Publication:
Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market

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datacite.subject.fos oecd::Social sciences::Economics and Business
dc.contributor.author Massoud Moslehpour
dc.contributor.author Ahmad Al-Fadly
dc.contributor.author Syed Ehsanullah
dc.contributor.author Kwong Wing Chong
dc.contributor.author Nguyen Thi My Xuyen
dc.contributor.author Luc Phan Tan
dc.date.accessioned 2022-10-31T03:20:20Z
dc.date.available 2022-10-31T03:20:20Z
dc.date.issued 2022
dc.description.abstract This study examined the influence of tail risks on global financial markets, which aids in better understanding of the emergence of COVID-19. This study looks at the global and Vietnamese stock markets impacted by the COVID-19 pandemic to identify systemic emergencies. Risk dependent value (CoVaR) and Delta link VaR are two important tail-related risk indicators used in Conditional Bivariate Dynamic Correlation (DCC) (CoVaR). The empirical findings demonstrate that when COVID-19's worldwide spread widens, the volatility transmission of systemic risks across the global stock market and multiple exchanges shifts and becomes more relevant over time. At the time of COVID-19, the world industrial market was larger than the Vietnamese stock market, and the Vietnamese stock market posed a lesser danger to the global market. A closer examination of the link between the Vietnam value-at-risk (VaR) range index sample and the world stock index indicates a significant degree of downside risk integration in key monetary systems, particularly during the COVID-19 era. Our study findings may help regulators, politicians, and portfolio risk managers in Vietnam and worldwide during the unique moment of uncertainty created by the COVID-19 epidemic.
dc.identifier.doi 10.1007/s11356-021-18170-2
dc.identifier.uri http://repository.vlu.edu.vn:443/handle/123456789/362
dc.language.iso en_US
dc.relation.ispartof Environmental Science and Pollution Research
dc.relation.issn 0944-1344
dc.relation.issn 1614-7499
dc.subject COVID-19
dc.subject Vietnam and global
dc.subject Stock · Markets
dc.subject Systemic
dc.subject Risk
dc.subject CoVaR
dc.subject ΔCoVaR
dc.subject Connectedness
dc.title Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market
dc.type journal-article
dspace.entity.type Publication
oaire.citation.issue 19
oaire.citation.volume 29
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