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

Vo, Duc Hong; Nguyen, Hung Le-Phuc

doi:10.1186/s40854-023-00602-2

Financial Innovation

Table 8 The asymmetric effect 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

Asymmetric fixed effects estimation
Variables	All (Table 7)	All (Robust)	AC	AV	BK	BM	BU	CI	DI	ED	EN	FE	FO	MI
\(Interest^{ + }\)	0.226	1.100***	0.380*	0.648	0.877***	0.737***	0.355*	0.13	0.063	0.222	0.427***	0.811***	0.606***	− 0.248
	(0.203)	(0.088)	(0.214)	(0.498)	(0.275)	(0.228)	(0.213)	(0.208)	(0.316)	(0.282)	(0.160)	(0.232)	(0.193)	(0.376)
\(Interest^{ - }\)	− 0.222**	− 0.192	0.214	− 0.02	0.28	− 0.066	− 0.33	− 0.819**	0.132	− 0.902*	− 0.259	0.226	0.037	− 0.284
	(0.089)	(0.209)	(0.380)	(1.134)	(0.487)	(0.418)	(0.378)	(0.369)	(0.560)	(0.517)	(0.293)	(0.426)	(0.343)	(0.666)
\(lnExchange^{ + }\)	− 0.528***	− 0.257***	− 0.054	− 0.471	− 0.476*	− 0.373	− 0.158	− 0.312	− 0.125	− 0.759***	− 0.247	− 0.044	− 0.357*	0.086
	(0.078)	(0.077)	(0.204)	(0.434)	(0.261)	(0.228)	(0.202)	(0.198)	(0.300)	(0.282)	(0.160)	(0.233)	(0.184)	(0.357)
\(lnExchange^{ - }\)	− 0.057*	− 0.046	0.081	− 0.19	0.052	− 0.011	0.091	0.049	0.385**	− 0.088	− 0.085	0.048	− 0.023	− 0.023
	(0.030)	(0.037)	(0.104)	(0.303)	(0.133)	(0.115)	(0.103)	(0.101)	(0.153)	(0.142)	(0.080)	(0.117)	(0.094)	(0.182)
\(lnOpenness^{ + }\)	− 0.040	− 0.128***	0.045	− 0.841***	− 0.161	− 0.220**	− 0.160*	− 0.074	0.052	− 0.212*	− 0.109	− 0.108	− 0.182**	− 0.147
	(0.025)	(0.019)	(0.085)	(0.219)	(0.109)	(0.095)	(0.084)	(0.082)	(0.125)	(0.117)	(0.066)	(0.097)	(0.076)	(0.149)
\(lnOpenness^{ - }\)	− 0.200***	− 0.017	− 0.144	0.235	− 0.331*	− 0.133	− 0.408***	− 0.258**	− 0.086	− 0.097	− 0.225**	− 0.088	− 0.259**	− 0.585**
	(0.051)	(0.032)	(0.135)	(0.302)	(0.173)	(0.151)	(0.134)	(0.131)	(0.199)	(0.187)	(0.106)	(0.154)	(0.122)	(0.237)
\(FD^{ + }\)	0.095***	0.435***	− 0.108	0.022	− 0.087	− 0.01	− 0.027	0.049	0.056	− 0.105	− 0.024	− 0.018	− 0.041	− 0.153
	(0.033)	(0.024)	(0.078)	(0.425)	(0.100)	(0.087)	(0.078)	(0.076)	(0.116)	(0.108)	(0.061)	(0.089)	(0.071)	(0.137)
\(FD^{ - }\)	0.183***	0.078*	0.031	0.785**	0.172	0.132	0.249**	0.126	0.311**	0.099	0.061	0.172	0.018	0.262
	(0.055)	(0.044)	(0.106)	(0.384)	(0.136)	(0.118)	(0.105)	(0.103)	(0.156)	(0.147)	(0.083)	(0.121)	(0.096)	(0.186)
\(lnGDP\)	0.176***	0.142***	0.018	0.809***	0.208*	0.169*	0.208**	0.078	− 0.022	0.171	0.092	0.082	0.204**	0.167
	(0.044)	(0.017)	(0.088)	(0.253)	(0.113)	(0.098)	(0.087)	(0.085)	(0.130)	(0.122)	(0.069)	(0.100)	(0.079)	(0.154)
\(lnGold^{ + }\)	0.018***	− 0.001	− 0.019	0.015	− 0.049**	− 0.02	− 0.041**	− 0.016	− 0.034	0.007	− 0.012	− 0.005	− 0.026*	− 0.055**
	(0.005)	(0.004)	(0.016)	(0.044)	(0.020)	(0.018)	(0.016)	(0.015)	(0.023)	(0.022)	(0.012)	(0.018)	(0.014)	(0.028)
\(lnGold^{ - }\)	0.055***	− 0.043***	0.001	0.015	− 0.041	− 0.029	− 0.021	− 0.041**	− 0.046	− 0.029	0.005	− 0.003	0.015	− 0.0004
	(0.007)	(0.005)	(0.020)	(0.050)	(0.026)	(0.022)	(0.020)	(0.020)	(0.030)	(0.028)	(0.016)	(0.023)	(0.018)	(0.036)
\(lnOil^{ + }\)	0.005***	− 0.019***	− 0.006	− 0.02	− 0.014*	− 0.019***	− 0.009	− 0.013**	− 0.006	− 0.020**	− 0.010**	− 0.01	− 0.006	− 0.006
	(0.001)	(0.001)	(0.006)	(0.019)	(0.007)	(0.006)	(0.006)	(0.005)	(0.008)	(0.008)	(0.004)	(0.006)	(0.005)	(0.010)
\(lnOil^{ - }\)	− 0.004**	− 0.015***	− 0.009	0.026	− 0.004	− 0.005	− 0.004	0.004	− 0.020**	− 0.01	− 0.002	0.001	− 0.005	− 0.027**
	(0.002)	(0.002)	(0.006)	(0.031)	(0.008)	(0.007)	(0.006)	(0.006)	(0.009)	(0.009)	(0.005)	(0.007)	(0.006)	(0.011)
Constant	− 1.031***	0.028***	0.025***	0.056***	0.041***	0.035***	0.025***	0.027***	0.025***	0.024***	0.027***	0.037***	0.033***	0.012
	(0.043)	(0.004)	(0.005)	(0.009)	(0.006)	(0.005)	(0.004)	(0.004)	(0.007)	(0.006)	(0.003)	(0.005)	(0.004)	(0.008)
Observation	2,817	2,817	(N = 24; T = 127)

Variables	All (Table 7)	All (Robust)	OG	PH	PL	PS	RE	RU	SE	SV	ST	TE	TR	TP
\(Interest^{ + }\)	0.226	1.100***	0.829**	0.602***	0.493***	1.01	0.234	0.156	0.888***	0.421	0.450*	0.331	0.751***	0.215
	(0.203)	(0.088)	(0.324)	(0.175)	(0.176)	(0.660)	(0.219)	(0.237)	(0.305)	(0.322)	(0.234)	(0.211)	(0.239)	(0.176)
\(Interest^{ - }\)	− 0.222**	− 0.192	1.281**	− 0.029	− 0.013	5.379***	− 0.023	0.494	0.209	1.623***	0.368	− 0.732*	− 0.468	− 0.063
	(0.089)	(0.209)	(0.594)	(0.320)	(0.323)	(1.169)	(0.402)	(0.436)	(0.560)	(0.571)	(0.430)	(0.375)	(0.424)	(0.312)
\(lnExchange_{ - 1}^{ + }\)	− 0.528***	− 0.257***	− 0.274	− 0.187	− 0.161	1.088*	0.037	0.331	− 0.365	0.522*	− 0.092	− 0.517**	− 0.436*	− 0.084
	(0.078)	(0.077)	(0.324)	(0.175)	(0.176)	(0.627)	(0.219)	(0.238)	(0.306)	(0.306)	(0.235)	(0.201)	(0.227)	(0.167)
\(lnExchange_{ - 1}^{ - }\)	− 0.057*	− 0.046	− 0.017	− 0.016	0.014	− 0.285	0.016	− 0.169	0.138	− 0.484***	− 0.084	0.116	0.09	0.068
	(0.030)	(0.037)	(0.163)	(0.088)	(0.089)	(0.320)	(0.110)	(0.119)	(0.154)	(0.156)	(0.118)	(0.103)	(0.116)	(0.085)
\(lnOpenness^{ + }\)	− 0.040	− 0.128***	− 0.127	− 0.126*	− 0.147**	− 0.226	− 0.249***	− 0.222**	− 0.263**	− 0.525***	− 0.235**	− 0.13	− 0.094	− 0.149**
	(0.025)	(0.019)	(0.135)	(0.073)	(0.073)	(0.261)	(0.091)	(0.099)	(0.127)	(0.127)	(0.098)	(0.084)	(0.095)	(0.070)
\(lnOpenness^{ - }\)	− 0.200***	− 0.017	− 0.294	− 0.188	− 0.104	− 0.826**	− 0.101	− 0.466***	− 0.397*	− 0.196	− 0.192	− 0.238*	− 0.115	− 0.290***
	(0.051)	(0.032)	(0.215)	(0.116)	(0.117)	(0.415)	(0.145)	(0.158)	(0.203)	(0.203)	(0.156)	(0.133)	(0.151)	(0.111)
\(FD^{ + }\)	0.095***	0.435***	− 0.057	− 0.05	− 0.059	0.058	0.033	− 0.04	0.023	− 0.101	0.017	− 0.025	− 0.01	− 0.063
	(0.033)	(0.024)	(0.125)	(0.067)	(0.068)	(0.241)	(0.084)	(0.091)	(0.117)	(0.118)	(0.090)	(0.077)	(0.087)	(0.064)
\(FD^{ - }\)	0.183***	0.078*	0.211	0.089	0.248***	− 1.578***	0.196*	0.239*	0.366**	− 0.327**	0.089	0.249**	0.172	0.142
	(0.055)	(0.044)	(0.169)	(0.091)	(0.092)	(0.326)	(0.114)	(0.124)	(0.159)	(0.159)	(0.122)	(0.104)	(0.118)	(0.087)
\(lnGDP\)	0.176***	0.142***	0.121	0.084	0.146*	− 0.264	0.249***	0.181*	0.228*	0.345***	0.177*	0.158*	0.105	0.126*
	(0.044)	(0.017)	(0.140)	(0.075)	(0.076)	(0.270)	(0.095)	(0.102)	(0.132)	(0.132)	(0.101)	(0.087)	(0.098)	(0.072)
\(lnGold^{ + }\)	0.018***	− 0.001	− 0.035	− 0.02	− 0.025*	− 0.109**	− 0.031*	− 0.052***	− 0.03	− 0.048**	− 0.02	− 0.023	− 0.036**	− 0.024*
	(0.005)	(0.004)	(0.025)	(0.014)	(0.014)	(0.049)	(0.017)	(0.018)	(0.024)	(0.024)	(0.018)	(0.016)	(0.018)	(0.013)
\(lnGold^{ - }\)	0.055***	− 0.043***	− 0.02	0.014	− 0.02	0.096	− 0.025	0.02	− 0.052*	0.05	− 0.006	− 0.025	− 0.033	− 0.034**
	(0.007)	(0.005)	(0.032)	(0.017)	(0.017)	(0.063)	(0.022)	(0.023)	(0.030)	(0.031)	(0.023)	(0.020)	(0.023)	(0.017)
\(lnOil^{ + }\)	0.005***	− 0.019***	0.0002	− 0.008*	− 0.007	0.022	− 0.009	0.003	− 0.017**	− 0.012	− 0.01	− 0.009	− 0.015**	− 0.010**
	(0.001)	(0.001)	(0.009)	(0.005)	(0.005)	(0.017)	(0.006)	(0.007)	(0.008)	(0.008)	(0.006)	(0.005)	(0.006)	(0.005)
\(lnOil^{ - }\)	− 0.004**	− 0.015***	− 0.004	− 0.010**	0.0001	− 0.046**	0.002	− 0.009	− 0.003	− 0.019**	− 0.006	− 0.006	− 0.005	− 0.004
	(0.002)	(0.002)	(0.010)	(0.005)	(0.005)	(0.019)	(0.007)	(0.007)	(0.009)	(0.009)	(0.007)	(0.006)	(0.007)	(0.005)
Constant	− 1.031***	0.028***	0.051***	0.024***	0.033***	0.056***	0.035***	0.031***	0.049***	0.038***	0.035***	0.023***	0.024***	0.025***
	(0.043)	(0.004)	(0.007)	(0.004)	(0.004)	(0.014)	(0.005)	(0.005)	(0.007)	(0.007)	(0.005)	(0.004)	(0.005)	(0.004)
Observation	2,817	2,817	(N = 24; T = 127)

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.
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.
As the data for economic growth (GDP per capita) only has positive values, only \(\Delta lnGDP\) and \(lnGDP\) are reported.

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