Finance

Vietnamese

Financial economics

Granger causality

Philosophy

Macroeconomics

Business

Systemic risk

Econometrics

Economics

Archaeology

Microeconomics

Financial market

Stock (firearms)

Geography

Financial crisis

Context (archaeology)

Stock market

Risk management

Linguistics

Spillover effect

Market risk

Stock market index

Volatility (finance)

Value at risk

Environmental Science and Pollution Research

This study examined the influence of tail risks on global financial markets, which aids in better understanding of the emergence of COVID-19. This study looks at the global and Vietnamese stock markets impacted by the COVID-19 pandemic to identify systemic emergencies. Risk dependent value (CoVaR) and Delta link VaR are two important tail-related risk indicators used in Conditional Bivariate Dynamic Correlation (DCC) (CoVaR). The empirical findings demonstrate that when COVID-19's worldwide spread widens, the volatility transmission of systemic risks across the global stock market and multiple exchanges shifts and becomes more relevant over time. At the time of COVID-19, the world industrial market was larger than the Vietnamese stock market, and the Vietnamese stock market posed a lesser danger to the global market. A closer examination of the link between the Vietnam value-at-risk (VaR) range index sample and the world stock index indicates a significant degree of downside risk integration in key monetary systems, particularly during the COVID-19 era. Our study findings may help regulators, politicians, and portfolio risk managers in Vietnam and worldwide during the unique moment of uncertainty created by the COVID-19 epidemic.

Assessing Financial Risk Spillover and Panic Impact of Covid-19 on European and Vietnam Stock market