Herd behavior in Vietnam’s stock market: Impacts of COVID-19

Figures & data

Table 1. Comparison of stock markets in Vietnam as of 31 October 2022

Stock markets	Ho Chi Minh Stock Exchange (HoSE)	Hanoi Stock Exchange (HNX) (for listed companies)	UpCom (for unlisted public companies)
Stock index	VNI	HNX	UPCOM
No. of stocks	323	342	798
Face value	10,000 VND	NA	NA
Daily price change limit	±7% of the previous day’s close ±20% on 1^st day of listing	±10% of the previous day’s close ±30% on 1st day of listing	±15% of the previous day’s VWAP ±40% on 1st day of listing
Minimum price fluctuation	Price ≤10,000 VND: 10 VND 10,000 VND < Price <49,950 VND: 50 VND Price ≥50,000 VND: 100VND	100 VND	100 VND
Board lot	100 shares	100 shares	100 shares
Market capitalization	3,407,421 billion VND	215,726 billion VND	896,866 billion VND

Source: Viet Capital Securities (2022).²⁰

Table 2. Descriptive statistics for market return (R_m), CSSD, and CSAD series (HoSE, HNX, and UpCOM) for the whole period (from 1 January 2018 to 31 October 2022)

	HoSE			HNX			UpCOM
	Rm	CSSD	CSAD	Rm	CSSD	CSAD	Rm	CSSD	CSAD
Mean	0.00001	0.02650	0.01823	0.00058	0.03652	0.02377	0.00029	0.04579	0.02212
Median	0.00104	0.02504	0.01728	0.00137	0.03521	0.02230	0.00096	0.04483	0.02086
Std	0.01288	0.00586	0.00448	0.01491	0.00590	0.00702	0.00941	0.00771	0.00642
Max	0.04860	0.06729	0.03910	0.05392	0.08606	0.05603	0.04193	0.11896	0.07161
Min	−0.06908	0.01503	0.00958	−0.08376	0.02516	0.01121	−0.07442	0.03195	0.01102
Skewness	−1.10279	1.64522	1.09556	−0.94938	1.96119	1.44080	−1.50848	2.32919	1.80410
Kurtosis	4.25092	5.70051	1.84710	3.70161	7.23663	2.60521	8.02546	19.54363	6.80433

Figure 1. Relationship between market return and CSSD in different periods.

Note: Figure 1 displays CSSD and market return ($R_{m,t}$) in the three markets HoSE, HNX, and UPCOM. The sample periods are 1 January 2018–23 January 2020 (PRE), 24 January 2020–5 March 2022 (COVID), and 6 March 2022–31 October 2022 (POST).

Table 3. Estimates of herd behavior during market extreme movements with CSSD

Panel A: Market returns in the 1% tail of the distribution
	HoSE			HNX			UpCOM
	$\alpha$	${\mathit{D}}^L($1%$)$	${\mathit{D}}^U($1%$)$	$\alpha$	${\mathit{D}}^L($1%$)$	${\mathit{D}}^U($1%$)$	$\alpha$	${\mathit{D}}^L($1%$)$	${\mathit{D}}^U($1%$)$
WHOLE	0.0263***	0.0099***	0.0067***	0.0360***	0.0200***	0.0140***	0.0456***	0.0137***	0.0083***
	(0.0002)	(0.0010)	(0.0013)	(0.0002)	(0.0012)	(0.0018)	(0.0002)	(0.0023)	(0.0016)
PRE	0.0256***	0.0128***	0.0080***	0.0346***	0.0242***	0.0149***	0.0453***	0.0063*	0.0082*
	(0.0002)	(0.0012)	(0.0012)	(0.0002)	(0.0013)	(0.0028)	(0.0003)	(0.0008)	(0.0019)
COVID	0.0268***	0.0095***	0.0074***	0.0376***	0.0200***	0.0143***	0.0458***	0.0178***	0.0093***
	(0.0002)	(0.0014)	(0.0020)	(0.0002)	(0.0019)	(0.0025)	(0.0003)	(0.0031)	(0.0023)
POST	0.0272***	0.0078**	0.0018	0.0356***	0.0171***	0.0079*	0.0461***	0.0138***	0.0034
	(0.0006)	(0.0019)	(0.0015)	(0.0005)	(0.0015)	(0.0015)	(0.0006)	(0.0045)	(0.0007)
Panel B: Market returns in the 5% tail of the distribution
	HoSE			HNX			UpCOM
	$\alpha$	${\mathit{D}}^L($5%$)$	${\mathit{D}}^U($5%$)$	$\alpha$	${\mathit{D}}^L($5%$)$	${\mathit{D}}^U($5%$)$	$\alpha$	${\mathit{D}}^L($5%$)$	${\mathit{D}}^U($5%$)$
WHOLE	0.0257***	0.0077***	0.0045***	0.0351***	0.0116***	0.0082***	0.0453***	0.0075***	0.0028***
	(0.0002)	(0.0005)	(0.0006)	(0.0001)	(0.0008)	(0.0006)	(0.0002)	(0.0011)	(0.0008)
PRE	0.0250***	0.0077***	0.0063***	0.0341***	0.0101***	0.0102***	0.0452***	0.0036*	0.0038**
	(0.0002)	(0.0009)	(0.0008)	(0.0002)	(0.0016)	(0.0014)	(0.0003)	(0.0009)	(0.0014)
COVID	0.0262***	0.0082***	0.0036***	0.0366***	0.0124***	0.0071***	0.0455***	0.0077***	0.0024*
	(0.0002)	(0.0007)	(0.0009)	(0.0002)	(0.0011)	(0.0008)	(0.0004)	(0.0014)	(0.0012)
POST	0.0267***	0.0059***	0.0029	0.0340***	0.0117***	0.0063***	0.0449***	0.0095***	0.0027
	(0.0007)	(0.0011)	(0.0021)	(0.0004)	(0.0013)	(0.0011)	(0.0005)	(0.0023)	(0.0013)

***, **, * denote significance at 1%, 5%, and 10% level, respectively. Robust standard errors are reported in parentheses.

Figure 2. Relationship between market return and CSAD in different periods.

Note: Figure 2 displays CSAD and market return ($R_m$) in the three markets HoSE, HNX, and UPCOM. The sample periods are 1 January 2018–23 January 2020 (PRE), 24 January 2020–5 March 2022 (COVID) and 6 March 2022–31 October 2022 (POST).

Table 4. Estimates of herd behavior by non-linearity test between total CSAD and market returns

	HoSE			HNX			UpCOM
	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$
WHOLE	0.0148***	0.4783***	−4.2630***	0.0171***	0.6962***	−2.3320***	0.0171***	0.8240***	−1.2083*
	(0.0002)	(0.0356)	(1.0278)	(0.0002)	(0.0225)	(0.5387)	(0.0001)	(0.0223)	(0.4377)
PRE	0.0140***	0.4107***	−0.2052	0.0157***	0.7219***	−1.3967***	0.0160***	0.9195***	−5.4418***
	(0.0002)	(0.0349)	(1.2165)	(0.0001)	(0.0219)	(0.5302)	(0.0002)	(0.0404)	(1.1795)
COVID	0.0159***	0.4272***	−4.0429***	0.0193***	0.5962***	−1.1733**	0.0179***	0.7620***	−0.1420
	(0.0003)	(0.0514)	(1.3745)	(0.0003)	(0.0394)	(0.9651)	(0.0003)	(0.0348)	(0.6862)
POST	0.0150***	0.5369***	−6.1934***	0.0168***	0.6722***	−2.5602***	0.0189***	0.7598***	−0.6382
	(0.0006)	(0.0778)	(1.6519)	(0.0004)	(0.0521)	(1.0229)	(0.0004)	(0.0568)	(1.2968)

***, **, * denote significance at 1%, 5%, and 10% level, respectively. Robust standard errors are reported in parentheses.

Figure 3. Relationship between market return and fundamental CSAD in different periods.

Note: Figure 3 displays CSAD_fundamental and market return ($R_m$) in the three markets HoSE, HNX, and UPCOM. The sample periods are 1 January 2018–23 January 2020 (PRE), 24 January 2020–5 March 2022 (COVID) and 6 March 2022–31 October 2022 (POST).

Table 5. Estimates of herd behavior by non-linearity test between decomposed components of CSAD and market returns

	HoSE			HNX			UpCOM
	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$	$\alpha$	$\left|{\mathit{R}}_{\mathit{m}}\right|$	${\mathit{R}}_m^2$
Panel A: Fundamental CSAD
WHOLE	0.0179***	0.0160	1.1036***	0.0230***	0.0454**	1.4301**	0.0217***	0.0215	4.0395***
	(0.0001)	(0.0161)	(0.3859)	(0.0001)	(0.0210)	(0.4933)	(0.0001)	(0.0358)	(1.1654)
PRE	0.0170***	−0.0278**	1.4667***	0.0210***	−0.0106	0.8586**	0.0203***	−0.0456**	3.1754***
	(0.0000)	(0.0101)	(0.3206)	(0.0001)	(0.0156)	(0.4897)	(0.0000)	(0.0204)	(1.1658)
COVID	0.0188***	0.0105	0.8387***	0.0259***	−0.0363**	1.7596***	0.0233***	−0.0726***	4.0829***
	(0.0001)	(0.0196)	(0.3902)	(0.0001)	(0.0149)	(0.3171)	(0.0001)	(0.0307)	(0.5321)
POST	0.0185***	0.0678	0.5355	0.0247***	−0.0985*	5.5177***	0.0237***	0.0231	7.9036***
	(0.0003)	(0.0616)	(1.5909)	(0.0004)	(0.0626)	(1.0269)	(0.0003)	(0.0958)	(2.1628)
`Panel B: Non-fundamental CSAD
WHOLE	−0.0031***	0.4599***	−5.3255***	−0.0060***	0.6550***	−3.8345***	−0.0046***	0.8047***	−5.3003***
	(0.0002)	(0.0331)	(0.9268)	(0.0002)	(0.0277)	(0.7475)	(0.0002)	(0.0387)	(1.2818)
PRE	−0.0031***	0.4416***	−1.7314**	−0.0053***	0.7290***	−2.1903**	−0.0043***	0.9671***	−8.7380***
	(0.0002)	(0.0385)	(1.3133)	(0.0002)	(0.0303)	(0.8909)	(0.0002)	(0.0463)	(1.7945)
COVID	−0.0029***	0.4134***	−4.8192***	−0.0068***	0.6465***	−3.1482***	−0.0054***	0.8429***	−4.3659***
	(0.0003)	(0.0496)	(1.2810)	(0.0003)	(0.0403)	(0.9963)	(0.0003)	(0.0421)	(0.7612)
POST	−0.0034***	0.4449***	−6.2647**	−0.0079***	0.7468***	−7.6830***	−0.0048***	0.7442***	−8.6531**
	(0.0006)	(0.0681)	(1.4215)	(0.0005)	(0.0731)	(1.2616)	(0.0005)	(0.0939)	(1.9363)

***, **, * denote significance at 1%, 5%, and 10% level, respectively. Robust standard errors are reported in parentheses.

Figure 4. Relationship between market return and non-fundamental CSAD in different periods.

Note: Figure 4 displays CSAD_{non-fundamental} and maket return ($R_m$) in the three markets HoSE, HNX, and UPCOM. The sample periods are 1 January 2018–23 January 2020 (PRE), 24 January 2020–5 March 2022 (COVID) and 6 March 2022–31 October 2022 (POST).

Table 6. Estimates of herd behavior on days of high volatility by non-linearity test between total CSAD and market returns

		HoSE		HNX		UpCOM
		${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$
Panel A: Parkinson’s volatility measure
WHOLE	Coefficient	−3.220***	−2.759***	−1.826***	−0.272	−1.125*	−3.572
		(0.529)	(1.045)	(0.438)	(1.653)	(0.630)	(2.827)
	Wald statistic	3.2184*		1.1940		0.1668
PRE	Coefficient	−0.162	1.895	−1.563**	−0.234	−6.401***	−5.283
		(1.017)	(1.952)	(0.608)	(1.793)	(1.685)	(3.240)
	Wald statistic	2.2105		0.4694		0.0239
COVID	Coefficient	−2.828***	−2.332	−0.724	5.311**	−0.216	4.868
		(0.807)	(1.475)	(0.668)	(2.437)	(0.870)	(5.916)
	Wald statistic	1.6467		5.4119**		1.5337
POST	Coefficient	−5.248***	−0.779	−1.314	−2.874	2.477	−9.368
		(1.911)	(4.999)	(1.126)	(3.975)	(2.525)	(6.929)
	Wald statistic	0.3615		0.0527		1.5432
Panel B: Garman & Klass’s volatility measure
WHOLE	Coefficient	−4.031***	−1.934***	−2.087***	−2.103**	−1.282**	−3.387
		(0.566)	(0.741)	(0.453)	(0.786)	(0.643)	(2.439)
	Wald statistic	0.7524		0.5599		0.3591
PRE	Coefficient	−0.569	3.060	−1.577**	−1.513	−7.226***	−4.743
		(1.071)	(1.991)	(0.625)	(1.524)	(1.754)	(3.163)
	Wald statistic	4.6259**		0.0000		0.3061
COVID	Coefficient	−3.722***	−0.597	−1.086	2.186	−0.240	0.108
		(0.834)	(1.157)	(0.719)	(1.725)	(9.871)	(4.127)
	Wald statistic	0.2427		5.7211**		0.0806
POST	Coefficient	-9.574***	−1.439	−2.514*	−0.519	1.311	−4.084
		(2.384)	(2.202)	(1.284)	(1.385)	(2.736)	(6.657)
	Wald statistic	8.2569***		2.1574		0.1963

This table reports the estimated coefficients ${\gamma }_3$ and ${\gamma }_4$ for Eq. (6) with total CSAD as dependent variable and the Wald statistics corresponding to the test for the null hypothesis ${\gamma }_3-{\gamma }_4=0$. Robust standard errors are reported in parentheses. ***, **, * denote significance at 1%, 5%, and 10% level, respectively.

Table 7. Estimates of herd behavior on days of high volatility by non-linearity test between fundamental CSAD and market returns

		HoSE		HNX		UpCOM
		${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$
Panel A: Parkinson’s volatility measure
WHOLE	Coefficient	1.184**	1.104**	1.070**	−4.286**	2.366***	−9.595***
		(0.499)	(0.417)	(0.499)	(1.840)	(0.803)	(3.100)
	Wald statistic	0.0243		12.3918***		24.3602***
PRE	Coefficient	1.560***	0.018	0.820**	−1.940**	3.759***	−2.367**
		(0.264)	(1.618)	(0.480)	(0.647)	(0.506)	(0.505)
	Wald statistic	8.4616***		8.7699***		44.7465***
COVID	Coefficient	0.655*	1.222**	1.510***	1.399	3.042***	−1.937
		(0.513)	(0.477)	(0.317)	(2.150)	(0.514)	(7.102)
	Wald statistic	1.2724		0.0084		2.0730
POST	Coefficient	−0.787	0.629	4.139***	−6.078	7.174**	−18.02**
		(1.851)	(3.536)	(1.163)	(4.504)	(3.121)	(4.648)
	Wald statistic	0.1455		6.3403**		19.1720***
Panel B: Garman & Klass’s volatility measure
WHOLE	Coefficient	0.624*	1.594***	0.991**	2.925***	1.918***	−5.165**
		(0.501)	(0.516)	(0.495)	(1.000)	(0.761)	(5.317)
	Wald statistic	3.8172*		5.3351***		11.2270***
PRE	Coefficient	1.324***	−1.716***	0.667**	−1.951**	3.250***	−2.988***
		(0.278)	(0.572)	(0.485)	(0.551)	(0.494)	(0.503)
	Wald statistic	37.5601***		11.1840***		50.4590***
COVID	Coefficient	0.502	1.087***	1.444***	3.773***	2.830***	4.740*
		(0.576)	(0.427)	(0.300)	(0.937)	(0.557)	(6.602)
	Wald statistic	1.4235		10.5138***		0.5899
POST	Coefficient	−3.231**	4.798***	4.197***	7.852***	4.470*	−19.40***
		(2.350)	(1.070)	(1.165)	(1.337)	(2.573)	(3.893)
	Wald statistic	16.4205***		4.5747**		19.0635***

This table reports the estimated coefficients ${\gamma }_3$ and ${\gamma }_4$ for Eq. (6) with fundamental CSAD as dependent variable and the Wald statistics corresponding to the test for the null hypothesis ${\gamma }_3-{\gamma }_4=0$. Robust standard errors are reported in parentheses. ***, **, * denote significance at 1%, 5%, and 10% level, respectively.

Table 8. Estimates of herd behavior on days of high volatility by non-linearity test between non-fundamental CSAD and market returns

		HoSE		HNX		UpCOM
		${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$	${\mathit{\gamma }}_3$	${\mathit{\gamma }}_4$
Panel A: Parkinson’s volatility measure
WHOLE	Coefficient	−4.913***	−6.554***	−3.433***	3.478*	−3.660***	7.132**
		(0.659)	(1.763)	(0.786)	(1.619)	(0.892)	(3.127)
	Wald statistic	3.1924*		14.4814***		9.8974***
PRE	Coefficient	−2.304***	1.461	−2.228***	1.807	−10.38***	−3.187
		(1.120)	(1.523)	(0.874)	(2.312)	(1.392)	(2.499)
	Wald statistic	4.1616**		3.8740**		3.9420***
COVID	Coefficient	−3.988***	−6.042***	−3.092***	2.119	−3.403***	8.398
		(0.861)	(1.738)	(0.949)	(2.337)	(0.853)	(7.976)
	Wald statistic	2.6781		4.1266**		3.0993*
POST	Coefficient	−5.167**	−2.772	−6.058***	3.379	−5.421*	10.33
		(1.613)	(4.830)	(1.451)	(4.292)	(2.930)	(7.109)
	Wald statistic	0.1671		3.3335*		3.2996*
Panel B: Garman & Klass’s volatility measure
WHOLE	Coefficient	−5.487***	−5.642***	−3.649***	−5.014***	−3.307***	2.020
		(0.696)	(1.730)	(0.843)	(1.472)	(0.855)	(4.841)
	Wald statistic	0.0297		1.8575		3.1585*
PRE	Coefficient	−2.213**	4.223**	−2.126**	0.536	−10.59***	−2.438
		(1.127)	(1.997)	(0.897)	(1.502)	(1.487)	(2.662)
	Wald statistic	12.2081***		2.3179		5.1573**
COVID	Coefficient	−5.038***	−4.774***	−3.402***	−2.618*	−3.112***	−4.183
		(0.960)	(2.225)	(0.959)	(2.328)	(0.930)	(6.842)
	Wald statistic	0.0442		0.2602		0.0491
POST	Coefficient	−7.038***	−5.686**	−7.118***	−8.576***	−4.265	16.50*
		(2.140)	(1.836)	(1.655)	(1.787)	(2.917)	(6.231)
	Wald statistic	0.1731		0.4313		5.9386**

This table reports the estimated coefficients ${\gamma }_3$ and ${\gamma }_4$ for Eq. (6) with non-fundamental CSAD as dependent variable and the Wald statistics corresponding to the test for the null hypothesis ${\gamma }_3-{\gamma }_4=0$. Robust standard errors are reported in parentheses. ***, **, * denote significance at 1%, 5%, and 10% level, respectively

Table 9. Estimates of the impact of pandemic uncertainty and government response strictness on herd behavior

	HoSE				HNX				UpCOM
	$\alpha$	${\mathit{\gamma }}_1$	${\mathit{\gamma }}_2$	${\mathit{\gamma }}_3$	$\alpha$	${\mathit{\gamma }}_1$	${\mathit{\gamma }}_2$	${\mathit{\gamma }}_3$	$\alpha$	${\mathit{\gamma }}_1$	${\mathit{\gamma }}_2$	${\mathit{\gamma }}_3$
Panel A: Pandemic uncertainty
Total	0.016***	0.422***	−3.278	−0.190	0.019***	0.589***	−0.593	−0.131	0.018***	0.790***	−6.438	1.575
Fundamental	0.019***	0.028	0.282	0.033	0.026***	−0.030**	0.948	0.121	0.024***	−0.066**	1.052	0.685
Non-fundamental	−0.003***	0.395***	−3.560*	−0.224	−0.007***	0.619***	−1.541	−0.252	−0.006***	0.856***	−7.490	0.891
Panel B: Government responses strictness
Total	0.016***	0.426***	−4.302***	0.004	0.019***	0.593***	−1.047	−0.001	0.018***	0.773***	−0.580	0.006
Fundamental	0.019***	0.029*	0.875	−0.008	0.026***	−0.034**	2.823***	−0.020	0.024***	−0.071**	5.175**	−0.023
Non-fundamental	−0.003***	0.396***	−5.177***	0.012	−0.007***	0.627***	−3.870*	0.019	−0.006***	0.844***	−5.755*	0.029

***, **, * denote significance at 1%, 5%, and 10% level, respectively.