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Global Turbulence Spillovers and Corporate Equity Returns Volatility in a Transition Economy: Economy- and Region-Based Approaches With Moderating Roles of Liquidity and Government Ownership
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Global Turbulence Spillovers and Corporate Equity Returns Volatility in a Transition Economy: Economy- and Region-Based Approaches With Moderating Roles of Liquidity and Government Ownership
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Journal Article
Global Turbulence Spillovers and Corporate Equity Returns Volatility in a Transition Economy: Economy- and Region-Based Approaches With Moderating Roles of Liquidity and Government Ownership
2025
Overview
This study investigates how economic and political uncertainty spillovers influence corporate equity volatility in Vietnam. Using dynamic panel estimators addressing endogeneity, the study shows that uncertainties from advanced, emerging, and low-income countries markedly amplify stock return volatility in Vietnam. Similarly, uncertainty from Africa, Asia-Pacific, Europe, Central Asia, the Middle East, and the Western Hemisphere exerts destabilizing effects. However, some of these effects are only significant under an estimator accounting for endogeneity and the dynamic structure of panel data. The study also examines firm-level heterogeneity, which shows that corporate liquidity reduces exposure to spillovers from low-income economies and Africa while government ownership buffers the impact of uncertainty from Asia-Pacific. The findings provide valuable insights for investors, corporations, and policymakers when formulating decisions under the influence of uncertainty spillovers.
