The impact of geopolitical risk on the stock market and stock bubbles in Vietnam: A mediation model
Từ khóa:
Geopolitical risk, Stock market, Stock bubbles
Tóm tắt
This paper aims to examine the indirect impact of geopolitical risk on theVietnamese stock market and stock bubbles (VSB) through its impact on
macro factors and commodity prices. Firstly, before testing the influence of
geopolitical risk on stock bubbles, a stock bubble existence test using SADF
(sup augmented Dickey-Fuller test) and GSADF (generalized sup Augment
ed Dickey-Fuller) is done. The tests show that stock bubbles appeared on
the Vietnamese stock market in 3 periods: September 2014 to November
2014, June 2017 to May 2018 and March 2021 to March 2022. Secondly,
the test on indirect relationship between geopolitical risk and Vietnam’s
stock market and stock bubbles reveals that geopolitical risk has a signifi
cant indirect relationship with the stock market through intermediary fac
tors including macroeconomic factors and natural gas prices, while it has a
significant indirect relationship with stock bubbles through the mediation
role of oil prices and natural gas prices. More specifically, the indirect re
lationships are weak but positive, which means that increasing geopolitical
tension may cause the VNIndex (representing Vietnam’s stock market) to
increase and may further exacerbate stock bubbles on the market. Finally,
the indirect correlation between geopolitical risk and Vietnam’s stock bub
ble is discussed and a crucial finding is concluded that major geopolitical
events often occurred just before and during the stock bubble formation.