Table 6 The short-run effects of macroeconomic indicators on market risk across 24 sectors in Vietnam, 2012–2022

\(\Delta Interest^{ + }\)

1.945***

4.563***

1.297

3.695**

1.686

2.169*

0.103

1.02

− 1.863

0.313

− 0.428

1.407

7.121**

(0.428)

(1.559)

(2.794)

(1.706)

(1.370)

(1.275)

(1.311)

(2.646)

(2.302)

(1.045)

(1.455)

(1.279)

(2.907)

\(\Delta Interest^{ - }\)

1.535***

0.905

2.251

1.656

1.027

0.945

1.700**

2.968**

1.486

1.433**

1.286

0.917

2.383

(0.129)

(0.854)

(1.607)

(1.014)

(0.815)

(0.713)

(0.755)

(1.509)

(1.361)

(0.602)

(0.841)

(0.761)

(1.557)

\(\Delta lnExchange_{ - 1}^{ + }\)

0.154

0.195

− 0.236

0.661

0.354

− 0.338

− 0.114

0.103

0.005

0.02

0.133

0.307

− 0.119

(0.110)

(0.407)

(0.878)

(0.466)

(0.377)

(0.338)

(0.361)

(0.724)

(0.645)

(0.287)

(0.400)

(0.351)

(0.744)

\(\Delta lnExchange_{ - 1}^{ - }\)

− 0.630***

− 0.704***

− 0.131

− 1.081***

− 0.762***

− 0.421***

− 0.372**

− 0.664**

− 0.057

− 0.611***

− 0.234

− 0.764***

− 0.597*

(0.067)

(0.187)

(0.411)

(0.217)

(0.176)

(0.155)

(0.166)

(0.332)

(0.294)

(0.131)

(0.184)

(0.161)

(0.344)

\(\Delta lnOpenness^{ + }\)

− 0.066**

− 0.270*

− 0.056

− 0.061

− 0.148

− 0.079

− 0.048

0.016

− 0.098

− 0.105

0.09

− 0.101

0.004

(0.030)

(0.140)

(0.358)

(0.162)

(0.130)

(0.116)

(0.123)

(0.248)

(0.222)

(0.098)

(0.137)

(0.121)

(0.257)

\(\Delta lnOpenness^{ - }\)

− 0.431***

− 0.082

− 0.679*

− 0.693***

− 0.608***

− 0.483***

− 0.192

0.061

0.521

− 0.436***

− 0.548***

− 0.624***

− 0.865**

(0.065)

(0.216)

(0.402)

(0.248)

(0.199)

(0.180)

(0.189)

(0.382)

(0.333)

(0.151)

(0.211)

(0.188)

(0.389)

\(\Delta FD^{ + }\)

− 0.187***

− 0.324**

0.555

− 0.211

− 0.119

− 0.495***

− 0.235**

− 0.085

0.081

− 0.157*

− 0.112

− 0.113

− 0.480**

(0.044)

(0.129)

(0.574)

(0.148)

(0.119)

(0.107)

(0.113)

(0.225)

(0.201)

(0.091)

(0.128)

(0.113)

(0.234)

\(\Delta FD^{ - }\)

0.140***

0.185

0.117

0.099

0.051

0.642***

− 0.145

− 0.082

− 0.246

0.025

0.075

− 0.023

0.298

(0.045)

(0.227)

(0.673)

(0.260)

(0.211)

(0.189)

(0.201)

(0.400)

(0.353)

(0.159)

(0.223)

(0.197)

(0.414)

\(\Delta lnGDP\)

0.095***

0.316**

0.061

0.127

0.115

0.386***

− 0.034

0.058

0.009

0.021

− 0.046

0.057

0.138

(0.035)

(0.161)

(0.382)

(0.186)

(0.149)

(0.134)

(0.143)

(0.285)

(0.253)

(0.113)

(0.159)

(0.139)

(0.296)

\(\Delta lnGold^{ + }\)

0.001

0.016

0.014

0.017

0

0.003

0.039

− 0.042

0.008

0.016

− 0.023

− 0.013

− 0.053

(0.006)

(0.035)

(0.073)

(0.040)

(0.032)

(0.029)

(0.031)

(0.063)

(0.057)

(0.024)

(0.035)

(0.030)

(0.064)

\(\Delta lnGold^{ - }\)

− 0.022**

0.021

0.074

− 0.041

− 0.048

− 0.044

− 0.054*

0.027

− 0.104*

− 0.01

− 0.008

0.019

0.045

(0.010)

(0.035)

(0.080)

(0.041)

(0.034)

(0.030)

(0.031)

(0.061)

(0.054)

(0.024)

(0.035)

(0.030)

(0.063)

\(\Delta lnOil^{ + }\)

− 0.014***

− 0.013

0.033

− 0.027***

− 0.019**

− 0.014**

− 0.008

0.002

− 0.011

− 0.018***

− 0.014*

− 0.013*

− 0.021

(0.003)

(0.008)

(0.031)

(0.010)

(0.008)

(0.007)

(0.008)

(0.015)

(0.013)

(0.006)

(0.008)

(0.007)

(0.016)

\(\Delta lnOil^{ - }\)

− 0.004

− 0.005

− 0.074*

0.007

− 0.002

− 0.005

− 0.016*

− 0.027

0.014

0.009

− 0.005

− 0.001

0.009

(0.004)

(0.010)

(0.043)

(0.012)

(0.010)

(0.009)

(0.009)

(0.019)

(0.016)

(0.007)

(0.010)

(0.009)

(0.019)

Constant

− 1.031***

− 1.045***

− 0.577***

− 1.002***

− 1.209***

− 1.140***

− 1.167***

− 0.746***

− 0.933***

− 1.096***

− 1.130***

− 1.082***

− 0.967***

(0.043)

− 0.288

− 0.19

− 0.277

− 0.328

− 0.312

− 0.317

− 0.221

− 0.272

− 0.291

− 0.309

− 0.298

− 0.274

Observation

2,817

(N = 24; T = 127)

\(\Delta Interest^{ + }\)

1.945***

5.595***

2.390*

3.756***

4.008

1.297

1.836

− 1.35

1.585

1.24

1.718

3.092*

0.43

(0.428)

(2.160)

(1.240)

(1.218)

(5.900)

(1.541)

(1.562)

(1.920)

(2.483)

(1.421)

(1.329)

(1.744)

(1.146)

\(\Delta Interest^{ - }\)

1.535***

0.988

1.391*

1.185*

1.414

1.453

2.078**

2.229**

2.585*

1.619*

0.381

0.729

1.830***

(0.129)

(1.253)

(0.710)

(0.691)

(3.461)

(0.913)

(0.891)

(1.109)

(1.453)

(0.829)

(0.777)

(1.060)

(0.660)

\(\Delta lnExchange_{ - 1}^{ + }\)

0.154

1.068*

− 0.388

0.003

− 1.551

0.246

0.699

0.614

1.09

0.295

− 0.128

0.203

0.564*

(0.110)

(0.585)

(0.334)

(0.328)

(1.662)

(0.426)

(0.427)

(0.532)

(0.687)

(0.391)

(0.362)

(0.467)

(0.314)

\(\Delta lnExchange_{ - 1}^{ - }\)

− 0.630***

− 1.582***

− 0.356**

− 0.371**

− 1.056

− 0.524***

− 0.599***

− 0.762***

− 0.810**

− 0.689***

− 0.633***

− 0.842***

− 0.51***

(0.067)

(0.271)

(0.152)

(0.148)

(0.762)

(0.195)

(0.196)

(0.244)

(0.320)

(0.183)

(0.165)

(0.215)

(0.144)

\(\Delta lnOpenness^{ + }\)

− 0.066**

-0.11

− 0.149

− 0.081

0.492

− 0.027

− 0.270*

− 0.177

− 0.119

-0.18

0.004

− 0.021

− 0.099

(0.030)

(0.201)

(0.113)

(0.111)

(0.565)

(0.146)

(0.146)

(0.182)

(0.239)

(0.134)

(0.124)

(0.161)

(0.108)

\(\Delta lnOpenness^{ - }\)

− 0.431***

− 0.681**

− 0.355**

− 0.278

0.066

− 0.516**

− 0.467**

− 0.843***

− 0.544

− 0.549***

− 0.556***

− 0.440*

− 0.539***

(0.065)

(0.308)

(0.177)

(0.174)

(0.854)

(0.225)

(0.223)

(0.278)

(0.362)

(0.206)

(0.194)

(0.247)

(0.167)

\(\Delta FD^{ + }\)

− 0.187***

− 0.207

− 0.207*

− 0.314***

− 0.002

− 0.062

− 0.487***

− 0.235

− 0.297

− 0.165

− 0.339***

− 0.24

− 0.250**

(0.044)

(0.185)

(0.106)

(0.104)

(0.515)

(0.133)

(0.134)

(0.166)

(0.221)

(0.123)

(0.115)

(0.147)

(0.099)

\(\Delta FD^{ - }\)

0.140***

0.122

0.16

0.176

− 0.258

0.038

0.583**

0.246

0.451

0.277

0.233

0.256

0.086

(0.045)

(0.327)

(0.183)

(0.181)

(0.911)

(0.238)

(0.237)

(0.298)

(0.383)

(0.218)

(0.200)

(0.260)

(0.176)

\(\Delta lnGDP\)

0.095***

0.115

0.132

0.106

− 0.388

− 0.169

0.481***

0.148

0.109

0.249

0.078

0.162

0.048

(0.035)

(0.232)

(0.131)

(0.129)

(0.652)

(0.169)

(0.169)

(0.211)

(0.275)

(0.155)

(0.143)

(0.185)

(0.125)

\(\Delta lnGold^{ + }\)

0.001

0.048

− 0.035

− 0.034

− 0.025

− 0.005

− 0.005

0.047

0.018

− 0.017

0.011

0.045

− 0.011

(0.006)

(0.051)

(0.028)

(0.028)

(0.142)

(0.037)

(0.037)

(0.046)

(0.060)

(0.034)

(0.031)

(0.040)

(0.027)

\(\Delta lnGold^{ - }\)

− 0.022**

− 0.034

− 0.006

− 0.032

− 0.126

− 0.049

0.038

− 0.090*

0.041

− 0.016

− 0.065**

− 0.048

− 0.013

(0.010)

(0.050)

(0.029)

(0.029)

(0.139)

(0.036)

(0.036)

(0.047)

(0.058)

(0.035)

(0.032)

(0.042)

(0.027)

\(\Delta lnOil^{ + }\)

− 0.014***

− 0.024*

− 0.016**

− 0.013*

− 0.047

− 0.011

− 0.016*

− 0.006

− 0.029**

− 0.024***

− 0.004

− 0.009

− 0.011

(0.003)

(0.012)

(0.007)

(0.007)

(0.034)

(0.009)

(0.009)

(0.011)

(0.015)

(0.008)

(0.008)

(0.010)

(0.007)

\(\Delta lnOil^{ - }\)

− 0.004

0.01

0.007

0.008

− 0.006

0.006

0.006

− 0.02

0.003

0.01

− 0.012

− 0.004

− 0.012

(0.004)

(0.015)

(0.008)

(0.008)

(0.042)

(0.011)

(0.011)

(0.014)

(0.018)

(0.010)

(0.009)

(0.012)

(0.008)

Constant

− 1.031***

− 1.155***

− 1.215***

− 1.383***

− 0.590***

− 1.186***

− 0.746***

− 1.031***

− 0.796***

− 1.093***

− 1.347***

− 1.088***

− 1.027***

(0.043)

− 0.316

− 0.328

− 0.368

− 0.184

− 0.325

− 0.214

− 0.287

− 0.231

− 0.303

− 0.361

− 0.302

− 0.279

Observation

2,817

(N = 24; T = 127)