Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors
Duc Hong Vo and Hung Le‑Phuc Nguyen
Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and signifcant spillovers. This study investigates market risk spillovers and explores the asymmetric efects of macroeco‑ nomic 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 asym‑ metric efects of macroeconomic indicators on market risk using a panel nonlinear autoregressive distribution lag (NARDL) model. Our results confrm 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 confrm that market risk responds asymmetrically to changes in interest rates, exchange rates (USD/VND), trade openness, fnancial development, and eco‑ nomic growth in the short and long run. Minerals, Oil & Gas, and Rubber are the sectors that are most afected by macroeconomic indicators in the long run. Based on these important fndings, implications focused on limiting market risks and their spillovers, along with sustainable investing, have emerged.
Year of publication: |
2024
|
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Authors: | Duc Vo Hong ; Hung Le‑Phuc Nguyen |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 10.2024, Art.-No. 95, p. 1-29
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Subject: | Market risks | Spillovers | Asymmetric efects | Macroeconomic indicators | Vietnam | Viet Nam | Spillover-Effekt | Spillover effect | Volatilität | Volatility | Marktrisiko | Market risk | Risiko | Risk | ARCH-Modell | ARCH model | Schätzung | Estimation |
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