Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets
Purpose – The purpose of studying the impact of crude oil and natural gas prices on the Vietnamese stock market is to understand the relationship between energy prices and the overall performance of the financial markets. As Vietnam is an energy-dependent country, fluctuations in crude oil and natur...
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Emerald Publishing
2025-03-01
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| Series: | Journal of Economics and Development |
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| Online Access: | https://www.emerald.com/insight/content/doi/10.1108/JED-08-2024-0280/full/pdf |
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| author | Jassim Aladwani |
| author_facet | Jassim Aladwani |
| author_sort | Jassim Aladwani |
| collection | DOAJ |
| description | Purpose – The purpose of studying the impact of crude oil and natural gas prices on the Vietnamese stock market is to understand the relationship between energy prices and the overall performance of the financial markets. As Vietnam is an energy-dependent country, fluctuations in crude oil and natural gas prices can significantly affect various industries, including manufacturing, inflation, transportation, energy production and economic growth. These sectors are often sensitive to changes in energy costs, which can lead to shifts in corporate profitability and investor sentiment. By analyzing how crude oil and natural gas prices influence the Vietnamese stock market, policymakers and investors can provide deeper insights into the economic risks and opportunities related to energy price volatility. This paper can also provide valuable information for decision-making in sectors such as economic forecasting, risk management and investment strategies. Design/methodology/approach – Using monthly data from January 2006 to March 2024, data were collected from the Vietnamese stock market and the OPEC organization for oil prices, while data on natural gas were obtained from the EIA. The data were analyzed using vector error correction (VEC) model, impulse response function, variance decomposition test and asymmetric reactions method; the study tries to ascertain the short-term and long-term dynamic relationships between the shocks of the crude oil price and natural gas prices and their effects on the movement of the stock price. In addition, the GARCH model is applied to measure the volatility of crude oil and natural gas prices. Findings – Crude oil price shocks have a statistically significant impact on most Vietnamese real stock market indices, except for the utility and consumer indices and some energy companies. Conversely, natural gas price shocks do not significantly affect on Vietnamese stock market indices, except for the energy index and some energy companies. Some “important” of both crude oil price and natural gas price shocks tend to depress the stock returns of energy companies. An increase in both crude oil and natural gas volatility can lead to heightened speculation in certain indices, particularly the energy and industrial indices, as well as in some energy companies. This heightened speculation often results in elevated of their stock returns. Originality/value – This study provides valuable insights into the field of study examining how fluctuations in the prices of oil and gas, particularly during major crisis periods such as global financial crisis, COVID-19 pandemic and the Russo-Ukrainian War, affect financial markets. |
| format | Article |
| id | doaj-art-de36e39b5dfc4c4c981e871ae43986a8 |
| institution | DOAJ |
| issn | 1859-0020 2632-5330 |
| language | English |
| publishDate | 2025-03-01 |
| publisher | Emerald Publishing |
| record_format | Article |
| series | Journal of Economics and Development |
| spelling | doaj-art-de36e39b5dfc4c4c981e871ae43986a82025-08-20T03:05:39ZengEmerald PublishingJournal of Economics and Development1859-00202632-53302025-03-012718710910.1108/JED-08-2024-0280Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock marketsJassim Aladwani0Department of Business Studies, Box Hill College Kuwait, Kuwait City, KuwaitPurpose – The purpose of studying the impact of crude oil and natural gas prices on the Vietnamese stock market is to understand the relationship between energy prices and the overall performance of the financial markets. As Vietnam is an energy-dependent country, fluctuations in crude oil and natural gas prices can significantly affect various industries, including manufacturing, inflation, transportation, energy production and economic growth. These sectors are often sensitive to changes in energy costs, which can lead to shifts in corporate profitability and investor sentiment. By analyzing how crude oil and natural gas prices influence the Vietnamese stock market, policymakers and investors can provide deeper insights into the economic risks and opportunities related to energy price volatility. This paper can also provide valuable information for decision-making in sectors such as economic forecasting, risk management and investment strategies. Design/methodology/approach – Using monthly data from January 2006 to March 2024, data were collected from the Vietnamese stock market and the OPEC organization for oil prices, while data on natural gas were obtained from the EIA. The data were analyzed using vector error correction (VEC) model, impulse response function, variance decomposition test and asymmetric reactions method; the study tries to ascertain the short-term and long-term dynamic relationships between the shocks of the crude oil price and natural gas prices and their effects on the movement of the stock price. In addition, the GARCH model is applied to measure the volatility of crude oil and natural gas prices. Findings – Crude oil price shocks have a statistically significant impact on most Vietnamese real stock market indices, except for the utility and consumer indices and some energy companies. Conversely, natural gas price shocks do not significantly affect on Vietnamese stock market indices, except for the energy index and some energy companies. Some “important” of both crude oil price and natural gas price shocks tend to depress the stock returns of energy companies. An increase in both crude oil and natural gas volatility can lead to heightened speculation in certain indices, particularly the energy and industrial indices, as well as in some energy companies. This heightened speculation often results in elevated of their stock returns. Originality/value – This study provides valuable insights into the field of study examining how fluctuations in the prices of oil and gas, particularly during major crisis periods such as global financial crisis, COVID-19 pandemic and the Russo-Ukrainian War, affect financial markets.https://www.emerald.com/insight/content/doi/10.1108/JED-08-2024-0280/full/pdfCrude oil price volatilityNatural gas price volatilityVector auto-regressive modelVietnamese stock market |
| spellingShingle | Jassim Aladwani Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets Journal of Economics and Development Crude oil price volatility Natural gas price volatility Vector auto-regressive model Vietnamese stock market |
| title | Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets |
| title_full | Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets |
| title_fullStr | Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets |
| title_full_unstemmed | Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets |
| title_short | Asymmetric reactions of the crude oil and natural gas markets on Vietnamese stock markets |
| title_sort | asymmetric reactions of the crude oil and natural gas markets on vietnamese stock markets |
| topic | Crude oil price volatility Natural gas price volatility Vector auto-regressive model Vietnamese stock market |
| url | https://www.emerald.com/insight/content/doi/10.1108/JED-08-2024-0280/full/pdf |
| work_keys_str_mv | AT jassimaladwani asymmetricreactionsofthecrudeoilandnaturalgasmarketsonvietnamesestockmarkets |