Does the COVID-19 pandemic matter for market risks across sectors in Vietnam?

Vietnam has been considered one of the few countries that put the COVID-19 pandemic under control and successfully achieved solid economic growth in 2020. However, the national economy has been hit hard by the pandemic in 2021. National borders across the countries have been closed for an extended time. As such, supporting local industries is essential to sustain economic growth. This study measures the market risks across industries in Vietnam before and during the COVID-19 period. Two important measures, the Value-at-Risk and the Conditional Value-at-Risk, are used for the 2012-2020 period. We then extend the analyses by estimating the market risks using the monthly VaR for the 2019-2020 period. Key findings from this study can be summarized as follows. First, market risks across the Vietnamese industries have changed significantly in response to the pandemic, both at the level and their rankings. Second, among the changes, the services industry appears to be hardest hit by the pandemic as expected, whereas the education sector has significantly improved its standing during these challenging times. Our analysis also confirms that complete lockdowns negatively affect the market risk of various Vietnamese industries. We note that the service industry is a critical contributor to the Vietnamese economy and that lockdown during the pandemic does matter to the market risk. Policy implications have emerged on these findings.