The Asymmetric Effects of Oil Prices on Stock Returns: Evidence from Hanoi Stock Exchange, Vietnam

Loc Dong Truong, Anh Thi Kim Nguyen, H. Swint Friday and Nhien Tuyet Doan
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Loc Dong Truong: School of Economics, Can Tho University, Vietnam
Anh Thi Kim Nguyen: Faculty of Economics and Business Administration, An Giang University, and Vietnam National University Ho Chi Minh City, Vietnam
H. Swint Friday: Texas A&M University – RELLIS, USA
Nhien Tuyet Doan: School of Economics, Can Tho University, Vietnam

International Journal of Energy Economics and Policy, 2024, vol. 14, issue 5, 236-241

Abstract: This study is devoted to investigating the asymmetric effects of oil prices on stock returns for Hanoi Stock Exchange (HNX). The data used in this study are weekly series of HNX-Index, WTI crude oil prices and geopolitical risks (GPRs) Index covering the period from January 2, 2010 to December 31, 2023. This study employed a nonlinear Autoregressive Distributed Lag (NARDL) bounds testing approach to estimate the short-term and long-term asymmetric effects of oil prices on the market returns. We found that in the short-term, oil prices have negative asymmetric effects on the market returns. Specifically, one percent increase in positive changes of oil prices immediately leads to 0.0085 percent decrease in the market returns. However, one percent increase in negative changes of oil prices is associated with 0.1487 percent decrease in the market returns. In the long-term, the estimated results confirm that both the negative and positive changes of oil prices have significantly negative effects on the market returns. Finally, the results obtained from the error correction model (ECM) indicate that 81.54 percent of the disequilibria from the previous week are converged and corrected back to the long-term equilibrium in the current week.

Keywords: Oil Prices; Stock Market Returns; HNX (search for similar items in EconPapers)
JEL-codes: E44 G12 G41 (search for similar items in EconPapers)
Date: 2024
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