Market performance and volatility during the Covid-19 pandemic in Vietnam: A sector-based analysis

Figures & data

Table 1. Major Covid-19 waves in Vietnam

Announcement date	Event	Ending Date	Total cases
23/01/2020	The first confirmed Covid-19 case in Vietnam	24/07/2020	415
25/07/2020	Da Nang as the epicentre	27/1/2021	1,136
28/01/2021	Hai Duong as the epicentre	26/4/2021	1,301
27/04/2021	Fourth wave with Delta variant	Ongoing	1,200,000+
01/10/2021	End lockdown & Ease restrictions	-	-

Sources: www.suckhoedoisong.vn and www.moh.gov.vn (Ministry of Health of Vietnam, 2021).

Table 2. Overall market performance across four waves of the Covid-19 pandemic

Event Window	Wave 1		Wave 2		Wave 3		Wave 4
	CAAR	t value	CAAR	t value	CAAR	t value	CAAR	t value
(−30,0)	−0.0234	−1.6431	−0.0153	−0.6386	0.0498**	2.3800	−0.0469*	−1.9223
(−25,0)	−0.0292**	−2.2372	−0.0138	−0.6272	0.0316*	1.6499	−0.0553**	−2.5238
(−20,0)	−0.0227*	−1.9376	−0.0205	−1.03656	0.0251	1.4540	−0.0456**	−2.2694
(−15,0)	−0.0159	−1.5533	−0.0084	−0.48543	0.0153	1.0151	−0.0421**	−2.4024
(−10,0)	−0.0108	−1.2737	−0.0026*	−0.18127	−0.0003	−0.0246	−0.0532***	−3.6595
(−5,0)	0.0041	0.6505	−0.0088	−0.83774	−0.0108	−1.1734	−0.0307***	−2.8602
(0,0)	0.0072***	2.8173	−0.0097**	−2.26062	−0.0131***	−3.4723	−0.0058	−1.3295
(0, +5)	−0.0357***	−5.699	−0.0239**	−2.2667	−0.0352***	−3.8175	−0.0163	−1.5213
(0, +10)	−0.0164*	−1.927	−0.0071	−0.49747	−0.0266**	−2.1346	−0.0251*	−1.7276
(0, +15)	−0.0137	−1.3387	0.0019	0.1115	−0.0187	−1.2420	−0.0547***	−3.118
(0, +20)	−0.0324***	−2.7623	0.0177	0.89567	0.0044	0.2572	−0.0597***	−2.9736
(0, +25)	−0.0235*	−1.8043	0.033	1.50162	0.0276	1.4402	−0.0644***	−2.9369
(0, +30)	−0.0628***	−4.4091	0.0258	1.07577	0.0373*	1.7809	−0.0540**	−2.2129

Notes: CAAR denotes the cumulative average abnormal return. The ***, **, * denotes the statistically significant estimates at 1 per cent, 5 per cent and 10 per cent levels. The window covers the period from the event date until different dates considered in our analysis. For example, (0, +5) for the Covid-19 wave 1 covers five trading days from the event date of wave 1, 23 January 2020, until five trading days from 23 January 2020.

Table 3. Market performance of the Vietnamese industries during the four Covid-19 waves across various event windows

Event window	Wave	AGP	MOG	UTL	CRE	MNF	WST	RTT	TAW	IAT	FAI	PST	AER	AFS
(−30,0)	1	−0.0042	0.0763	−0.0446**	−0.0745***	0.0044	−0.0681*	−0.0244	0.0099	−0.0267	0.0157	0.0080	0.0528	−0.1544**
	2	−0.2415***	−0.1011	−0.0002	−0.0162	−0.0141	−0.0521	0.0194	0.0353	−0.0022	0.0067	−0.0138	0.0770	−0.1544**
	3	0.0057	0.164***	−0.0154	0.107***	0.0125	0.0966**	0.11**	0.0167	0.1059*	0.0109	−0.04170	0.5145***	−0.0669
	4	−0.0048	−0.0506	−0.0607**	−0.0717**	−0.0458*	0.0238	0.0148	−0.0614*	−0.0587	−0.0203	−0.0964	−0.46***	0.1645*
(−20,0)	1	−0.0436	0.0439	−0.0455**	−0.0688***	0.0024	−0.0416	−0.0285	−0.0008	−0.0114	0.0221	−0.0130	0.0666	−0.152**
	2	−0.1826**	−0.0567	−0.0072	−0.0301	−0.0112	−0.0375	−0.0059	0.0084	−0.0363	0.0013	−0.0443	−0.0017	−0.152**
	3	−0.0127	0.1211**	−0.0064	0.0472*	0.0181	0.0531	0.0535	0.009	0.0483	−0.0397*	−0.06800	0.4981***	−0.0547
	4	0.0142	−0.0397	−0.0461**	−0.0679**	−0.0487**	0.0022	−0.0037	−0.0591**	−0.0994**	0.0032	−0.1231**	−0.1155	0.0032
(−10,0)	1	−0.0382	0.0067	−0.0369***	−0.0448***	0.0060	−0.0171	−0.0100	0.0130	−0.0250	0.0229	0.0303	0.0442	−0.0271
	2	−0.1036*	−0.0165	0.0041	−0.0019	0.0014	−0.0087	−0.0047	−0.0025	−0.0071	0.0103	0.00010	0.0858	−0.0271
	3	−0.0206	0.0634*	−0.0133	0.0176	−0.0102	0.0299	0.0743***	−0.0308*	−0.0388	−0.06***	−0.06450	0.3782***	−0.0361
	4	−0.0831	−0.0783**	−0.04**	−0.0725***	−0.0546***	−0.02970	0.0088	−0.0494**	−0.0869**	−0.0125	−0.0835**	−0.237***	−0.0426
(0,0)	1	0.0294***	0.0069	−0.0008	0.0048	0.0081***	0.011*	0.0091	0.0054	0.0051	0.0103**	0.0208*	0.0001	0.0149
	2	−0.0335**	0.0005	−0.0026	−0.0121**	−0.0069	−0.0151*	−0.0079	−0.0153**	−0.0139	−0.0054	−0.01550	−0.0313	0.0149
	3	0.0024	−0.0018	−0.025***	−0.0159***	−0.0147***	−0.0055	0.018**	−0.02***	−0.024**	−0.0063	−0.0161	0.0194	−0.0180
	4	−0.0120	−0.0006	−0.0008	−0.0077	−0.0056	−0.0084	−0.0073	−0.0028	−0.0109	−0.0033	−0.0155	−0.0204	−0.0270
(0, +10)	1	−0.0577	−0.0085	0.0148	−0.0236*	−0.021**	−0.0054	−0.0268	−0.0372*	−0.0557*	0.0036	0.0767**	−0.0232	0.0038
	2	−0.0146	0.0243	0.0177	0.0439**	0.0454***	0.0417	0.0090	0.0304	0.1008***	0.0206	−0.01750	−0.0886	0.0038
	3	−0.1534***	−0.0009	−0.01920	−0.0396**	−0.0287**	−0.0048	−0.0098	−0.05***	0.0289	−0.0120	−0.02000	0.3569***	−0.0320
	4	−0.0689	−0.0345	−0.0161	−0.046**	−0.0208	0.0044	−0.0244	−0.0291	−0.0013	0.0123	−0.0721*	−0.1068	−0.0798
(0, +20)	1	−0.0867*	−0.0354	−0.0142	−0.0389**	−0.0305**	−0.0183	−0.0284	−0.0721***	−0.0773*	−0.0118	0.126**	0.0263	−0.1293**
	2	−0.0421	0.0080	0.0008	−0.0035	0.0210	−0.0007	−0.0111	0.0027	0.0039	−0.0107	−0.01710	−0.1173	−0.1293**
	3	−0.0942	0.0496	−0.0095	−0.0291	0.0121	0.0441	−0.0188	−0.0160	0.0397	0.0138	−0.0341	0.719***	0.1952**
	4	−0.1479**	−0.128***	−0.0498**	−0.0936***	−0.0489**	−0.0490	−0.0645*	−0.0559*	−0.0175	0.0156	−0.1323**	−0.249**	−0.0500
(0, +30)	1	−0.1239**	−0.0367	−0.0358	−0.0673***	−0.0623***	−0.0222	−0.0639	−0.1116***	−0.161***	−0.0555**	0.1255**	−0.0740	−0.2092***
	2	−0.0950	−0.0602	−0.0126	−0.0318	−0.0114	−0.0427	−0.0298	−0.0173	0.0049	−0.0115	−0.03010	−0.0293	−0.209***
	3	−0.0788	0.1008*	0.0136	0.0110	0.044*	0.1093***	−0.0064	0.0037	0.1349**	0.0304	0.0772	0.3565***	0.2912***
	4	−0.1350	−0.1176**	−0.0457*	−0.0988***	−0.0404	−0.0487	−0.0874**	−0.0438	−0.0081	0.0456	−0.1269*	−0.2507*	−0.0342

Notes: CAAR denotes the cumulative average abnormal return. The ***, **, * denotes the statistically significant estimates at 1 per cent, 5 per cent and 10 per cent levels. The window covers the period from the event date to 30 days before and after the event date with 5-day intervals. For example, (0, +5) for the Covid-19 wave 1 covers five trading days from the event date of wave 1, 23 January 2020, until five trading days from 23 January 2020.

AGP for Agricultural production; MOG for Mining, Quarrying, and Oil and Gas Extraction; UTL for Utilities; CRE for Construction & Real Estate; MNF for Manufacturing; WST for Wholesale Trade; RTT for Retail trade; TAW for Transportation and Warehousing; IAT for Information and technology; FAI for Financial and Insurance; PST for Professional, Scientific, and Technical Services; AER for Arts Entertainment, and Recreation; and AFS for Accommodation and Food Services.

Table 4. Comprehensive market results for the “Lockdown end.”

Event Window	CAAR	t value
(−30,0)	0.0579**	2.000
(−25,0)	0.0577*	2.1720
(−20,0)	0.0249	1.0404
(−15,0)	0.0181	0.8670
(−10,0)	−0.0019	−0.1101
(−5,0)	−0.0177	−1.3895
(0,0)	0.0015	0.2886
(0, +5)	0.0690	0.5410
(0, +10)	0.0122	0.7030
(0, +15)	0.0310	1.4848
(0, +20)	0.0480**	2.0094
(0, +25)	0.05845**	2.1981
(0, +30)	0.0856***	2.9484

CAAR denotes the cumulative average abnormal return. (*** p < .01, ** p < .05, * p < .1).

Table 5. Further analysis at the industry level when the “Lockdown” ends

Event window	AGP	MOG	UTL	CRE	MNF	WST	RTT	TAW	IAT	FAI	PST	AER	AFS
(−30,0)	−0.0042	0.0763	−0.0446**	−0.0745***	0.0044	−0.0681*	−0.0244	0.0099	−0.0267	0.0157	0.0080	0.0528	−0.1544**
	(−0.07)	(1.28)	(−1.98)	(−3.47)	(0.26)	(−1.92)	(−0.6)	(0.3)	(−0.52)	(0.63)	(0.12)	(0.35)	(−1.97)
(−20,0)	−0.0436	0.0439	−0.0455**	−0.0688***	0.0024	−0.0416	−0.0285	−0.0008	−0.0114	0.0221	−0.0130	0.0666	−0.152**
	(−0.88)	(0.9)	(−2.46)	(−3.89)	(0.17)	(−1.43)	(−0.86)	(−0.03)	(−0.27)	(1.09)	(−0.25)	(0.54)	(−2.35)
(−10,0)	−0.0382	0.0067	−0.0369***	−0.0448***	0.0060	−0.0171	−0.0100	0.0130	−0.0250	0.0229	0.0303	0.0442	−0.0271
	(−1.07)	(0.19)	(−2.75)	(−3.5)	(0.6)	(−0.81)	(−0.41)	(0.67)	(−0.81)	(1.56)	(0.8)	(0.5)	(−0.58)
(0,0)	0.0294***	0.0069	−0.0008	0.0048	0.0081***	0.011*	0.0091	0.0054	0.0051	0.0103**	0.0208*	0.0001	0.0149
	(2.72)	(0.64)	(−0.19)	(1.24)	(2.7)	(1.73)	(1.24)	(0.91)	(0.54)	(2.32)	(1.82)	(0)	(1.06)
(0, +10)	−0.0577	−0.0085	0.0148	−0.0236*	−0.021**	−0.0054	−0.0268	−0.0372*	−0.0557*	0.0036	0.0767**	−0.0232	0.0038
	(−1.61)	(−0.24)	(1.1)	(−1.84)	(−2.11)	(−0.25)	(−1.11)	(−1.91)	(−1.81)	(0.24)	(2.02)	(−0.26)	(0.08)
(0, +20)	−0.0867*	−0.0354	−0.0142	−0.0389**	−0.0305**	−0.0183	−0.0284	−0.0721***	−0.0773*	−0.0118	0.126**	0.0263	−0.1293**
	(−1.75)	(−0.72)	(−0.77)	(−2.2)	(−2.22)	(−0.63)	(−0.85)	(−2.67)	(−1.82)	(−0.58)	(2.41)	(0.21)	(−2)
(0, +30)	−0.1239**	−0.0367	−0.0358	−0.0673***	−0.0623***	−0.0222	−0.0639	−0.1116***	−0.161***	−0.0555**	0.1255**	−0.0740	−0.2092***
	(−2.06)	(−0.62)	(−1.59)	(−3.13)	(−3.74)	(−0.63)	(−1.58)	(−3.41)	(−3.11)	(−2.25)	(1.97)	(−0.49)	(−2.66)

Note: AGP for Agricultural production; MOG for Mining, Quarrying, and Oil and Gas Extraction; UTL for Utilities; CRE for Construction & Real Estate; MNF for Manufacturing; WST for Wholesale Trade; RTT for Retail trade; TAW for Transportation and Warehousing; IAT for Information and technology; FAI for Financial and Insurance; PST for Professional, Scientific, and Technical Services; AER for Arts Entertainment, and Recreation; and AFS for Accommodation and Food Services.

Ministry of Health of Vietnam. (2021). Ngày 6/12: Có 14.591 ca COVID-19, TP Cần Thơ có số mắc nhiều nhất cả nước; Hà Nội tăng 187 ca. https://moh.gov.vn/tin-lien-quan/-/asset_publisher/vjYyM7O9aWnX/content/ngay-6-12-co-14-591-ca-covid-19-tp-can-tho-co-so-mac-nhieu-nhat-ca-nuoc-ha-noi-tang-187-ca

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