Asymmetric thresholds of macroeconomic volatility's impact on stock volatility in developing economies: a study in Vietnam

Lien Thi Nguyen, Minh Thi Nguyen, The Manh Nguyen
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Abstract

PurposeThis paper examines the impact of macroeconomic volatility on stock volatility, both under normal conditions and during the COVID-19 pandemic in Vietnam.Design/methodology/approachWe extend the existing EGARCH (Exponential Generalized Autoregressive Conditional Heteroskedasticity) model by adding a new component: the thresholds – the levels of macroeconomic volatility at which the market may respond differently. These thresholds are estimated for both positive and negative volatility.FindingsThe impact of macroeconomic volatility on stock volatility is asymmetric: there are thresholds of macroeconomic volatility at which its pattern changes. These thresholds are higher in the case of positive volatility compared with negative volatility. The thresholds were also higher during the COVID-19 pandemic. Macroeconomic variables influence stock volatility differently depending on market conditions. While GDP is more significant in normal periods, interest rates affect it in both normal and unstable phases.Research limitations/implicationsOur models consider only two variables representing macroeconomic variables: interest rate and GDP. Furthermore, only one lag period of the variables is included in the analysis. In the future, more macrovariables and longer lags could be included when computational techniques advance.Practical implicationsPolicymakers should consider the impact of macroeconomic volatility on the stock market when designing policies, especially at thresholds. Similarly, investors should pay more attention to macroeconomic volatility when constructing and managing their portfolios, particularly when such volatility is close to thresholds.Originality/valueThe inclusion of thresholds as parameters to be estimated into the model provides more insights into the impact of macroeconomic variables on stock volatility.
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宏观经济波动对发展中经济体股票波动影响的非对称阈值:对越南的研究
本文研究了在正常情况下和越南 COVID-19 大流行期间宏观经济波动对股票波动性的影响。研究结果宏观经济波动对股票波动的影响是不对称的:宏观经济波动的阈值存在,在阈值处 波动模式会发生变化。与负波动相比,正波动的阈值更高。在 COVID-19 大流行期间,阈值也更高。宏观经济变量对股票波动的影响因市场条件而异。我们的模型只考虑了代表宏观经济变量的两个变量:利率和 GDP。此外,分析中只包含了一个滞后期的变量。实际意义政策制定者在制定政策时应考虑宏观经济波动对股市的影响,尤其是在临界点时。同样,投资者在构建和管理投资组合时也应更多地关注宏观经济波动,尤其是当这种波动接近临界值时。
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来源期刊
CiteScore
2.40
自引率
0.00%
发文量
10
审稿时长
10 weeks
期刊最新文献
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