The Impact of Geopolitical Risk on Financial Assets: Evidence from Time-Varying Parameter Var


Authors

  • Nguyen Hai Nam
  • Do Dinh Dinh
  • Nguyen Thi Yen VNU University of Economics and Business, Vietnam
  • Do Quang Vinh Saigon Hanoi Bank, Hanoi, Vietnam
  • Nguyen Thanh Tung Bac Ninh Department of Finance, Vietnam
DOI: https://doi.org/10.57110/vnujeb.v3i4.202

Abstract

Geopolitical events are expected to affect all countries, asset classes, and sectors. Vietnam is a large open economy, actively participating in a vast network of free trade agreements. Therefore, political conflicts in some regions will have both positive and negative impacts on the Vietnamese economy. Aiming to explore the dependency structure between the geopolitical risk index and stock market returns, this study has evaluated quite in-depth using the TVP-VAR method combining the wavelet coherence phase between February 2012 and April 2022. The results show that geopolitical risk has a heterogeneous effect on the return of financial assets, and the market does not respond to geopolitical tensions in a uniform manner. Our research uncovers new and interesting implications for policymakers and investors involved in the Vietnamese stock market.

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25-08-2023

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How to Cite

Nam, N. H., Dinh, D. D., Yen, N. T., Vinh, D. Q., & Tung, N. T. (2023). The Impact of Geopolitical Risk on Financial Assets: Evidence from Time-Varying Parameter Var. VNU University of Economics and Business, 3(4), 33. https://doi.org/10.57110/vnujeb.v3i4.202

Issue

Vol. 3 No. 4

Section

Original Articles

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Copyright (c) 2023 Nguyen Hai Nam, Do Dinh Dinh, Nguyen Thi Yen, Do Quang Vinh, Nguyen Thanh Tung

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