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: 5

Downloads: 0

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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

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