Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?

Hồ, Chí Minh; Pham, Toan Tan; Nguyen, Hung Le-Phuc; Vo, Duc Hong

doi:10.1016/j.heliyon.2021.e08453

Cited by 10 publications

(18 citation statements)

References 20 publications

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“…Various estimation techniques, including the pooled OLS, fixed-effects, and random-effects estimators, are used in this analysis. These estimation techniques are consistent with previous studies, such as Ho et al [ 16 ] and Li et al [ 9 ], which examine the impacts of the Covid-19 pandemic on market risk. Table 8 presents empirical results.…”

Section: Resultssupporting

confidence: 89%

“…For every 1 per cent increase in the number of new Covid-19 cases over a month, the market risk for all sectors on average increases by 0.00185 per cent. This finding aligns with Li et al [ 9 ] but is different from Ho et al [ 16 ]. We note that Li et al [ 9 ] use the number of new cases, whereas Ho et al [ 16 ] use the dummy variable to proxy the pandemic.…”

Section: Resultssupporting

confidence: 88%

“…This finding aligns with Li et al [ 9 ] but is different from Ho et al [ 16 ]. We note that Li et al [ 9 ] use the number of new cases, whereas Ho et al [ 16 ] use the dummy variable to proxy the pandemic. Enhancing containment and health policy mitigates market risk, whereas reducing economic policy uncertainty also reduces market risk.…”

Section: Resultssupporting

confidence: 88%

“…The market risk across sectors appears to change significantly with the extreme events. Ho et al [ 16 ] estimate the market risks across ten Vietnamese sectors before and during the Covid-19 pandemic (2012–2020). Their analysis uses VaR and CVaR to measure the market risk.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Our literature review indicates that only Ho et al [ 16 ] examine the effects of the Covid-19 pandemic on the market risk across sectors in Vietnam. Their analysis, albeit exciting and recent, has primarily ignored relevant and important factors, such as policy responses and macroeconomic fundamentals, which potentially affect the market risks across sectors.…”

Section: Literature Reviewmentioning

confidence: 99%

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The impacts of the Covid-19 pandemic, policy responses and macroeconomic fundamentals on market risks across sectors in Vietnam

et al. 2022

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Vietnam has undergone four waves of the Covid-19 pandemic in 2020 and 2021, which have posed significant market risks to various sectors. Understanding the market risk of Vietnamese sectors and its changes is important for policy implementation to support the economy after the pandemic. This study measures the sectoral market risks and examines the effects of the pandemic, policy responses and macroeconomic fundamentals on the market risks across sectors in Vietnam. We employ the Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) techniques to measure the market risks for 24 sectors from 2012 to 2021. The market risk levels across Vietnamese sectors have changed significantly in response to the pandemic. Oil and Gas and Services sectors show the largest potential loss during the two Covid-19 waves in 2020. The Securities sector is the riskiest sector during the last two Covid-19 waves in 2021. Our results indicate that the new Covid-19 cases reported by the Government increase the market risk levels across Vietnamese sectors. On the other hand, enhancing containment and health policy and reducing economic policy uncertainty result in lower market risk across sectors. We also find that macroeconomic fundamentals such as the exchange rate and interest rate significantly affect the market risks across sectors in Vietnam.

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Section: Resultssupporting

confidence: 89%

Section: Resultssupporting

confidence: 88%

Section: Resultssupporting

confidence: 88%

Section: Literature Reviewmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

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The impacts of the Covid-19 pandemic, policy responses and macroeconomic fundamentals on market risks across sectors in Vietnam

et al. 2022

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Sectoral volatility spillovers and their determinants in Vietnam

Dang

Nguyen

2022

Econ Change Restruct

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Using the vector autoregression (VAR) connectedness approach, this paper investigates dynamic volatility spillovers across 14 sectors in Vietnam’s stock market over the period 2012–2021. The study also explores the differences in sectoral spillovers before and after the outbreak of Covid-19 pandemic. Additionally, the paper also investigates the effects of the current pandemic and macroeconomic fundamentals on intersectoral connectedness in Vietnam. Our findings show that volatility transmission across sectors fluctuates significantly over the research period and spikes during the Covid-19 pandemic. The total spillover index is approximately 64.23 per cent, indicating that volatility spillovers across the Vietnamese sectors are substantial. The risks from the stock market appear to spread quickly and easily across sectors in Vietnam. Among these 14 sectors, food, fisheries, and oil and gas act as net senders of risks while real estate and pharmacy are the greatest receivers of risk. The findings also confirm that the commerce, transportation, manufacturing, and service sectors are more sensitive to the Covid-19 pandemic crisis than other sectors in Vietnam. Furthermore, the empirical results show that an increase in daily Covid-19 infections increases volatility spillover across sectors. Policy implications have emerged based on these findings from this paper for the Vietnamese government and other emerging countries. Supplementary Information The online version contains supplementary material available at 10.1007/s10644-022-09446-9.

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An application of a R2 dcomposed linkage method to explore a comtemporal and lead connectedness between investor sentiment and exchange rate dynamics in vietnam

Thanh,

2024

Qual Quant

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Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?

Cited by 10 publications

References 20 publications

The impacts of the Covid-19 pandemic, policy responses and macroeconomic fundamentals on market risks across sectors in Vietnam

The impacts of the Covid-19 pandemic, policy responses and macroeconomic fundamentals on market risks across sectors in Vietnam

Sectoral volatility spillovers and their determinants in Vietnam

An application of a R2 dcomposed linkage method to explore a comtemporal and lead connectedness between investor sentiment and exchange rate dynamics in vietnam

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