Publication:
Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market
Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market
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Date
2022
Authors
Massoud Moslehpour
Ahmad Al-Fadly
Syed Ehsanullah
Kwong Wing Chong
Nguyen Thi My Xuyen
Luc Phan Tan
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Research Projects
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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.
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Keywords
COVID-19,
Vietnam and global,
Stock · Markets,
Systemic,
Risk,
CoVaR,
ΔCoVaR,
Connectedness