty risk of kth-to-default credit-linked notes (CLN) with contagion risk under a Markov chain model. Assume that the interest rate follows a Cox-Ingersoll-Ross (CIR) process and both internal and external risks are taken into account in the context of contagion risk. We characterize the value of the kth-to-default CLN as a unique solution to a system of partial differential equations (PDE), each of which is associated with a default or shock realization state. Furthermore, the credit value adjustment (CVA) of the note with counterparty risk is also derived. Numerical simulations are conducted to show the effects of the correlated default risk on the kth-to-default CLN values and their CVAs. [ABSTRACT FROM AUTHOR]

We evaluate the exposure of Italian regions to employment and the health risk associated with the spread of COVID-19. First, we estimate the degree of participation of Italian regions in a plurality of value chains linked to consumption, investment and exports. Second, we investigate the different levels of contagion risk associated with each value chain and the possibility of reducing such risk through remote work. We find that regions are affected differently by lockdown policies because of their highly heterogeneous embeddedness in different value chains, and their diverse sectoral contributions to each of them. [ABSTRACT FROM AUTHOR]

The financial system and its components are of interest to economists, researchers and practitioners in the field of banking finance. In Romania more than 77% of the total assets of the financial system are represented by the banking component. Based on this evidence, the paper is an empirical analysis of the evolution of the volume and structure of banking assets in Romania in the period 2020-2023. By analysing the share of foreign versus domestic capital, we also wanted to draw attention to a possible risk of contagion, as external factors have emerged in recent years and are currently affecting the economic and financial balance. The motivation for this paper comes from the fact that the structure and share of foreign capital in the Romanian banking system shows how sensitive the system is to contagion risk. In the current period, when international events are happening rapidly, the study is timely.

AbstractThis study aims to investigate the dynamics of contagion and its impact on firms, specifically focusing on how a rival’s failure to control an event can have adverse consequences for other firms. Through a comprehensive analysis of relevant theories, literature, and real-world cases, the study identifies key factors that contribute to the contagion process and proposes a framework for assessing the associated risk. The research highlights the crucial role of stakeholders in mediating the effects of rivals’ misfortunes on other firms and emphasizes how stakeholders’ identities shape their risk evaluations, thereby affecting the occurrence of contagion. This study contributes to the existing literature by providing a conceptualization of the contagion process and introducing the concept of “stakeholder identity” within the context of organizational and operational risk management. The findings offer practical insights to firms by emphasizing the significance of contagion risk, which is often overlooked in operational risk management strategies. Additionally, the study provides valuable guidance on how firms can effectively assess their vulnerability to contagion, enabling them to proactively manage and mitigate their risk.

Ensuring good indoor air quality in the spaces within educational centres is essential for the health and academic performance of students. In this sense, studying the evolution of health pollutants and their relationship with the environmental parameters of indoor humidity and temperature presents a challenge for the design of more efficient and comfortable buildings with a lower risk of virus infection. In this work, the relationship between pollution levels and SARS-CoV-2 virus infections in the academic year 2021/22 is shown, comparing the pollution values measured on-site with the value of the official measuring stations of the Community of Madrid. In addition, the impact of ventilation measures implemented during this period is assessed, aiming to establish guidelines for ensuring a safer and healthier school environment. It was found that during winter months, when there is less outdoor ventilation, pollution levels exceeded the recommended limits, according to reference regulations. This highlights the need for interior conditioning strategies in educational spaces. Thus, this multidimensional approach, considering both airborne pollutants and weather conditions, provides a comprehensive perspective on indoor air quality in school buildings in the central area of a metropolitan city, such as the Community of Madrid. [ABSTRACT FROM AUTHOR]

The financial system and its components are of interest to economists, researchers and practitioners in the field of banking finance. In Romania more than 77% of the total assets of the financial system are represented by the banking component. Based on this evidence, the paper is an empirical analysis of the evolution of the volume and structure of banking assets in Romania in the period 2020-2023. By analysing the share of foreign versus domestic capital, we also wanted to draw attention to a possible risk of contagion, as external factors have emerged in recent years and are currently affecting the economic and financial balance. The motivation for this paper comes from the fact that the structure and share of foreign capital in the Romanian banking system shows how sensitive the system is to contagion risk. In the current period, when international events are happening rapidly, the study is timely. [ABSTRACT FROM AUTHOR]

This paper uses an agent‐based model to construct an interbank network for the Chinese interbank market using a sample of 299 commercial banks from 2014 to 2019. We analyze the importance and vulnerability of banks using the DebtRank algorithm. Our results show that the Chinese interbank market bears a certain level of systemic risk, especially among lower‐tiered banks. The results also show a bank is more vulnerable if it has a higher interbank lending ratio and greater financial connectivity. Meanwhile, a bank is more influential if it has a larger net worth and greater financial connectivity. [ABSTRACT FROM AUTHOR]

This paper investigates the effects of rule-based prudential policies on the banks competition in the deposit market. Using the imperfect competition structure and focusing on heterogeneous banks, we develop a partial equilibrium model, under which implications of how capital adequacy ratio regulation is implemented either discriminatory between banks (micro) or non-discriminatory and uniformly for all banks (macro) will be analyzed. Among the features that are emphasized in this analytical model is the role of self-regulation of bank capital in building confidence in the banking network in a non-linear manner. This, in a range of capital adequacy ratios, has featured the use of that prudential policy tool as a self-defeating one for the policymaker's goal in curbing the portion of high-risk projects in the targeted bank's assets portfolio. Further, a channel to explain the role of monetary policy in establishing stability or fragility of the banking network is introduced. In particular, the role of investors' degree of risk aversion in motivating banks to set their monitoring efforts has been evaluated.

Ensuring good indoor air quality in the spaces within educational centres is essential for the health and academic performance of students. In this sense, studying the evolution of health pollutants and their relationship with the environmental parameters of indoor humidity and temperature presents a challenge for the design of more efficient and comfortable buildings with a lower risk of virus infection. In this work, the relationship between pollution levels and SARS-CoV-2 virus infections in the academic year 2021/22 is shown, comparing the pollution values measured on-site with the value of the official measuring stations of the Community of Madrid. In addition, the impact of ventilation measures implemented during this period is assessed, aiming to establish guidelines for ensuring a safer and healthier school environment. It was found that during winter months, when there is less outdoor ventilation, pollution levels exceeded the recommended limits, according to reference regulations. This highlights the need for interior conditioning strategies in educational spaces. Thus, this multidimensional approach, considering both airborne pollutants and weather conditions, provides a comprehensive perspective on indoor air quality in school buildings in the central area of a metropolitan city, such as the Community of Madrid.

We study whether ESG investing may mitigate the risk of contagion among equity mutual funds. More precisely, we measure the impact of fire-sale spillover, propagating throughout the financial system, on funds ranked on ESG aspects. We compare the relative loss of capitalization experienced by high- and low-ranked funds. Contagion, which is indirect since funds are not exposed to counterparty risk, is modeled using a network structure. In cases of deleveraging from funds, fire-sale spillover propagates throughout the network because of common asset holdings among funds. We find that funds' vulnerability to contagion decreases when the level of ESG compliance increases. Moreover, the average relative loss is lower for the high-ranked funds than for the low-ranked ones. The small-size funds mainly drive the result. Our findings indicate that contagion is less effective for high-ranked funds. From a macroeconomic perspective, ESG investing represents a new opportunity for diversification that makes the system more resilient to contagion. [ABSTRACT FROM AUTHOR]

We examined co-movement between green bonds and triple-A government bonds during December 2008–November 2019. We determined that two markets followed the heavy tail dependence using Student's t-copulas. Using transfer entropy, further evidence was obtained for the causal relationship between the two markets, which was described by three categories such as 'no effect,' 'mono-direction,' and 'bi-direction'; this relationship indicated the sender and the receiver of return shocks on these markets. Our results highlight the presence of contagion risk between green bonds and prime government bonds, which has practical implications for risk management. [ABSTRACT FROM AUTHOR]

The euro area crisis was characterised by a negative feedback loop between banks and sovereigns. The paper aims to indicate the genesis of this phenomenon and to determine the scale of its operation during the crisis and post-crisis conditions, as well as to identify the threats it brings. In addition, the paper discusses the actions that have been taken so far at the euro area level to reduce the feedback loop and the existing challenges in this area. The following hypothesis has been formulated: in the post-crisis conditions the euro area remains vulnerable to the sovereign-bank nexus, which in particular stems from the very legacy of the crisis, bank-based financial system, as well as incomplete reforms of the euro area institutional architecture. The research methods include data selection and evaluation as well as descriptive statistics. The main contribution of the study stems from the adoption of a post-crisis perspective and the assessment of the loop with the use of the most recent data and in relation to the crisis period. The results show that in the post-crisis period, a reduction in interconnectedness has been observed, although it has not been evenly experienced by all euro area countries. At the same time, despite some progress in recent years, institutional reforms aimed at breaking the sovereign-bank nexus are far from complete.

Writing non-negative equity guarantees (NNEGs) is the main method used to deal with the risks of equity release products in the United Kingdom. The existing empirical literature indicates the potential for contagion of interregional and international house prices, but no studies have modeled these contagion effects. This paper applies a Merton-jump-diffusion model to propose a general model to investigate the impacts of house price contagion on the valuation of NNEGs. We derive a closed-form solution for the price of NNEGs and use an analytic formula to investigate contagion effects on NNEGs efficiently. This research establishes that ignoring the contagion effects of house prices can lead to underestimating of the value of NNEGs. Treating the contagion effect is critical for valuing NNEGs, in light of the development of equity release products. [ABSTRACT FROM AUTHOR]

The aim of this study is to theoretically investigate the role of the bank deposit market structure in how effective micro and macro prudential policies in determining the regulatory capital of banks in combination with monetary policy. To achieve this, a partial equilibrium analytical framework has been developed that includes rational economic entities and the possibility of contagion risk in the banking system in order to achieve more explicit and tangible results. In general, it will be shown that the imperfect structure of the bank deposit market as a policy transmission channel (which is less considered in the literature) can significantly change the micro and macro implications of such policies. Specifically, the effects of these policies on allocation and stabilization efficiency will be followed in terms of the types of conceivable equilibria for deposit rates, expected net returns, expected markup, and the level of expected effort of banks operating in the banking system. Expected markup capital elasticity of banking system smaller than one at the micro and macro levels play a special role in prudential policies. Each bank interactively with other banks would shape its solutions and expectations towards upcoming states of the economy (in so doing customizing its balance sheet asset side) along with key determinants for its solvency in respecting its financial obligations to depositors and whereby touching depositors’ confidence in its performance so hard that seizing utmost share in deposit market by bidding appropriate deposit rate. The deposit rate together with the level of monitoring efforts would further hit banking sector contagion risk drawing in its associated externalities and under well-defined conditions could expose the banking system to higher fragility. [ABSTRACT FROM AUTHOR]

The spatial dimension of risks associated with Covid-19 has triggered the need to explore the socio-territorial structures that influence contagion and mortality vulnerability, in response to research shortcomings identified by the literature. This research thus seeks to identify the territorial mosaic of contagion and mortality risks by Covid-19, describing the different vulnerability profiles that arise across Mainland Portugal. The variability of vulnerability, at the local level, supports the decision to analyse them at the municipal scale. This also contributes to inform policies aimed at preventing and mitigating the risks of contagion and death, given the areas in which the situations identified as potentially enhancing these risks occur. As such, following the analysis of territorial contagion and mortality risk profiles, we develop a scenario that identifies three territorial vulnerability profiles that, in view of the risks, need differentiated policies. [ABSTRACT FROM AUTHOR]

Copyright of Comparative Economic Research is the property of Wydawnictwo Uniwersytetu Lodzkiego and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)

This paper studies the dynamic propagation mechanisms of systemic risk shocks within and across macrosystems of governments and financial institutions. We propose a novel approach to identify relevant systemic shocks and to classify them into sovereign or banking categories. We find that sovereign shocks have a significant and persistent impact on the probability of a collective banking default. We also explore channels through which these shocks propagate and identify how sovereign fiscal fragility and banking exposure are relevant mechanisms of shock transmission. This paper was accepted by Gustavo Manso, finance. [ABSTRACT FROM AUTHOR]

This study endeavours to shed some light on the Contagion risk in the Vietnamese banking system. In so doing, we analyse the contagion risk through stock returns on listed commercial banks by employing non-parametric and Copula approaches. A rich set of empirical approaches are employed, including non-parametric (Chi-plots, Kendall-plots) and parametric Copula estimations to define the dependence structure of pairs of daily returns, balanced by a total of 36 copulas with 17,456 observations over the period from July 2006 to September 2017. Our results show that the risk of each individual bank may transmit to other banks through stock returns, which are reflected in their price information. The results also suggest existence of contagion risk and strong dependency in the structure of stock returns of banks under analysis. As a consequence, to avoid negative returns for the portfolio, careful diversification is required while investing in the Vietnamese banking sector, when showing a Clayton relationship (left-tail dependency). Our findings have profound implications for investors, policymakers and authorities responsible for financial stability. [ABSTRACT FROM AUTHOR]

In this paper, we introduce a new large family of Lévy-driven point processes with (and without) contagion, by generalising the classical self-exciting Hawkes process and doubly stochastic Poisson processes with non-Gaussian Lévy-driven Ornstein–Uhlenbeck-type intensities. The resulting framework may possess many desirable features such as skewness, leptokurtosis, mean-reverting dynamics, and more importantly, the 'contagion' or feedback effects, which could be very useful for modelling event arrivals in finance, economics, insurance, and many other fields. We characterise the distributional properties of this new class of point processes and develop an efficient sampling method for generating sample paths exactly. Our simulation scheme is mainly based on the distributional decomposition of the point process and its intensity process. Extensive numerical implementations and tests are reported to demonstrate the accuracy and effectiveness of our scheme. Moreover, we use portfolio risk management as an example to show the applicability and flexibility of our algorithms. [ABSTRACT FROM AUTHOR]

Contagion has been one of the most widely studied and challenging problems in recent economic research. This paper aims at capturing the main impact of contagion risk of the U.S. on foreign direct investment inflows in 18 emerging countries. To quantify the degree of contagion, the time-varying tail dependence copula is employed. Then, the Granger causality test and time series regression analysis are used to investigate the temporal and contemporaneous effects of contagion risk on investment inflows, respectively. Overall, the results confirm the time-varying contagion effects of the U.S. economy on 18 emerging economies. The size of contagion effects gradually increases for all countries, except Thailand, the Philippines, Argentina, and Chile. Furthermore, the results of the Granger causality test and regression reveal that temporal and contemporaneous effects of contagion risk on investment inflows exist in 8 out of 18 countries.

• We propose a distress measure for national banking systems that incorporates banks' CDS spreads as well as multiple financial linkage types. • The measure is based on a tensor decomposition method that extracts an adjacency matrix from a multi-layer network. • We measure banks' foreign exposures from the BIS international banking statistics. • We develop a new network centrality measure that can be interpreted in terms of a banking system's credit risk or funding risk. We propose a distress measure for national banking systems that incorporates not only banks' CDS spreads, but also how they interact with the rest of the global financial system via multiple linkage types. The measure is based on a tensor decomposition method that extracts an adjacency matrix from a multi-layer network, measured using banks' foreign exposures obtained from the BIS international banking statistics. Based on this adjacency matrix, we develop a new network centrality measure that can be interpreted in terms of a banking system's credit risk or funding risk. [ABSTRACT FROM AUTHOR]

The article discusses quantitative methods of assessing systemic risk of the financial sector and the possibilities of their practical application. Systemic risk, which is manifested in the failure of financial services provision and deterioration of the financial system, is a complex concept that can be realized in several forms: the risk of infection, exogenous shock, leading to a simultaneous decline in all financial institutions, and the risk of «financial fragility accumulation". The main causes of the imbalances in the system are unjustified loose standards of risk assessment during economic booms, procyclical behavior of economic agents and asymmetric information. The spread of the risk is associated with the financial accelerator mechanism. Realization of systemic risk in the financial sector leads to serious negative consequences for the real sector not only in the national economy, but also abroad. Quantitative methods of risk assessment provide national authorities with useful information for macroprudential supervision aimed at maintaining financial stability. At the same time it is very important that the data used by the regulator is accurate and reliable. After 2008 crisis, a large number of qualitative approaches appeared, but they all reflect only certain aspects of the risk. The article focuses on stress tests, early-warning indicators, network models, VaR- methods and specific indices. According to research, different assessment methods produce different results. In addition, due to insufficient statistical database existing models are good at predicting crises with hindsight, but cannot identify stressful episodes ex-ante. Thus model results should be treated with caution and require further scrutiny. To get a holistic understanding of the systemic risk regulating authorities should apply different quantitative methods together with qualitative approaches and expert judgement.

This paper studies the structural tail dependence and contagion risk especially in high volatility state between domestic (Taiwanese) and foreign banks. Aptly the two-state threshold copula GARCH provides the threshold regression and copulas to classify the actual volatility index into a high or in a low state and estimate the structural tail dependences using Kendall taus to probe the co-movement among banks. In high volatility state, the average Kendall taus and value at risk as well as expected shortfall are about two times larger than in low volatility state. The asymmetric jumps of Kendall taus appear more frequent in the subprime crisis whereas the symmetric trends of Kendall taus appear higher in Greek debt crisis. Among three copula models in low volatility state, Gaussian and Student-t copula models have established a more significant estimate than the Clayton copula model. However, in high volatility state, Clayton copula model could still produce an acceptable estimate. Empirically, using Clayton copula in high volatility state has demonstrated clearly intensive tail jumps capable to distinguish the contagion risk. [ABSTRACT FROM AUTHOR]

The recent European sovereign debt crisis clearly illustrates the importance of measuring the contagion effects of bank failures. Indeed, to better understand and monitor contagion risk, the European Central Bank has assumed the supervision of the largest banks in each of the member states. We propose a measure of contagion risk based on the spatial autocorrelation parameter of a binary spatial autoregressive model. Using different specifications of the interbank connectivity matrix, we estimate the contagion parameter for banks within the Eurozone, between 1996 and 2012. We provide evidence of high levels of systemic risk due to contagion during the European sovereign debt crisis. [ABSTRACT FROM AUTHOR]

Analysis of contagion continues to attract growing interest from both regulatory authorities and the academic world and we are witnessing the development of analytical approaches for assessing the risk of contagion in the interbank market. Indeed, given its role in financial stability and monetary policy, the Central Bank must be able to accurately determine the level of international vulnerability associated with various scenarios for cross-border contagion, both to prevent than to manage situations systemic crises. The purpose of this study is to assess the risk of cross-border contagion of the Moroccan banking system through the data of the "BIS". The methodology is to first approximate the gross bilateral exposures using data from the banks' financial statements. Then simulations based on contagion algorithm integrating counterparty risk are conducted to assess the risk of contagion. Also centrality of indicators and measurement of systemic importance are presented. The results were synthesized in indicators to assess the systemic importance of the French banking system internationally to Morocco; the fall of the latter is a significant risk of contagion. [ABSTRACT FROM AUTHOR]

We introduce a bivariate Markov chain counting process with contagion for modelling the clustering arrival of loss claims with delayed settlement for an insurance company. It is a general continuous-time model framework that also has the potential to be applicable to modelling the clustering arrival of events, such as jumps, bankruptcies, crises and catastrophes in finance, insurance and economics with both internal contagion risk and external common risk. Key distributional properties, such as the moments and probability generating functions, for this process are derived. Some special cases with explicit results and numerical examples and the motivation for further actuarial applications are also discussed. The model can be considered a generalisation of the dynamic contagion process introduced by Dassios and Zhao (2011).

Banking integration is generally linked to price convergence. In addition to interest rates, we argue that lending margins provide important information regarding price setting convergence in banking sectors. House purchase and nonfinancial corporations (NFC) lending margins confirm that EU banking integration was affected by financial crises. There is a relatively higher convergence for NFC lending margins, while integration is deeper in the euroarea. The country specific analysis differentiates between integrated and dissimilar EU banking sectors. Besides their financial information content and direct economic impact, lending margins are useful measures of banking integration for policy decisions.

In this paper, we study a generalised CIR process with externally-exciting and self-exciting jumps, and focus on the distributional properties and applications of this process and its aggregated process. The aim of the paper is to introduce a more general process that includes many models in the literature with self-exciting and external-exciting jumps. The first and second moments of this jump-diffusion process are used to calculate the insurance premium based on mean-variance principle. The Laplace transform of aggregated process is derived, and this leads to an application for pricing default-free bonds which could capture the impacts of both exogenous and endogenous shocks. Illustrative numerical examples and comparisons with other models are also provided.

We introduce a broad family of generalised self-exciting point processes with CIR-type intensities, and we develop associated algorithms for their exact simulation. The underlying models are extensions of the classical Hawkes process, which already has numerous applications in modelling the arrival of events with clustering or contagion effect in finance, economics, and many other fields. Interestingly, we find that the CIR-type intensity, together with its point process, can be sequentially decomposed into simple random variables, which immediately leads to a very efficient simulation scheme. Our algorithms are also pretty accurate and flexible. They can be easily extended to further incorporate externally excited jumps, or, to a multidimensional framework. Some typical numerical examples and comparisons with other well-known schemes are reported in detail. In addition, a simple application for modelling a portfolio loss process is presented. The online appendix is available at [ABSTRACT FROM AUTHOR]

This paper studies the tail dependence for two smaller stock markets that are Taiwanese Taiex and South Korean Kospi against four larger stock markets that are S& P500, Nikkei, MSCI China, and MSCI Europe. The vector autoregression result indicates that both S&P500 and MSCI China indeed have the greatest impact and significance on the other four stock markets. However, the tail dependence of Taiex and Kospi versus either S&P500 or MSCI China are lower due to unilateral impacts from US or China. The Clayton copula yields the jumps of tail dependence and the elliptical copulas generate the trends of tail dependence. The threshold tests of Clayton Kendall's taus between most stock markets are significant in both subprime and Greek debt crises while the tests of Student-t Kendall's taus are only significant for the subprime crisis. It appears that the subprime has changeable trend and jump states of contagion risk while Greek debt has one steady trend state and changeable jump states of contagion risk. [ABSTRACT FROM AUTHOR]

We introduce a class of analytically tractable jump processes with contagion effects by generalizing the classical Hawkes process. This model framework combines the characteristics of three popular point processes in the literature: (1) Cox process with CIR intensity; (2) Cox process with Poisson shot-noise intensity; (3) Hawkes process with exponentially decaying intensity. Hence, it can be considered as a self-exciting and externally-exciting point process with mean-reverting stochastic intensity. Essential probabilistic properties such as moments, the Laplace transform of intensity process, and the probability generating function of point process as well as some important asymptotics have been derived. Some special cases and a method for change of measure are discussed. This point process may be applicable to modeling contagious arrivals of events for various circumstances (such as jumps, transactions, losses, defaults, catastrophes) in finance, insurance and economics with both endogenous and exogenous risk factors within one framework. More specifically, these exogenous factors could contain relatively short-lived shocks and long-lasting risk drivers. We make a simple application to calculate the default probability for credit risk and to price defaultable zero-coupon bonds. [ABSTRACT FROM AUTHOR]

We study the impact on return and volatility of 8 capital markets (Bulgaria, Czech Republic, France, Germany, Hungary, Poland, Romania and US) during three crisis (subprime crisis, global financial crisis and Brexit), that occurred in January, 1st 2007 - August, 26th, 2016 time frame. In order to reduce the initial causal space represented by the returns on CEE markets, we used the Principal Component Analysis. One principal component was identified and placed within a AR(2)-GARCH(1,1) model for return and associated volatility. The results show that the volatility during the global crisis and that related to the Brexit moment are statistically significant, but they present different coefficients: the volatility boosted during the global financial crisis and lowered after the Brexit announcement. This late result can be explained by the prudent stance of the investors who are concerned to evaluate the impact of the Brexit and the consequences for the financial markets of the associated measures. [ABSTRACT FROM AUTHOR]

This paper extends recent investigations into risk contagion effects on stock markets to the Vietnamese stock market. Daily data spanning October 9, 2006 to May 3, 2012 are sourced to empirically validate the contagion effects between stock markets in Vietnam, and China, Japan, Singapore, and the US. To facilitate the validation of contagion effects with market-related coefficients, this paper constructs a bivariate EGARCH model of dynamic conditional correlation coefficients. Using the correlation contagion test and Dungey et al.’s (2005) contagion test, we find contagion effects between the Vietnamese and four other stock markets, namely Japan, Singapore, China, and the US. Second, we show that the Japanese stock market causes stronger contagion risk in the Vietnamese stock market compared to the stock markets of China, Singapore, and the US. Finally, we show that the Chinese and US stock markets cause weaker contagion effects in the Vietnamese stock market because of stronger interdependence effects between the former two markets.