Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors

IF 6.9 1区经济学 Q1 BUSINESS, FINANCE

Financial Innovation Pub Date : 2024-03-08 DOI:10.1186/s40854-023-00602-2

Duc Hong Vo, Hung Le-Phuc Nguyen

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引用次数: 0

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.

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市场风险溢出以及宏观经济基本面对越南各行业市场风险的非对称影响

全球经济衰退和多种极端事件威胁着越南的经济，导致股市风险激增并产生显著的溢出效应。本研究调查了市场风险溢出效应，并探讨了 2012 年至 2022 年宏观经济指标对越南 24 个行业市场风险的非对称影响。我们使用风险价值（VaR）技术和向量自回归（VAR）模型来估算越南各行业的市场风险及其溢出效应。然后，我们使用面板非线性自回归分布滞后（NARDL）模型研究了宏观经济指标对市场风险的非对称影响。我们的研究结果证实，越南的市场风险会随着极端事件的发生而迅速增加。此外，越南各行业的市场风险表现出很大的相互关联性。建材、技术和证券行业是主要的风险传递者，而矿产、发展投资和教育行业则是主要的风险吸收者。我们的研究结果还证实，从短期和长期来看，市场风险对利率、汇率（美元/越南盾）、贸易开放度、金融发展和经济增长的变化的反应是不对称的。从长期来看，矿产、石油和天然气以及橡胶行业受宏观经济指标的影响最大。基于这些重要发现，重点限制市场风险及其溢出效应以及可持续投资的意义已经显现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Financial Innovation Economics, Econometrics and Finance-Finance

CiteScore

11.40

自引率

11.90%

发文量

审稿时长

5 weeks

期刊介绍： Financial Innovation (FIN), a Springer OA journal sponsored by Southwestern University of Finance and Economics, serves as a global academic platform for sharing research findings in all aspects of financial innovation during the electronic business era. It facilitates interactions among researchers, policymakers, and practitioners, focusing on new financial instruments, technologies, markets, and institutions. Emphasizing emerging financial products enabled by disruptive technologies, FIN publishes high-quality academic and practical papers. The journal is peer-reviewed, indexed in SSCI, Scopus, Google Scholar, CNKI, CQVIP, and more.