1. Home
  2. Volume 5 • Issue 3
  3. Stock market returns and liquidity during the COVID-19 outbreak: evidence from the financial services sector in Vietnam
New submission
Issues
Journal Information
Aims and ScopeEditorial BoardEditorial Advisory BoardJournal Policies
Resources
For Readers
For Authors
For Editors
For Reviewers
Publication EthicsCall for Special Issue
ISSN
ISSN 2615-9821
ISSN(Previous) 2588-1396

Volume 5 • Issue 3 | November 2021

Stock market returns and liquidity during the COVID-19 outbreak: evidence from the financial services sector in Vietnam

Cuong Thanh Nguyen, Phan Thanh Hai, and Huyen Khanh Nguyen

09/11/2021 161 0 0
Like Buy now 20.000 đ
COVID-19 Daily stock returns Liquidity Financial services industry Vietnam

Abstract:

Purpose
This paper aims to explore the influence of the COVID-19 outbreak and the Government's disease control measures on the stock returns and liquidity of Vietnam-listed companies in the financial services sector.

Design/methodology/approach
The authors have conducted a panel data regression analysis using data from 50 banking, insurance and finance companies listed in Vietnam's two biggest stock exchanges (HNX and HOSE) within the period from January 30th, 2020 to May 15th, 2021.

Findings
The regression results indicate that the daily growth in the total number of confirmed cases caused by COVID-19 has significant negative effects on the stock market returns and liquidity. Nevertheless, the Government's imposition of lockdown yields significant and positive outcomes on stock performance. In addition, the study reveals remarkable differences in returns of large-cap and small-cap stocks under the impact of the COVID-19 pandemic.

Research limitations/implications
The study indicates government and regulators should act more actively to limit the outbreak of the virus, improve investor confidence as well to support the financial services industry and deal with the outbreak of the pandemic later.

Originality/value
This is the first study to explore the influence of the COVID-19 outbreak and the Government's disease control measures on the stock returns and liquidity of Vietnam-listed companies in the financial services industry.

References:

  1. Al-Awadhi, A.M., Alsaifi, K., Al-Awadhi, A. and Alhammadi, S. (2020), “Death and contagious infectious diseases: impact of the COVID-19 virus on stock market returns”, Journal of Behavioral and Experimental Finance, Vol. 27, p. 100326.
  2. Alfaro, L., Chari, A., Greenland, A.N. and Schott, P.K. (2020), “Aggregate and firm-level stock returns during pandemics, in real time”, Working Paper No. w26950, National Bureau of Economic Research, Massachusetts.
  3. Amihud, Y. (2002), “Illiquidity and stock returns: cross-section and time-series effects$”, Journal of Financial Markets, Vol. 5, pp. 31-56.
  4. Anh, D.L.T. and Gan, C. (2021), “The impact of the COVID-19 lockdown on stock market performance: evidence from Vietnam”, Journal of Economic Studies, Vol. 48 No. 4, pp. 836-851.
  5. Ashraf, B.N. (2020), “Stock markets' reaction to COVID-19: cases or fatalities?”, Research in International Business and Finance, Vol. 54, p. 101249.
  6. Baig, A.S., Butt, H.A., Haroon, O. and Rizvi, S.A.R. (2021), “Deaths, panic, lockdowns and US equity markets: the case of COVID-19 pandemic”, Finance Research Letters, Vol. 38, p. 101701.
  7. Baltagi, B.H. (2008), Econometric Analysis of Panel Data, John Wiley & Sons, New York.
  8. Bell, A. and Jones, K. (2015), “Explaining fixed effects: random effects modeling of time-series cross-sectional and panel data”, Political Science Research and Methods, Vol. 3 No. 1, pp. 133-153.
  9. Chen, M.-H., Jang, S.S. and Kim, W.G. (2007), “The impact of the SARS outbreak on Taiwanese hotel stock performance: an event-study approach”, International Journal of Hospitality Management, Vol. 26 No. 1, pp. 200-212.
  10. Chen, C.D., Chen, C.C., Tang, W.W. and Huang, B.Y. (2009), “The positive and negative impacts of the SARS outbreak: a case of the Taiwan industries”, The Journal of Developing Areas, Vol. 43 No. 1, pp. 281-293.
  11. Chung, K.H. and Zhang, H. (2014), “A simple approximation of intraday spreads using daily data”, Journal of Financial Markets, Vol. 17, pp. 94-120.
  12. Eleftheriou, K. and Patsoulis, P. (2020), “COVID-19 lockdown intensity and stock market returns: a spatial econometrics approach”, Working Paper No. 100662, University Library of Munich, Munich.
  13. Gao, Y., Zhao, W. and Wang, M. (2020), “The comparison study of liquidity measurements on the Chinese stock markets”, Emerging Markets Finance and Trade, pp. 1-29, doi: 10.1080/1540496X.2019.1709819.
  14. Goodell, J.W. (2020), “COVID-19 and finance: agendas for future research”, Finance Research Letters, Vol. 35, p. 101512.
  15. He, Q., Liu, J., Wang, S. and Yu, J. (2020), “The impact of COVID-19 on stock markets”, Economic and Political Studies, Vol. 8 No. 3, pp. 275-288.
  16. Hsiao, C. (2014), Analysis of Panel Data, Cambridge University Press, Cambridge.
  17. Ichev, R. and Marinč, M. (2018), “Stock prices and geographic proximity of information: evidence from the Ebola outbreak”, International Review of Financial Analysis, Vol. 56, pp. 153-166.
  18. Jiang, Y., Zhang, Y., Ma, C., Wang, Q., Xu, C., Donovan, C. and Sun, W. (2017), “H7N9 not only endanger human health but also hit stock marketing”, Advances in Disease Control and Prevention, Vol. 2 No. 1, p. 1.
  19. Keythman, B. (2018), “How to calculate daily stock return”, available at: https://pocketsense.com/calculate-daily-stock-return-5138.html (accessed 17 November 2018).
  20. Liu, H., Manzoor, A., Wang, C., Zhang, L. and Manzoor, Z. (2020), “The COVID-19 outbreak and affected countries stock markets response”, International Journal of Environmental Research and Public Health, Vol. 17 No. 8, p. 2800.
  21. Mdaghri, A.A., Raghibi, A., Thanh, C.N. and Oubdi, L. (2021), “Stock market liquidity, the great lockdown and the COVID-19 global pandemic nexus in MENA countries”, Review of Behavioral Finance, Vol. 13 No. 1, pp. 51-68.
  22. Mishra, P.K. (2020), “COVID-19, Black Swan events and the future of disaster risk management in India”, Progress in Disaster Science, Vol. 8, p. 100137.
  23. Phuong, L.C.M. (2021), “How COVID-19 impacts Vietnam's banking stocks: event study method”, Banks and Bank Systems, Vol. 16 No. 1, pp. 92-102.
  24. Sohrabi, C., Alsafi, Z., O'Neill, N., Khan, M., Kerwan, A., Al-Jabir, A. and Agha, R. (2020), “World Health Organization declares global emergency: a review of the 2019 novel coronavirus (COVID-19)”, International Journal of Surgery, Vol. 76, pp. 71-76.
  25. Taleb, N.N. (2007), The black Swan: The Impact of the Highly Improbable, Random House, New York, Vol. 2.
  26. Van Hoof, E. (2020). “Lockdown is the world's biggest psychological experiment-and we will pay the price”, Paper Presented at the World Economic Forum.
  27. WHO (2020), “Coronavirus disease 2019 (COVID-19)”, available at: https://covid19.who.int/ (accessed 21 September 2020).
  28. Zhang, D., Hu, M. and Ji, Q. (2020), “Financial markets under the global pandemic of COVID-19”, Finance Research Letters, Vol. 36, p. 101528.

JEL classification: C23,G10,G14,G15

Related articles