Impact of government interventions on the stock market during Covid-19: A case study in Vietnam
Nội dung chính của bài viết
Tóm tắt
The study aims to analyze the reaction of the stock market to the events of government intervention during the Covid-19 pandemic. The author used data from 341 companies listed on the Ho Chi Minh City Stock Exchange, which were divided into 10 sector groups in the period 2019–2021. Using the event research method, the author analyzed the change in stock market returns around the event date. The research brought many interesting results. Firstly, policy distancing, blockdown, restricting exposure, and restricting travel have a negative effect on the stock market. Secondly, the three times the state bank has reduced interest rates, it shows a positive reaction in the stock market. The findings help investors, regulators, and governments understand the short-term impact of interventions.
Chi tiết bài viết
Từ khóa
Covid-19, Emerging country, Financial markets, Government interventions, Stock return
Tài liệu tham khảo
Adekunle, I. A., Onanuga, A. T., Akinola, O. O., & Ogunbanjo, O. W. (2020). Modelling spatial variations of coronavirus disease (Covid-19) in Africa. Science of the Total Environment, 729, 138998. https://doi.org/10.1016/j.scitotenv.2020.138998
Ang, M. A., & Rabo, J. S. (2021, April). An Industry Analysis of Stock Returns at the Philippine Stock Exchange during the Covid-19 Vaccine Rollout. In Prediction Model of Sustainability Practices on the Financial Performance of Philippine Rural Banks 2021 Asean university network business and economics virtual conference (p. 207).
Anh, D. L. T., & Gan, C. (2021). The impact of the Covid-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836-851. https://doi.org/10.1108/JES-06-2020-0312
Azmi, S. (2022). The Impact of Covid-19 on Hotel Stock Prices in Europe: An Event Study Approach. International Journal of Hospitality & Tourism Systems, 15(1), 101-110. https://ischolar.sscldl.in/index.php/ijhts/article/view/213131
Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns and US equity markets: The case of Covid-19 pandemic. Finance research letters, 38, 101701. https://doi.org/10.1016/j.frl.2020.101701
Bauer, A., & Weber, E. (2021). Covid-19: how much unemployment was caused by the shutdown in Germany?. Applied Economics Letters, 28(12), 1053-1058. https://doi.org/10.1080/13504851.2020.1789544
Beirne, J., Renzhi, N., Sugandi, E., & Volz, U. (2021). Covid‐19, asset markets and capital flows. Pacific Economic Review, 26(4), 498-538. https://doi.org/10.1111/1468-0106.12368
Bernard, V. (1987). Cross-Sectional Dependence And Problems In Inference In Market-Based Accounting Research. Journal of Accounting Research, 25, 1-48. https://doi.org/10.2307/2491257
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
Chen, S., Igan, D., Pierri, N., & Presbitero, A. (2020). Tracking the Economic Impact of Covid-19 and Mitigation Policies in Europe and the United States (No. 2020/125). International Monetary Fund.
Collins, D., & Dent, W. (1984). A Comparison Of Alternative Testing Methodologies Used In Capital-Market Research. Journal of Accounting Research, 22, 48-84. http://hdl.handle.net/10.2307/2490701
Conyon, M. J., He, L., & Thomsen, S. (2020). Lockdowns and Covid-19 deaths in Scandinavia. Available at SSRN 3616969.
Cowling, B. J., Ali, S. T., Ng, T. W., Tsang, T. K., Li, J. C., Fong, M. W., ... & Leung, G. M. (2020). Impact assessment of non-pharmaceutical interventions against coronavirus disease 2019 and influenza in Hong Kong: an observational study. The Lancet Public Health, 5(5), e279-e288. https://doi.org/10.1016/S2468-2667(20)30090-6
Dolley, J. C. (1933). Common stock split-ups—Motives and effects. Harvard Business Review, 12(1), 70-81.
Dong, B., Ma, X., Wang, N., & Wei, W. (2020). Impacts of exchange rate volatility and international oil price shock on China's regional economy: A dynamic CGE analysis. Energy Economics, 86, 103762. https://doi.org/10.1016/j.eneco.2017.09.014
Emeto, T. I., Alele, F. O., & Ilesanmi, O. S. (2021). Evaluation of the effect of border closure on Covid-19 incidence rates across nine African countries: an interrupted time series study. Transactions of the Royal Society of Tropical Medicine and Hygiene, 115(10), 1174-1183. https://doi.org/10.1093/trstmh/trab033
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Glascock, J. L., Davidson, W. N., & Henderson, G. V. (1987). Announcement Effects of Moody’s Bond Rating Changes on Equity Returns. Quarterly Journal of Business and Economics, 26(3), 67–78. http://www.jstor.org/stable/40472883
Goldstein, P., Yeyati, E. L., & Sartorio, L. (2021). Lockdown fatigue: The diminishing effects of quarantines on the spread of Covid-19. Covid Economics, 67, 1-23. https://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37369329
Harjoto, M. A., Rossi, F., & Paglia, J. K. (2021). Covid-19: Stock market reactions to the shock and the stimulus. Applied Economics Letters, 28(10), 795-801. https://doi.org/10.1080/13504851.2020.1781767
Haroon, O., & Rizvi, S. A. R. (2020). Covid-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. https://doi.org/10.1016/j.jbef.2020.100343
Heinkel, R., & Kraus, A. (1988). Measuring event impacts in thinly traded stocks. Journal of Financial and Quantitative Analysis, 23(1), 71-88. https://doi.org/10.2307/2331025
Henson, S., & Mazzocchi, M. (2002). Impact of bovine spongiform encephalopathy on agribusiness in the United Kingdom: results of an event study of equity prices. American Journal of Agricultural Economics, 84(2), 370-386. https://doi.org/10.1111/1467-8276.00304
Hongsakulvasu, N., & Liammukda, A. (2020). The risk-return relationship in crude oil markets during Covid-19 pandemic: Evidence from time-varying coefficient GARCH-in-mean model. The Journal of Asian Finance, Economics and Business, 7(10), 63-71. https://doi.org/10.13106/jafeb.2020.vol7.no10.063
Van Hùng, Đ., Nguyen, T. M. H., & Vu, T. D. (2021). The impact of Covid-19 on stock market returns in Vietnam. Journal of Risk and Financial Management, 14(9), 1-15. https://doi.org/10.3390/jrfm14090441
Huo, X., & Qiu, Z. (2020). How does China’s stock market react to the announcement of the Covid-19 pandemic lockdown?. Economic and Political Studies, 8(4), 436-461. https://doi.org/10.1080/20954816.2020.1780695
Jain, P. (1986). Analyses Of The Distribution Of Security Market Model Prediction Errors For Daily Returns Data. Journal of Accounting Research, 24, 76-96. https://doi.org/10.2307/2490805
Koh, W. C., Naing, L., & Wong, J. (2020). Estimating the impact of physical distancing measures in containing Covid-19: an empirical analysis. International Journal of Infectious Diseases, 100, 42-49. https://doi.org/10.1016/j.ijid.2020.08.026
Lau, E. H., & Leung, G. M. (2020). Reply to: Is presymptomatic spread a major contributor to Covid-19 transmission? Nature Medicine, 26(10), 1534-1535. https://doi.org/10.1038/s41591-020-1046-6
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. https://www.jstor.org/stable/2729691
Mishkin, F. S. (2009). Is monetary policy effective during financial crises?. American Economic Review, 99(2), 573-577. https://doi.org/10.1257/aer.99.2.573
Murphy, A. (2008). An analysis of the financial crisis of 2008: causes and solutions. An Analysis of the Financial Crisis of. http://dx.doi.org/10.2139/ssrn.1295344
Ozili, P. K., & Arun, T. (2023). Spillover of Covid-19: impact on the Global Economy. In Managing inflation and supply chain disruptions in the global economy (pp. 41-61). IGI Global.
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. http://dx.doi.org/10.1080/1540496X.2020.1784719
Phuong, L. C. M. (2021). How Covid-19 impacts Vietnam’s banking stocks: An event study method. Banks and Bank Systems, 16(1), 92-102. http://dx.doi.org/10.21511/bbs.16(1).2021.09
Rouatbi, W., Demir, E., Kizys, R., & Zaremba, A. (2021). Immunizing markets against the pandemic: Covid-19 vaccinations and stock volatility around the world. International Review of Financial Analysis, 77, 101819. https://doi.org/10.1016/j.irfa.2021.101819
Scherf, M., Matschke, X., & Rieger, M. O. (2022). Stock market reactions to Covid-19 lockdown: A global analysis. Finance Research Letters, 45, 102245. https://doi.org/10.1016/j.frl.2021.102245
Scholes, M., & Williams, J. (1977). Estimating betas from nonsynchronous data. Journal of Financial Economics, 5(3), 309-327. https://doi.org/10.1016/0304-405X(77)90041-1
Steyn, N., Lustig, A., Hendy, S. C., Binny, R. N., & Plank, M. J. (2022). Effect of vaccination, border testing, and quarantine requirements on the risk of Covid-19 in New Zealand: A modelling study. Infectious Disease Modelling, 7(1), 184-198. https://doi.org/10.1016/j.idm.2021.12.006
Su, Y., & Yip, Y. (2001). A comparison of predictability of exchange rates between G7 and Asian developing countries: potential impact of government intervention. Global Business and Economics Review, 3(2), 233-257. https://doi.org/10.1504/GBER.2001.006174
Swaine, A. (2009). Assessing the potential of national action plans to advance implementation of United Nations Security Council Resolution 1325. Yearbook of International Humanitarian Law, 12, 403-433. https://doi.org/10.1017/S1389135909000142
Verma, A. K., Lavine, K. J., & Lin, C. Y. (2021). Myocarditis after Covid-19 mRNA vaccination. New England Journal of Medicine, 385(14), 1332-1334. https://doi.org/10.1056/NEJMc2109975
Vo, D. H., & Doan, B. (2021). Effects from containment and closure policies to market quality: Do they really matter in Vietnam during Covid-19? Plos One, 16(4), e0248703. https://doi.org/10.1371/journal.pone.0248703
Wei, X., & Han, L. (2021). The impact of Covid-19 pandemic on transmission of monetary policy to financial markets. International Review of Financial Analysis, 74, 101705. https://doi.org/10.1016/j.irfa.2021.101705
Ang, M. A., & Rabo, J. S. (2021, April). An Industry Analysis of Stock Returns at the Philippine Stock Exchange during the Covid-19 Vaccine Rollout. In Prediction Model of Sustainability Practices on the Financial Performance of Philippine Rural Banks 2021 Asean university network business and economics virtual conference (p. 207).
Anh, D. L. T., & Gan, C. (2021). The impact of the Covid-19 lockdown on stock market performance: evidence from Vietnam. Journal of Economic Studies, 48(4), 836-851. https://doi.org/10.1108/JES-06-2020-0312
Azmi, S. (2022). The Impact of Covid-19 on Hotel Stock Prices in Europe: An Event Study Approach. International Journal of Hospitality & Tourism Systems, 15(1), 101-110. https://ischolar.sscldl.in/index.php/ijhts/article/view/213131
Baig, A. S., Butt, H. A., Haroon, O., & Rizvi, S. A. R. (2021). Deaths, panic, lockdowns and US equity markets: The case of Covid-19 pandemic. Finance research letters, 38, 101701. https://doi.org/10.1016/j.frl.2020.101701
Bauer, A., & Weber, E. (2021). Covid-19: how much unemployment was caused by the shutdown in Germany?. Applied Economics Letters, 28(12), 1053-1058. https://doi.org/10.1080/13504851.2020.1789544
Beirne, J., Renzhi, N., Sugandi, E., & Volz, U. (2021). Covid‐19, asset markets and capital flows. Pacific Economic Review, 26(4), 498-538. https://doi.org/10.1111/1468-0106.12368
Bernard, V. (1987). Cross-Sectional Dependence And Problems In Inference In Market-Based Accounting Research. Journal of Accounting Research, 25, 1-48. https://doi.org/10.2307/2491257
Brown, S. J., & Warner, J. B. (1985). Using daily stock returns: The case of event studies. Journal of financial economics, 14(1), 3-31. https://doi.org/10.1016/0304-405X(85)90042-X
Chen, S., Igan, D., Pierri, N., & Presbitero, A. (2020). Tracking the Economic Impact of Covid-19 and Mitigation Policies in Europe and the United States (No. 2020/125). International Monetary Fund.
Collins, D., & Dent, W. (1984). A Comparison Of Alternative Testing Methodologies Used In Capital-Market Research. Journal of Accounting Research, 22, 48-84. http://hdl.handle.net/10.2307/2490701
Conyon, M. J., He, L., & Thomsen, S. (2020). Lockdowns and Covid-19 deaths in Scandinavia. Available at SSRN 3616969.
Cowling, B. J., Ali, S. T., Ng, T. W., Tsang, T. K., Li, J. C., Fong, M. W., ... & Leung, G. M. (2020). Impact assessment of non-pharmaceutical interventions against coronavirus disease 2019 and influenza in Hong Kong: an observational study. The Lancet Public Health, 5(5), e279-e288. https://doi.org/10.1016/S2468-2667(20)30090-6
Dolley, J. C. (1933). Common stock split-ups—Motives and effects. Harvard Business Review, 12(1), 70-81.
Dong, B., Ma, X., Wang, N., & Wei, W. (2020). Impacts of exchange rate volatility and international oil price shock on China's regional economy: A dynamic CGE analysis. Energy Economics, 86, 103762. https://doi.org/10.1016/j.eneco.2017.09.014
Emeto, T. I., Alele, F. O., & Ilesanmi, O. S. (2021). Evaluation of the effect of border closure on Covid-19 incidence rates across nine African countries: an interrupted time series study. Transactions of the Royal Society of Tropical Medicine and Hygiene, 115(10), 1174-1183. https://doi.org/10.1093/trstmh/trab033
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617. https://doi.org/10.1111/j.1540-6261.1991.tb04636.x
Glascock, J. L., Davidson, W. N., & Henderson, G. V. (1987). Announcement Effects of Moody’s Bond Rating Changes on Equity Returns. Quarterly Journal of Business and Economics, 26(3), 67–78. http://www.jstor.org/stable/40472883
Goldstein, P., Yeyati, E. L., & Sartorio, L. (2021). Lockdown fatigue: The diminishing effects of quarantines on the spread of Covid-19. Covid Economics, 67, 1-23. https://nrs.harvard.edu/URN-3:HUL.INSTREPOS:37369329
Harjoto, M. A., Rossi, F., & Paglia, J. K. (2021). Covid-19: Stock market reactions to the shock and the stimulus. Applied Economics Letters, 28(10), 795-801. https://doi.org/10.1080/13504851.2020.1781767
Haroon, O., & Rizvi, S. A. R. (2020). Covid-19: Media coverage and financial markets behavior—A sectoral inquiry. Journal of Behavioral and Experimental Finance, 27, 100343. https://doi.org/10.1016/j.jbef.2020.100343
Heinkel, R., & Kraus, A. (1988). Measuring event impacts in thinly traded stocks. Journal of Financial and Quantitative Analysis, 23(1), 71-88. https://doi.org/10.2307/2331025
Henson, S., & Mazzocchi, M. (2002). Impact of bovine spongiform encephalopathy on agribusiness in the United Kingdom: results of an event study of equity prices. American Journal of Agricultural Economics, 84(2), 370-386. https://doi.org/10.1111/1467-8276.00304
Hongsakulvasu, N., & Liammukda, A. (2020). The risk-return relationship in crude oil markets during Covid-19 pandemic: Evidence from time-varying coefficient GARCH-in-mean model. The Journal of Asian Finance, Economics and Business, 7(10), 63-71. https://doi.org/10.13106/jafeb.2020.vol7.no10.063
Van Hùng, Đ., Nguyen, T. M. H., & Vu, T. D. (2021). The impact of Covid-19 on stock market returns in Vietnam. Journal of Risk and Financial Management, 14(9), 1-15. https://doi.org/10.3390/jrfm14090441
Huo, X., & Qiu, Z. (2020). How does China’s stock market react to the announcement of the Covid-19 pandemic lockdown?. Economic and Political Studies, 8(4), 436-461. https://doi.org/10.1080/20954816.2020.1780695
Jain, P. (1986). Analyses Of The Distribution Of Security Market Model Prediction Errors For Daily Returns Data. Journal of Accounting Research, 24, 76-96. https://doi.org/10.2307/2490805
Koh, W. C., Naing, L., & Wong, J. (2020). Estimating the impact of physical distancing measures in containing Covid-19: an empirical analysis. International Journal of Infectious Diseases, 100, 42-49. https://doi.org/10.1016/j.ijid.2020.08.026
Lau, E. H., & Leung, G. M. (2020). Reply to: Is presymptomatic spread a major contributor to Covid-19 transmission? Nature Medicine, 26(10), 1534-1535. https://doi.org/10.1038/s41591-020-1046-6
MacKinlay, A. C. (1997). Event studies in economics and finance. Journal of Economic Literature, 35(1), 13-39. https://www.jstor.org/stable/2729691
Mishkin, F. S. (2009). Is monetary policy effective during financial crises?. American Economic Review, 99(2), 573-577. https://doi.org/10.1257/aer.99.2.573
Murphy, A. (2008). An analysis of the financial crisis of 2008: causes and solutions. An Analysis of the Financial Crisis of. http://dx.doi.org/10.2139/ssrn.1295344
Ozili, P. K., & Arun, T. (2023). Spillover of Covid-19: impact on the Global Economy. In Managing inflation and supply chain disruptions in the global economy (pp. 41-61). IGI Global.
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. http://dx.doi.org/10.1080/1540496X.2020.1784719
Phuong, L. C. M. (2021). How Covid-19 impacts Vietnam’s banking stocks: An event study method. Banks and Bank Systems, 16(1), 92-102. http://dx.doi.org/10.21511/bbs.16(1).2021.09
Rouatbi, W., Demir, E., Kizys, R., & Zaremba, A. (2021). Immunizing markets against the pandemic: Covid-19 vaccinations and stock volatility around the world. International Review of Financial Analysis, 77, 101819. https://doi.org/10.1016/j.irfa.2021.101819
Scherf, M., Matschke, X., & Rieger, M. O. (2022). Stock market reactions to Covid-19 lockdown: A global analysis. Finance Research Letters, 45, 102245. https://doi.org/10.1016/j.frl.2021.102245
Scholes, M., & Williams, J. (1977). Estimating betas from nonsynchronous data. Journal of Financial Economics, 5(3), 309-327. https://doi.org/10.1016/0304-405X(77)90041-1
Steyn, N., Lustig, A., Hendy, S. C., Binny, R. N., & Plank, M. J. (2022). Effect of vaccination, border testing, and quarantine requirements on the risk of Covid-19 in New Zealand: A modelling study. Infectious Disease Modelling, 7(1), 184-198. https://doi.org/10.1016/j.idm.2021.12.006
Su, Y., & Yip, Y. (2001). A comparison of predictability of exchange rates between G7 and Asian developing countries: potential impact of government intervention. Global Business and Economics Review, 3(2), 233-257. https://doi.org/10.1504/GBER.2001.006174
Swaine, A. (2009). Assessing the potential of national action plans to advance implementation of United Nations Security Council Resolution 1325. Yearbook of International Humanitarian Law, 12, 403-433. https://doi.org/10.1017/S1389135909000142
Verma, A. K., Lavine, K. J., & Lin, C. Y. (2021). Myocarditis after Covid-19 mRNA vaccination. New England Journal of Medicine, 385(14), 1332-1334. https://doi.org/10.1056/NEJMc2109975
Vo, D. H., & Doan, B. (2021). Effects from containment and closure policies to market quality: Do they really matter in Vietnam during Covid-19? Plos One, 16(4), e0248703. https://doi.org/10.1371/journal.pone.0248703
Wei, X., & Han, L. (2021). The impact of Covid-19 pandemic on transmission of monetary policy to financial markets. International Review of Financial Analysis, 74, 101705. https://doi.org/10.1016/j.irfa.2021.101705
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