Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis
Abstract
Purpose
This study examines the extreme quantile connectedness and spillovers between West Texas Intermediate (WTI) crude oil futures and ten Vietnamese stock market sectors. Knowledge of such links is important to both investors and policymakers in understanding the transmission of shocks across markets.
Design/methodology/approach
The authors employ the extreme quantile connectedness methodology of Ando et al. (2022).
Findings
Initial results show that the size of spillovers is higher during bearish markets than bullish markets and under major financial, political, energy and pandemic events. The oil market is a net receiver of spillovers during downward markets and net contributors during upward markets. The banking sector is a net contributor of spillovers, whereas consumer discretionary and consumer staples are net receivers for different quantiles. The role of the remaining sectors as net receivers/contributors is sensitive to the quantiles. Oil has a large spillover effect on the electricity sector for all quantiles. Comparing all crises, oil offers the best hedging effectiveness to the Vietnamese sector during the coronavirus disease 2019 (COVID-19) crisis. Moreover, oil was a cheap hedge asset during oil crises. Finally, oil provides the highest hedging effectiveness for healthcare during the global financial crisis (GFC) and consumer staples during the European debt crisis (EDC), oil crisis and COVID-19.
Originality/value
Acknowledging the presence of heterogeneity in the relation between oil and economic sectors under different market conditions, this study is the first to examine the extreme quantile connectedness between oil and Vietnamese sectors.
Keywords
Acknowledgements
This research is partly funded by the University of Economics Ho Chi Minh City, Vietnam.
Funding: This research is funded by National Foundation for Science and Technology Development (NAFOSTED), Vietnam, (15/2019/TN) and Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (2022S1A5A2A01038422).
Citation
Mensi, W., Ziadat, S.A., Vo, X.V. and Kang, S.H. (2022), "Extreme quantile connectedness and spillovers between oil and Vietnamese stock markets: a sectoral analysis", International Journal of Emerging Markets, Vol. ahead-of-print No. ahead-of-print. https://doi.org/10.1108/IJOEM-03-2022-0513
Publisher
:Emerald Publishing Limited
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