Connectedness of Vietnamese bank stock returns under the impact of the COVID-19 pandemic

Author:

Phu Ha Nguyen1ORCID,Tram Anh Luong2ORCID,Hong Thai Le3ORCID

Affiliation:

1. Ph.D., Former Department Chair, Faculty of Finance and Banking, Banking Department, University of Economics and Business, Vietnam National University

2. Ph.D., Lecturer, Faculty of Banking and Finance, Department of Corporate Finance, University of Economics and Business, Vietnam National University

3. Ph.D., Lecturer, Vice Head of Public Finance Department, Faculty of Banking and Finance, Department of Public Finance, University of Economics and Business, Vietnam National University

Abstract

The COVID-19 pandemic highlighted the sensitivity of connectedness among bank stock returns in Vietnam. The aim of this study is to examine the strength of this connectedness along with the effect of government lockdown policy and COVID-19 cases on the total connectedness index (TCI) of 16 listed banks on Vietnamese stock exchanges. They are assessed using the database of FiinPro on the banking sector between January 2020 and July 2022, Vietnam Center for Disease Control and Prevention (CDC), and The World Health Organization (WHO) on the COVID-19 pandemic, employing a time-varying-parameter vector autoregressive (TVP-VAR) connectedness framework and the conditional quantile regression model. The results show that at the firm level, there is strong interdependence among bank stock returns with the average TCI being as high as 90.66%. It is also revealed that medium and large-sized banks are receivers of shock, while smaller banks are transmitters. As far as the impact on TCI is concerned, the widespread of the pandemic with the increasing number of COVID-19 cases is significantly negative, whereas the tightening of lockdown is significantly positive. Besides, the degree of the impact varies according to the 95th, 75th, 50th and 25th levels of conditional quantile regression. Based on the study’s findings, individual investors are recommended to thoroughly analyze the connectedness of banks before making investment decisions, while bank regulators should strengthen controls on credit relationships with small banks. Regarding policy makers, it is proposed to apply flexible restrictions and short-term lockdown depending on the actual outbreak of the pandemic. AcknowledgmentThe paper was conducted within the scope of Project QG21.48 of Vietnam National University.

Publisher

LLC CPC Business Perspectives

Subject

Economics, Econometrics and Finance (miscellaneous),Business, Management and Accounting (miscellaneous),Marketing,Organizational Behavior and Human Resource Management,Law

Reference50 articles.

1. Ackert, L. F., & Deaves, R. (2010). Behavioral finance: psychology, decision-making, and markets. South-Western Cengage Learning. - https://www.perlego.com/book/830011/behavioral-finance-psychology-decisionmaking-and-markets-pdf

2. CoVaR

3. Connectedness of energy markets around the world during the COVID-19 pandemic

4. Information and volatility linkage under external shocks

5. Aldasoro, I., Huang, W., & Kemp, E. (2020). Cross-border links between banks and non-bank financial institutions. BIS Quarterly Review, 61-74. - https://www.bis.org/publ/qtrpdf/r_qt2009e.htm

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号  京ICP备18003416号-3