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Financial Innovation

Table 7 The long-run effects of macroeconomic indicators on market risk across 24 sectors in Vietnam, 2012–2022

From: Market risk spillover and the asymmetric effects of macroeconomic fundamentals on market risk across Vietnamese sectors

Long-run estimation

Variables

All

AC

AV

BK

BM

BU

CI

DI

ED

EN

FE

FO

MI

\(Interest^{ + }\)

0.226

− 0.32

− 2.752

− 0.479

0.359

− 0.757

0.249

− 1.408

1.527

1.841***

1.732**

1.313*

− 5.263***

 

(0.203)

(0.852)

(3.157)

(1.315)

(0.903)

(0.760)

(0.848)

(1.417)

(1.498)

(0.615)

(0.755)

(0.781)

(1.548)

\(Interest^{ - }\)

− 0.222**

− 0.676*

2.981*

− 0.496

− 0.438

− 0.288

− 0.375

0.392

− 0.245

− 0.124

− 0.539

− 0.591*

− 0.432

 

(0.089)

(0.373)

(1.698)

(0.574)

(0.396)

(0.335)

(0.372)

(0.618)

(0.656)

(0.269)

(0.331)

(0.343)

(0.673)

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

− 0.528***

− 0.593*

− 0.704

− 1.308***

− 0.963***

− 0.660**

− 0.257

− 0.549

0.208

− 0.023

− 0.115

− 0.555*

− 0.83

 

(0.078)

(0.328)

(0.804)

(0.506)

(0.357)

(0.291)

(0.327)

(0.543)

(0.576)

(0.236)

(0.291)

(0.298)

(0.592)

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

− 0.057*

− 0.024

0.296

− 0.029

− 0.071

− 0.072

0.044

0.309

0.147

− 0.131

0.036

− 0.193*

0.159

 

(0.030)

(0.125)

(0.518)

(0.192)

(0.133)

(0.112)

(0.124)

(0.207)

(0.220)

(0.090)

(0.111)

(0.114)

(0.225)

\(lnOpenness^{ + }\)

− 0.040

0.141

− 1.238***

0.15

− 0.016

− 0.158*

− 0.041

0.063

0.01

0.033

0.133

0.009

− 0.635***

 

(0.025)

(0.105)

(0.300)

(0.161)

(0.111)

(0.093)

(0.105)

(0.174)

(0.185)

(0.075)

(0.093)

(0.095)

(0.189)

\(lnOpenness^{ - }\)

− 0.200***

− 0.205

0.485

− 0.149

− 0.221

− 0.21

− 0.169

0.096

− 0.236

− 0.503***

− 0.534***

− 0.446**

0.535

 

(0.051)

(0.215)

(0.553)

(0.330)

(0.228)

(0.191)

(0.216)

(0.358)

(0.378)

(0.155)

(0.190)

(0.196)

(0.395)

\(FD^{ + }\)

0.095***

− 0.097

2.101**

0.011

0.138

− 0.054

0.131

0.118

0.086

0.253**

0.312**

0.165

− 0.770***

 

(0.033)

(0.140)

(0.868)

(0.217)

(0.148)

(0.126)

(0.139)

(0.230)

(0.244)

(0.100)

(0.124)

(0.128)

(0.250)

\(FD^{ - }\)

0.183***

0.217

0.708

0.389

0.27

0.468**

0.061

0.564

− 0.165

− 0.225

− 0.111

− 0.199

1.359***

 

(0.055)

(0.231)

(0.594)

(0.357)

(0.245)

(0.207)

(0.230)

(0.385)

(0.407)

(0.167)

(0.205)

(0.212)

(0.419)

\(lnGDP\)

0.176***

0.087

0.817**

0.232

0.229

0.393**

0.2

0.302

− 0.044

− 0.141

− 0.089

− 0.046

1.426***

 

(0.044)

(0.184)

(0.412)

(0.282)

(0.195)

(0.164)

(0.183)

(0.306)

(0.323)

(0.132)

(0.163)

(0.168)

(0.334)

\(lnGold^{ + }\)

0.018***

0.01

0.031

0.047

0.036

0.02

0.002

0.024

− 0.041

− 0.012

− 0.01

− 0.005

0.015

 

(0.005)

(0.022)

(0.063)

(0.034)

(0.024)

(0.020)

(0.022)

(0.036)

(0.038)

(0.016)

(0.019)

(0.020)

(0.040)

\(lnGold^{ - }\)

0.055***

0.052*

0.136

0.049

0.071**

0.03

0.03

− 0.001

− 0.016

0.078***

0.071***

0.084***

− 0.042

 

(0.007)

(0.029)

(0.099)

(0.046)

(0.031)

(0.026)

(0.029)

(0.047)

(0.050)

(0.021)

(0.025)

(0.026)

(0.051)

\(lnOil^{ + }\)

0.005***

0.004

0.018

0.015*

0.006

0.003

− 0.006

− 0.004

− 0.006

0.003

0.007

0.008

− 0.021**

 

(0.001)

(0.006)

(0.020)

(0.009)

(0.006)

(0.005)

(0.006)

(0.010)

(0.010)

(0.004)

(0.005)

(0.005)

(0.011)

\(lnOil^{ - }\)

− 0.004**

− 0.013*

− 0.089*

0.006

− 0.005

− 0.002

− 0.001

− 0.008

− 0.002

− 0.008

0.001

− 0.009

− 0.025*

 

(0.002)

(0.007)

(0.046)

(0.011)

(0.008)

(0.007)

(0.007)

(0.012)

(0.013)

(0.005)

(0.007)

(0.007)

(0.013)

Constant

− 1.031***

− 0.646

− 5.014*

− 1.375

− 1.556

− 2.937**

− 1.409

− 2.225

0.33

1.082

0.774

0.373

− 10.672***

 

(0.043)

(1.416)

(2.715)

(1.718)

(1.353)

(1.311)

(1.316)

(2.274)

(2.218)

(0.997)

(1.344)

(1.250)

(2.598)

Observation

2,817

(N = 24; T = 127)

           

Variables

All

OG

PH

PL

PS

RE

RU

SE

SV

ST

TE

TR

TP

\(Interest^{ + }\)

0.226

− 3.118**

0.046

0.38

− 8.559***

− 0.182

− 2.560**

− 0.244

− 1.622

− 1.157

1.03

− 0.432

0.352

 

(0.203)

(1.260)

(0.700)

(0.588)

(2.471)

(0.960)

(1.099)

(1.158)

(1.678)

(0.955)

(0.704)

(1.012)

(0.672)

\(Interest^{ - }\)

− 0.222**

0.069

0.095

0.074

0.558

− 0.132

0.023

− 0.757

0.606

− 0.185

− 0.865***

− 0.767*

0.294

 

(0.089)

(0.553)

(0.308)

(0.258)

(1.081)

(0.422)

(0.482)

(0.509)

(0.732)

(0.419)

(0.313)

(0.443)

(0.297)

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

− 0.528***

− 1.450***

− 0.251

− 0.323

− 2.350**

− 0.558

− 0.265

− 1.161***

− 0.559

− 0.918**

− 0.571**

− 1.137***

− 0.068

 

(0.078)

(0.487)

(0.270)

(0.227)

(0.950)

(0.375)

(0.423)

(0.445)

(0.635)

(0.377)

(0.270)

(0.397)

(0.259)

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

− 0.057*

0.051

− 0.062

− 0.103

− 0.704*

− 0.03

− 0.06

− 0.014

− 0.447*

− 0.044

0.017

− 0.142

0.01

 

(0.030)

(0.185)

(0.103)

(0.086)

(0.363)

(0.142)

(0.161)

(0.170)

(0.242)

(0.140)

(0.103)

(0.151)

(0.099)

\(lnOpenness^{ + }\)

− 0.040

− 0.172

− 0.049

− 0.069

− 0.342

− 0.159

− 0.393***

− 0.032

− 0.279

− 0.227*

0.01

0.117

− 0.059

 

(0.025)

(0.155)

(0.086)

(0.072)

(0.304)

(0.118)

(0.135)

(0.143)

(0.208)

(0.118)

(0.086)

(0.125)

(0.083)

\(lnOpenness^{ - }\)

− 0.200***

0.255

− 0.143

− 0.084

0.772

− 0.187

0.043

− 0.351

0.117

− 0.072

− 0.441**

− 0.123

− 0.201

 

(0.051)

(0.319)

(0.178)

(0.149)

(0.622)

(0.243)

(0.279)

(0.293)

(0.416)

(0.241)

(0.178)

(0.255)

(0.171)

\(FD^{ + }\)

0.095***

− 0.313

0.078

0.105

− 0.539

0.003

− 0.272

0.142

− 0.004

− 0.029

0.121

− 0.035

0.092

 

(0.033)

(0.205)

(0.114)

(0.097)

(0.402)

(0.157)

(0.180)

(0.191)

(0.275)

(0.156)

(0.117)

(0.166)

(0.111)

\(FD^{ - }\)

0.183***

1.213***

0.121

0.179

0.028

0.289

0.842***

0.618**

− 0.05

0.491*

0.093

0.438

0.084

 

(0.055)

(0.343)

(0.190)

(0.160)

(0.671)

(0.261)

(0.299)

(0.315)

(0.456)

(0.259)

(0.191)

(0.275)

(0.183)

\(lnGDP\)

0.176***

0.735***

0.134

0.116

0.434

0.339

0.773***

0.345

0.347

0.565***

0.088

0.178

0.042

 

(0.044)

(0.272)

(0.151)

(0.127)

(0.535)

(0.207)

(0.237)

(0.250)

(0.363)

(0.206)

(0.151)

(0.218)

(0.145)

\(lnGold^{ + }\)

0.018***

0.069**

0.023

0.019

0.112*

0.006

− 0.006

0.038

0.038

0.035

− 0.016

0.035

0.016

 

(0.005)

(0.033)

(0.018)

(0.015)

(0.063)

(0.025)

(0.028)

(0.031)

(0.042)

(0.025)

(0.018)

(0.027)

(0.018)

\(lnGold^{ - }\)

0.055***

− 0.004

0.064***

0.037*

− 0.147*

0.046

0.008

0.047

0.019

0.046

0.060**

0.070*

0.005

 

(0.007)

(0.043)

(0.024)

(0.020)

(0.083)

(0.033)

(0.037)

(0.040)

(0.056)

(0.033)

(0.024)

(0.036)

(0.023)

\(lnOil^{ + }\)

0.005***

0.017**

0.005

0.006

0.001

0.01

0.002

0.004

− 0.002

0.003

0.002

0.015**

− 0.003

 

(0.001)

(0.009)

(0.005)

(0.004)

(0.017)

(0.007)

(0.008)

(0.008)

(0.012)

(0.007)

(0.005)

(0.007)

(0.005)

\(lnOil^{ - }\)

− 0.004**

0.004

− 0.005

0.005

0.008

0.001

− 0.003

− 0.003

0.009

− 0.004

− 0.016***

− 0.007

0.002

 

(0.002)

(0.011)

(0.006)

(0.005)

(0.022)

(0.008)

(0.010)

(0.010)

(0.015)

(0.008)

(0.006)

(0.009)

(0.006)

Constant

− 1.031***

− 5.512***

− 1.028

− 1.01

− 3.714

− 2.495

− 4.856***

− 2.467

− 2.296

− 3.816***

− 0.728

− 1.303

− 0.296

 

(0.043)

(2.101)

(1.185)

(1.152)

(4.635)

(1.562)

(1.619)

(1.853)

(2.496)

(1.451)

(1.300)

(1.628)

(1.097)

Observation

2,817

(N = 24; T = 127)

          
  1. Superscripts *, ** and *** denote the significance at 10 per cent, 5 per cent, and 1 per cent confidence levels, respectively. Standard errors are in parentheses. The correlation coefficients of each variable's increase ( +) and decrease (−) are presented. The symbol \(\Delta\) denotes the first difference for short-run estimation.
  2. Sectors including AC: Aquaculture; AV: Aviation; BK: Banking; BM: Building Materials; BU: Business; CI: Construction Investment; DI: Development Investment; ED: Education; EN: Energy; FE: Fertilizer; FO: Food; MI: Minerals; OG: Oil & Gas; PH: Pharmaceutical; PL: Plastic; PS: Public Services; RE: Real Estate; RU: Rubber; SE: Securities; SV: Services; ST: Steel; TE: Technology; TR: Trade; TP: Transportation.
  3. As the data for economic growth (GDP per capita) only has positive values, only \(\Delta lnGDP\) and \(lnGDP\) are reported.
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