Navigating global economic turmoil: The dynamics of oil prices, exchange rates, and stock markets in BRICS

The banking industry is one of the major industries in the Vietnamese stock market, so understanding how the industry index reacts to unusual events such as COVID-19’s impact is very important for the development of the Vietnamese stock market. This study examines the response of the banking sector index to three lockdown/blockage announcements to prevent the COVID-19 epidemic in Vietnam in 2020. Three times of lockdown/blockage: On February 13, 2020, blockade of Son Loi commune, Vinh Phuc province; on March 30, 2020, Vietnam announced the nationwide epidemic of COVID-19 and then nationwide lockdown, and on July 28, 2020, blockade in Da Nang. In the first case, the abnormal returns changed the sign around the notification date indicating that the stock price deviated from its fair value, but accumulating abnormal returns CAR (0;3] and CAR (0; 2] are both positive and statistically significant, which means that investors are more secure when the epidemic area is tightly controlled. The nationwide lockdown was the event that had the strongest impact on the stock price when both AR and CAR were negative and statistically significant before and after the date of the event’s announcement. Nationwide lockdown was the event that had the strongest impact on stock prices as both AR and CAR were negative in the days before and days after the event. This result supports the theory of imperfect substitution. Only AR [2] was positive and statistically significant, showing that the blockade event in Da Nang had a slight impact on the banking sector’s stock price.

The government bond (GB) has become the most attractive investment portfolio option, even though many macroeconomic factors affect the bond yield. This paper aims to investigate the determining factor of local currency government bond yield by considering the inflation rate, credit default swap, stock market index, exchange rate, and volatility index. This study used 240 data panel from the Bloomberg stock market in the form of data panel covering Southeast developing countries, namely Indonesia, Thailand, Malaysia, and the Philippines, for five years or sixty months from January 2015 to December 2019. Data analysis used recursive models and multivariate regression techniques using EViews software. The random effect model results revealed that change in the foreign exchange rate and volatility indexes affected, partially and simultaneously, the changes in the stock market index. The result also showed that changes in the stock market index, inflation rate, and credit default swap affected, partially and simultaneously, government bond yield changes. These results suggest that the government bond yield could be managed by controlling volatility index, foreign exchange rate, stock market index, inflation rates, and credit default swaps. This finding could provide an insight into the policymaker and fiscal authority on managing the risk of government bonds under control during high volatility or even making it reasonably lower. This result could contribute to the current research in the field of financial management.

Acknowledgment
It is the author’s pleasure to thank Muhammad Aulia SE MSc CSA® from the Ministry of Finance of Republic Indonesia, for his invaluable contribution to encourage this study and also to share the data required for this paper. He also delivers essential insights into improving the quality of this work. This research received no specific grant from any funding agency in the public, commercial, or not-for-profit sectors.

Integration or segmentation of markets determines whether substantial advantages in risk reduction can be attained through portfolio diversification in foreign securities. In an integrated market, investors face risk from country-specific factors and factors, which are common to all countries, but price only the later, as country-specific risk is diversifiable. The aim of this study is two-fold, firstly, investigating the superiority of the Fama-French three-factor model over Capital Asset Pricing Model (CAPM) and later using the superior model to test for integration of Indian and US equity markets (a proxy for global markets). Based on a sample of Bombay Stock Exchange 500 non-financial companies for the period 2003–2019, the data suggest the superiority of Fama-French three-factor model over CAPM. Using the Non-Linear Seemingly Unrelated Regression technique, the first half of the sample period (2003–2010) shows evidence of market segmentation; however, the second sub-period (2011–2019) shows weak signs of market integration, which is supported by the Johansen test of cointegration, suggesting that Indian market is gradually getting integrated with global markets.