Stock crash and how it spreads over the Vietnamese stock market


Authors

  • Vu Thi Loan VNU University of Economics and Business
  • Luong Ngoc Hai VNU University of Economics and Business
  • Nguyen Phuong Nga VNU University of Economics and Business
DOI: https://doi.org/10.57110/vnu-jeb.v4i3.339

Keywords:

Stock crash, spillover mechanism, industry stock returns, TVP-VAR model

Abstract

This study explores the spillover mechanism and impact of stock crashes on the Vietnamese stock market from 2007 to 2022 with a total of 669.452 observations. The research aims to clarify how crashes propagate across sectors and their broader market implication. Findings show that stock crashes not only affect their originating industry but also spread to others, triggering a ripple effect throughout the market. Employing the autoregressive vector regression model with time-varying parameters (TVP-VAR), the study underscores the pivotal role of industries such as minerals and real estate in transmitting crash effects. The insights contribute to a deeper understanding of the sectoral interdependence within the stock market, assisting in formulation of robust investment and risk management strategies.

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25-06-2024

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How to Cite

Vu Thi Loan, Luong Ngoc Hai, & Nguyen Phuong Nga. (2024). Stock crash and how it spreads over the Vietnamese stock market. VNU JOURNAL OF ECONOMICS AND BUSINESS, 4(3), 107. https://doi.org/10.57110/vnu-jeb.v4i3.339

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