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

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 m...

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Bibliographic Details
Published in:PloS one 2022-08, Vol.17 (8), p.e0272631
Main Authors: Bui, Hung Quang, Tran, Thao, Nguyen, Hung Le-Phuc, Vo, Duc Hong
Format: Article
Language:English
Subjects:
Analysis
Commodities
Containment
Coronaviruses
COVID-19
COVID-19 - epidemiology
Economic aspects
Economic crisis
Economic policy
Epidemics
Health care policy
Health Policy
Health risks
Humans
Influence
Interest rates
International finance
Investments
Literature reviews
Macroeconomics
Market risk
Markets
Measurement techniques
Medicine and Health Sciences
Pandemics
People and Places
Policy implementation
Risk
Risk levels
Securities markets
Social Sciences
Stock exchanges
Value
Vietnam - epidemiology
Volatility
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Summary: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.
ISSN:1932-6203
1932-6203
DOI:10.1371/journal.pone.0272631