The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

Huong, Le Thi Minh

doi:10.1080/17520843.2021.1993653

Cited by 4 publications

(3 citation statements)

References 38 publications

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“…The same era saw a remarkable increase in inflation, from close to 10% to a staggering 27%. Huong (2021) argues that equities in Southeast Asia are undeveloped and susceptible to economic shocks. The latter point further strengthens our conclusions regarding the results for this period.…”

Section: Resultsmentioning

confidence: 99%

Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis

Mensi

Ziadat²,

Vo³

et al. 2022

IJOEM

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PurposeThis study examines the extreme quantile connectedness and spillovers between West Texas Intermediate (WTI) crude oil futures and ten Vietnamese stock market sectors. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets.Design/methodology/approachThe authors employ the extreme quantile connectedness methodology of Ando et al. (2022).FindingsInitial results show that the size of spillovers is higher during bearish markets than bullish markets and under major financial, political, energy and pandemic events. The oil market is a net receiver of spillovers during downward markets and net contributors during upward markets. The banking sector is a net contributor of spillovers, whereas consumer discretionary and consumer staples are net receivers for different quantiles. The role of the remaining sectors as net receivers/contributors is sensitive to the quantiles. Oil has a large spillover effect on the electricity sector for all quantiles. Comparing all crises, oil offers the best hedging effectiveness to the Vietnamese sector during the coronavirus disease 2019 (COVID-19) crisis. Moreover, oil was a cheap hedge asset during oil crises. Finally, oil provides the highest hedging effectiveness for healthcare during the global financial crisis (GFC) and consumer staples during the European debt crisis (EDC), oil crisis and COVID-19.Originality/valueAcknowledging the presence of heterogeneity in the relation between oil and economic sectors under different market conditions, this study is the first to examine the extreme quantile connectedness between oil and Vietnamese sectors.

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Section: Resultsmentioning

confidence: 99%

Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis

Mensi

Ziadat²,

Vo³

et al. 2022

IJOEM

View full text Add to dashboard Cite

show abstract

“…It completely changed the way people live and interact (Pereira et al, 2021;Chhatwani and Mishra, 2021;Caporale et al, 2022;Kamal and Wohar, 2023). Pereira et al (2020) and Huong (2021) state that the new coronavirus was an exogenous shock of worldwide magnitude. Tao et al (2022) state that the restrictive measures imposed by countries all around the world provide a shock for current business models, requiring changes in the traditional business models.…”

Section: Adverse Exogenous Shockmentioning

confidence: 99%

“…Pereira et al . (2020) and Huong (2021) state that the new coronavirus was an exogenous shock of worldwide magnitude. Tao et al .…”

Section: Theoretical Frame Of Referencementioning

confidence: 99%

Exogenous shock: hierarchical effect of the industrial entrepreneur confidence in the mist of the COVID-19 pandemic

Conceição,

Lima

2023

RBF

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PurposeIn the context of investment decisions, the intricate interplay between exogenous shocks and their influence on investor confidence significantly shapes their behaviors and, consequently, their outcomes. Investment decisions are influenced by uncertainties, exogenous shocks as well as the sentiments and confidence of investors, factors typically overlooked by decision-makers. This study will meticulously examine these multifaceted influences and discern their intricate hierarchical nuances in the sentiments of industrial entrepreneurs during the COVID-19 pandemic.Design/methodology/approachEmploying the robust framework of the generalized linear latent and mixed models (GLLAMM), this research will thoroughly investigate individual and group idiosyncrasies present in diverse data compilations. Additionally, it will delve deeply into the exogeneity of disturbances across different sectors and regions.FindingsRelevant insights gleaned from this research elucidate the adverse influence of exogenous forces, including pandemics and financial crises, on the confidence of industrial entrepreneurs. Furthermore, a significant discovery emerges in the regional analysis, revealing a notable homogeneity in the propagation patterns of industrial entrepreneurs' perceptions within the sectoral and regional context. This finding suggests a mitigation of regional effects in situations of global exogenous shocks.Originality/valueWithin the realm of academic inquiry, this study offers an innovative perspective in unveiling the intricate interaction between external shocks and their significant impacts on the sentiment of industrial entrepreneurs. Furthermore, the utilization of the robust GLLAMM captures the hierarchical dimension of this relationship, enhancing the precision of analyses. This approach provides a significant impetus for data-informed strategic directions.

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Cross-Market Correlations and Financial Contagion from Developed to Emerging Economies: A Case of COVID-19 Pandemic

et al. 2022

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In the event that the COVID-19 pandemic spreads across various stock markets, this study may be deemed as one of the primary studies to evaluate cross-market interactions. The study examines the spread of contagious effects originating from developed economies (the United States, the United Kingdom, and Japan) to selected emerging markets (China, India, Thailand, Taiwan, Egypt, South Africa, Saudi Arabia, and the United Arab Emirates). The countries studied are classified into three regions: developed economies, Asia, and Africa and the Middle East. The crisis period is identified with the deployment of the Markov regime-switching model. The conditional correlations are compared before and after the crisis episode using the time-varying multivariate DCC-GARCH model. The findings confirm that certain emerging markets are experiencing contagion from developed markets, while others remain unaffected. Overall, investors in the two regions examined (Asia, and Africa and the Middle East) have comparable diversification options. The findings are expected to bolster policymakers and international agencies in developing post-crisis measures.

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The contagion between stock markets: evidence from Vietnam and Asian emerging stocks in the context of COVID-19 Pandemic

Cited by 4 publications

References 38 publications

Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis

Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis

Exogenous shock: hierarchical effect of the industrial entrepreneur confidence in the mist of the COVID-19 pandemic

Cross-Market Correlations and Financial Contagion from Developed to Emerging Economies: A Case of COVID-19 Pandemic

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