University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam.
International School of Business, University of Economics Ho Chi Minh City, Ho Chi Minh City, Vietnam.
PLoS One. 2022 Aug 23;17(8):e0272631. doi: 10.1371/journal.pone.0272631. eCollection 2022.
Vietnam has undergone four waves of the Covid-19 pandemic in 2020 and 2021, which have posed significant market risks to various sectors. Understanding the market risk of Vietnamese sectors and its changes is important for policy implementation to support the economy after the pandemic. This study measures the sectoral market risks and examines the effects of the pandemic, policy responses and macroeconomic fundamentals on the market risks across sectors in Vietnam. We employ the Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) techniques to measure the market risks for 24 sectors from 2012 to 2021. The market risk levels across Vietnamese sectors have changed significantly in response to the pandemic. Oil and Gas and Services sectors show the largest potential loss during the two Covid-19 waves in 2020. The Securities sector is the riskiest sector during the last two Covid-19 waves in 2021. Our results indicate that the new Covid-19 cases reported by the Government increase the market risk levels across Vietnamese sectors. On the other hand, enhancing containment and health policy and reducing economic policy uncertainty result in lower market risk across sectors. We also find that macroeconomic fundamentals such as the exchange rate and interest rate significantly affect the market risks across sectors in Vietnam.
越南在 2020 年和 2021 年经历了四轮新冠疫情，这给各行业带来了重大的市场风险。了解越南各行业的市场风险及其变化，对于疫情后实施支持经济的政策非常重要。本研究通过测量行业市场风险，并考察疫情、政策应对和宏观经济基本面变化对越南各行业市场风险的影响，来研究越南的市场风险。我们采用风险价值（VaR）和条件风险价值（CVaR）技术，对 2012 年至 2021 年的 24 个行业进行市场风险测量。在疫情影响下，越南各行业的市场风险水平发生了显著变化。石油和天然气行业以及服务业在 2020 年的两轮新冠疫情中损失最大。在 2021 年的后两轮新冠疫情中，证券行业的风险最大。研究结果表明，政府报告的新增新冠病例增加了越南各行业的市场风险水平。另一方面，加强防控和卫生政策，降低经济政策不确定性，会降低各行业的市场风险。我们还发现，汇率和利率等宏观经济基本面因素对越南各行业的市场风险有显著影响。
