Journal
ENVIRONMENTAL SCIENCE AND POLLUTION RESEARCH
Volume 29, Issue 19, Pages 28226-28240Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s11356-021-18170-2
Keywords
COVID-19; Vietnam and global; Stock; Markets; Systemic; Risk; CoVaR; Delta CoVaR; Connectedness
Categories
Funding
- Faculty of Business Administration, Van Lang University, Ho Chi Minh City, Vietnam
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This study examined the influence of tail risks on global financial markets, specifically focusing on the impact of the COVID-19 pandemic on global and Vietnamese stock markets. The findings suggest that the worldwide spread of COVID-19 has increased the transmission and relevance of systemic risks across global stock markets. The study also highlights the lesser threat posed by the Vietnamese stock market to the global market, but emphasizes the significant degree of downside risk integration in key monetary systems, particularly during the COVID-19 era.
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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