Asymmetric Effects of Oil Price Shock on Stock Markets in Vietnam: An Empirical Investigation Based on SVAR Model and NARDL Model

This research uses a combination of the SVAR model and the non-linear ARDL (NARDL) to investigate the long-term and short-term asymmetric effect of oil price structural shocks on the index of the Ho Chi Minh stock exchange and Hanoi stock exchange. The data selected include the world crude oil output, the imported crude oil price, the real economic activities index, the index of Ho Chi Minh stock exchange (Vn-Index), and the index of Hanoi stock exchange (HNXI). Data frequency is monthly periods from October 2011 to October 2020. The SVAR results show that a demand shock has a major long-run effect on Vietnamese stock markets, while a supply shock has no such impact. The NADRL’s finding reveals that only positive and negative aggregate demand shock imposes strong effects on Vietnam stock indices in the long run. In terms of asymmetry features, the Wald coefficient test for NADRL shows that the supply shock and oil marketspecific demand shock have asymmetric effects on the index of the Ho Chi Minh stock market in the long run. Major findings suggest that market controllers have to speed up their development of the domestic oil market. Investors have to pay attention to the demand information. KCI Citation Count: 1