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US macroeconomic news spillover effects on Vietnamese stock market

Tho Nguyen (State Bank of Vietnam, Hanoi, Vietnam)

Journal of Risk Finance

ISSN: 1526-5943

Article publication date: 8 November 2011



The purpose of this paper is to investigate the spillover effect of the US macroeconomic news on the first two moments of the Vietnamese stock market returns.


The author collected market expectation and actual announcements data for 12 key US macroeconomic announcements for the period from August 2000 to September 2009 from Bloomberg. The dataset consists of monthly Non‐farm payroll (NFPM), Unemployment level (UNEMP), Gross Domestic Product percentage level (GDP), Housing statistics (HOMEST), Industrial production (INDP), Leading Indicator (LEAD), Retail Sales (SALES), Consumer Price Index (CPI), Producer Index (PPI), Current Account (CA, quarterly), Trade Balance (BOT), and the Federal Reserve's target rates (FOMC, 8 times a year and ad hoc meetings if needed). The MA‐EGARCH (1,1) model is used for the empirical test of the US macroeconomic news spillover effects on the VNI index.


In general, the US real economic news has the strongest effect on the first two moments of the Vietnamese stock returns. This can be interpreted as evidence that Vietnamese market participants believe that the USA is targeting real economic activities other than other variables. It is also shown that even though the US stock market (proxied by S&P500 index) significantly affects the Vietnamese stock market returns, the spillover effect of the US macroeconomic news is still significant.

Research limitations/implications

The author does not explore further on the transmission channels of the spillover effects of the US news on the Vietnamese stock market, reserving this task for future research.


The paper contributes to the extant literature in several ways. First, to the author's knowledge, the current literature lacks empirical evidence for the impact of the US macroeconomic news on the first two moments of the Vietnamese stock markets. Given the growing integration between the two economies, evidenced by the fact that the USA is Vietnam's largest foreign direct investor and importer, the US macroeconomic news is very important, not only for Vietnamese policy makers but also for market participants. Furthermore, the choice of a small and open market with increasing exposure to the world economy and vulnerable to the US news (i.e. Vietnam) would help in reducing the problem of endogeneity bias in previous studies employing large economy pairs, as the US news might affect the Vietnamese stock market but not the reverse. Finally, previous studies tend to investigate the impact of macro news only on conditional returns. In this study, both conditional returns and the conditional variance of returns are modelled simultaneously in a time‐varying framework (MA‐GARCH) to better capture the impact of macroeconomic news on stock returns and stock market volatility.



Nguyen, T. (2011), "US macroeconomic news spillover effects on Vietnamese stock market", Journal of Risk Finance, Vol. 12 No. 5, pp. 389-399.



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