Systemic shocks, sectoral vulnerability, and firm-level volatility: Bayesian evidence from Vietnam

Tran Hoang  Truc Linh; Ahmad Shabir Faizi; Nguyen Van Diep

doi:10.63065/ajafe.2026.1.003

Asian Journal of Applied Financial Econometrics (AJAFE)

Volume 1_Number 1 , Tháng 4/2026, Trang 15-25

Systemic shocks, sectoral vulnerability, and firm-level volatility: Bayesian evidence from Vietnam

Tran Hoang Truc Linh, Ahmad Shabir Faizi, Nguyen Van Diep

DOI: 10.63065/ajafe.2026.1.003

Email: diep.nv@ou.edu.vn

Đơn vị công tác: Trường Đại Học Mở TP.HCM

Ngày nhận bài: 09/09/2026

Ngày nhận bài sửa: 09/09/2026

Ngày duyệt đăng: 09/09/2026

Lượt xem: 6

Downloads: 0

Các định dạng trích dẫn

Tóm tắt

Purpose – This study examines the impact of systemic shocks on firm-level stock return volatility and investigates whether sectoral heterogeneity persists during periods of heightened uncertainty. Focusing on the COVID-19 lockdown in Vietnam, the study evaluates the extent to which firm-specific characteristics remain informative under extreme market conditions.

Design/methodology/ approach – Using daily stock return data from firms listed on the Ho Chi Minh Stock Exchange (HOSE) during the COVID-19 lockdown period, this study employs a Bayesian regression framework to examine firm-level volatility dynamics and sectoral heterogeneity.

Findings – The results provide strong evidence of systemic dominance during the lockdown period. Lockdown measures significantly increase firm-level stock return volatility, while cross-sectional heterogeneity declines as firm-specific characteristics become less informative. However, firms in the communication and technology sector exhibit significantly stronger volatility responses than those in other industries.

Originality/value – This study contributes to the crisis and volatility literature by proposing a dual-layer framework in which systemic shocks generate market-wide volatility synchronization while preserving sector-specific vulnerability. It also demonstrates the usefulness of Bayesian inference in evaluating volatility dynamics under extreme uncertainty, with implications for investors and regulators in emerging markets.

Từ khóa

Bayesian approach, COVID-19 lockdown, Sectoral vulnerability, Systemic dominance, Stock return volatility

Download Mua ngay Buy now

Tài liệu tham khảo

Acemoglu, D., Chernozhukov, V., Werning, I., & Whinston, M. D. (2020). Optimal targeted lockdowns in a multi-group SIR model. American Economic Review: Insights, 3(4), 487-502. https://doi.org/10.1257/aeri.20200590.

Acharya, V. V., Engle, R., & Pierret, D. (2014). Testing macroprudential stress tests: The risk of regulatory risk weights. Journal of Monetary Economics, 65, 36-53. https://doi.org/10.1016/j.jmoneco.2014.02.007.

Acharya, V. V., Pedersen, L. H., Philippon, T., & Richardson, M. (2018). Measuring systemic risk. Review of Financial Studies, 30(1), 2-47. https://doi.org/10.1093/rfs/hhw088.

Alfaro, L., Chari, A., Greenland, A. N., & Schott, P. K. (2020). Aggregate and firm-level stock returns during pandemics, in real time. NBER Working Paper No. 26950. https://doi.org/10.3386/w26950.

Baker, S. R., Bloom, N., Davis, S. J., Kost, K., Sammon, M., & Viratyosin, T. (2020). The unprecedented stock market impact of COVID-19. Review of Asset Pricing Studies, 10(4), 742-758. https://doi.org/10.1093/rapstu/raaa008.

Barberis, N., Shleifer, A., & Vishny, R. (1998). A model of investor sentiment. Journal of Finance, 53(2), 307-343. https://doi.org/10.1111/0022-1082.00006.

Beck, T., Chen, T., Lin, C., & Song, F. M. (2016). Financial innovation: The bright and the dark sides. Journal of Banking & Finance, 72, 28-51. https://doi.org/10.1016/j.jbankfin.2016.06.012.

Bekaert, G., Ehrmann, M., Fratzscher, M., & Mehl, A. (2014). The global crisis and equity market contagion. Journal of Finance, 69(6), 2597-2649. https://doi.org/10.1111/jofi.12203.

Bekaert, G., Harvey, C. R., & Ng, A. (2005). Market integration and contagion. Journal of Business, 78(1), 39-69. https://doi.org/10.1086/426519.

Bloom, N. (2009). The impact of uncertainty shocks. Econometrica, 77(3), 623-685. https://doi.org/10.3982/ECTA6248.

Brooks, S. P., & Gelman, A. (1998). General methods for monitoring convergence of iterative simulations. Journal of Computational and Graphical Statistics, 7(4), 434-455.

Ding, W., Levine, R., Lin, C., & Xie, W. (2021). Corporate immunity to the COVID-19 pandemic. Journal of Financial Economics, 141(2), 802-830. https://doi.org/10.1016/j.jfineco.2021.03.005.

Forbes, K. J., & Rigobon, R. (2002). No contagion, only interdependence: Measuring stock market comovements. Journal of Finance, 57(5), 2223-2261. https://doi.org/10.1111/0022-1082.00494.

Gelman, A., & Stern, H. (2006). The difference between “significant” and “not significant” is not itself statistically significant. American Statistician, 60(4), 328-331. https://doi.org/10.1198/000313006X152649.

Gelman, A., Carlin, J. B., Stern, H. S., Dunson, D. B., Vehtari, A., & Rubin, D. B. (2013). Bayesian data analysis (3rd ed.). Chapman & Hall/CRC.

Gelman, A., Jakulin, A., Pittau, M. G., & Su, Y.-S. (2008). A weakly informative default prior distribution for logistic and other regression models. Annals of Applied Statistics, 2(4), 1360-1383.

International Monetary Fund. (2020). Vietnam: Staff concluding statement of the 2020 Article IV mission. International Monetary Fund.

Kahle, K. M., & Stulz, R. M. (2013). Access to capital, investment, and the financial crisis. Journal of Financial Economics, 110(2), 280-299. https://doi.org/10.1016/j.jfineco.2013.02.014.

Kass, R. E., & Raftery, A. E. (1995). Bayes factors. Journal of the American Statistical Association, 90(430), 773-795.

Kermani, A., & Ma, Y. (2020). The flight to safety and international risk sharing. Journal of Finance, 75(4), 1939-1980. https://doi.org/10.1111/jofi.12903.

Longin, F., & Solnik, B. (2001). Extreme correlation of international equity markets. Journal of Finance, 56(2), 649-676. https://doi.org/10.1111/0022-1082.00340.

Pastor, L., & Veronesi, P. (2012). Uncertainty about government policy and stock prices. Journal of Finance, 67(4), 1219-1264. https://doi.org/10.1111/j.1540-6261.2012.01746.x.

Pastor, L., & Veronesi, P. (2013). Political uncertainty and risk premia. Journal of Financial Economics, 110(3), 520-545. https://doi.org/10.1016/j.jfineco.2013.08.007.

Phan, D. H. B., & Narayan, P. K. (2020). Country responses and the reaction of the stock market to COVID-19: A preliminary exposition. Emerging Markets Finance and Trade, 56(10), 2138-2150. https://doi.org/10.1080/1540496X.2020.1784719.

Pindyck, R. S., & Wang, N. (2013). The economic and policy consequences of catastrophes. American Economic Journal: Economic Policy, 5(4), 306-339. https://doi.org/10.1257/pol.5.4.306.

Pukthuanthong, K., & Roll, R. (2009). Global market integration: An alternative measure and its application. Journal of Financial Economics, 94(2), 214-232. https://doi.org/10.1016/j.jfineco.2008.12.004.

Vives, X. (2014). Strategic complementarity in banking. Review of Economic Studies, 81(3), 843-882. https://doi.org/10.1093/restud/rdu003.