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- Title
Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors.
- Authors
Vo, Duc Hong; Nguyen, Hung Le-Phuc
- Abstract
Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and significant spillovers. This study investigates market risk spillovers and explores the asymmetric effects of macroeconomic indicators on market risk across 24 sectors in Vietnam from 2012 to 2022. We use the value-at-risk (VaR) technique and a vector autoregression (VAR) model to estimate market risks and their spillovers across Vietnamese sectors. We then examine the asymmetric effects of macroeconomic indicators on market risk using a panel nonlinear autoregressive distribution lag (NARDL) model. Our results confirm that Vietnam's market risk increases rapidly in response to extreme events. Additionally, market risks exhibit substantial inter-connectedness across the Vietnamese sectors. The Building Materials, Technology, and Securities sectors are primary risk transmitters, whereas the Minerals, Development Investment, and Education sectors are major risk absorbers. Our results also confirm that market risk responds asymmetrically to changes in interest rates, exchange rates (USD/VND), trade openness, financial development, and economic growth in the short and long run. Minerals, Oil & Gas, and Rubber are the sectors that are most affected by macroeconomic indicators in the long run. Based on these important findings, implications focused on limiting market risks and their spillovers, along with sustainable investing, have emerged.
- Subjects
VIETNAM; FOREIGN exchange rates; SUSTAINABILITY; SUSTAINABLE investing; RECESSIONS; CONSTRUCTION materials; SECURITY sector
- Publication
Financial Innovation, 2024, Vol 10, Issue 1, p1
- ISSN
2199-4730
- Publication type
Article
- DOI
10.1186/s40854-023-00602-2