Volatility spillovers between crude oil price and Vietnamese sectoral equity markets: Evidence from a frequency dynamics perspective

Tóm tắt

This article aims to examine the volatility spillovers between crude oil and the Vietnamese stock market, focusing on sector-level dynamics within an emerging economy context. Using stock index data from sixteen sectors, the study employs the time-frequency connectedness framework developed by Baruník and Krehlík (2018) to assess the interdependence between the crude oil market and Vietnamese equities across different time horizons. The results indicate a strong volatility spillover between the two markets, suggesting a shared risk exposure. Among sectors, the technology industry is identified as the most significant transmitter of volatility, while the airline sector exhibits the lowest degree of connectedness. Moreover, the total connectedness index fluctuates notably over time, pointing to the influence of macroeconomic and geopolitical factors. These findings provide critical insights for investors and policymakers by highlighting the importance of sector-specific sensitivity and broader market interactions in shaping investment strategies and managing financial risk.