Global economic downturns and multiple extreme events threaten Vietnam's economy, leading to a surge in stock market risk and significant spillovers. This study investigates market risk spillovers and explores the asymmetric effects of macroeconomic indicators on market risk across 24 sectors in Vietnam from 2012 to 2022. We use the value-at-risk (VaR) technique and a vector autoregression (VAR) model to estimate market risks and their spillovers across Vietnamese sectors. We then examine the asymmetric effects of macroeconomic indicators on market risk using a panel nonlinear autoregressive distribution lag (NARDL) model. Our results confirm that Vietnam’s market risk increases rapidly in response to extreme events. Additionally, market risks exhibit substantial inter-connectedness across the Vietnamese sectors. The Building Materials, Technology, and Securities sectors are primary risk transmitters, whereas the Minerals, Development Investment, and Education sectors are major risk absorbers. Our results also confirm that market risk responds asymmetrically to changes in interest rates, exchange rates (USD/VND), trade openness, financial development, and economic growth in the short and long run. Minerals, Oil & Gas, and Rubber are the sectors that are most affected by macroeconomic indicators in the long run. Based on these important findings, implications focused on limiting market risks and their spillovers, along with sustainable investing, have emerged.

中文翻译：

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市场风险溢出以及宏观经济基本面对越南各行业市场风险的不对称影响

全球经济低迷和多重极端事件威胁越南经济，导致股市风险激增和显着的溢出效应。本研究调查了市场风险溢出效应，并探讨了 2012 年至 2022 年宏观经济指标对越南 24 个行业市场风险的不对称影响。我们使用风险价值 (VaR) 技术和向量自回归 (VAR) 模型来估计市场风险及其对越南各行业的溢出效应。然后，我们使用面板非线性自回归分布滞后（NARDL）模型研究宏观经济指标对市场风险的不对称影响。我们的研究结果证实，越南的市场风险因应对极端事件而迅速增加。此外，越南各行业的市场风险表现出显着的相互关联性。建筑材料、科技和证券行业是主要的风险传递者，而矿产、开发投资和教育行业是主要的风险吸收者。我们的研究结果还证实，市场风险对短期和长期的利率、汇率（美元/越南盾）、贸易开放度、金融发展和经济增长的变化做出不对称的反应。矿产、石油天然气和橡胶是长期受宏观经济指标影响最大的行业。基于这些重要发现，针对限制市场风险及其溢出效应以及可持续投资的影响已经出现。