Impact of the US unconventional monetary policy in times of crises on Vietnam

Although some studies recently address the association between COVID-19 sentiment and returns, volatility, or stock trading volume, no one conducts an analysis to measure the impact of investor rationality or irrationality on the influence on countries and sectors’ returns.
This work creates a text media sentiment and combines its influence with the outbreak cases on the stock market sector returns of the US, Europe, and their main countries most affected by the pandemic.
This allows us to perceive the ranking impact of rationality or irrationality on country and sector stock returns. This work applies a random-effects robust panel estimation, with an M-estimator. This paper concludes that US returns are more sensitive to sentiment, and thus more prone to irrational factors than confirmed cases compared to Europe and that country factors influence the returns differently. In Italy and Spain as the most punished countries in Europe apart from the UK, present sector indexes return more reactive to verified cases, or rationality, namely, tourism, real estate, and the automobile (this last one in Italy).
The importance of this work resides in providing a new in-depth analysis of irrational behavioral metrics among countries, which allows for comparison. Moreover, it allows observing which sectors’ and which countries’ asset returns are most sensitive to rational or irrational expressions of events, allowing for arbitraging, financial planning for investors, decision-makers, and academia on an in and out of pandemic context.

Acknowledgment
This work is funded by National Funds through the FCT – Foundation for Science and Technology, I.P., within the scope of the project Refª UIDB/05583/2020. Furthermore, we would like to thank the Research Centre in Digital Services (CISeD) and the Polytechnic Institute of Viseu for their support.

This article discusses the latest methodological recommendations of the Basel Committee on Banking Supervision developed in response to the effects of the global financial crisis and known as Basel III. The purpose of the study is to explore scientific approaches to justifying bank regulation as a key condition for overcoming the economic crisis and improving financial sustainability. The object of research is Basel III instruments that will be implemented in the bank regulatory policy of Ukraine. The systematic approach and systemic thinking used in the article allow one to substantiate the expediency of Ukrainian banking institutions’ governance based on the risk-oriented approach and to determine the strategy of bank supervision for the next 1-3 years. The study evaluates the results of stress testing of the largest banks in Ukraine. Thus, the results confirm that the banking sector in Ukraine is sufficiently capitalized in the absence of macroeconomic shocks, but in case of a crisis, some of these banks are not protected. Therefore, the article formulates recommendations for improving the regulation of these banks, the phased implementation of Basel III, the application of new principles, standards, tools and methods, corporate governance and risk management in Ukrainian banks.

It is believed that bank diversification increases financial stability. However, several theories argue that diversification can trigger the spread of failure because of the increased interconnectivity between institutions. The aim of this study is to determine the impact of diversification on the systemic risk of banks. The sample of the study consists of 21 conventional banks listed on the Indonesia Stock Exchange from 2009 to 2018. The study uses firm-year fixed effect panel regression and an instrumental variable approach to examine how firm-specific variables determine the level of systemic risk. Diversification is measured by bank assets, funding, and revenue diversification. To measure the systemic risk, the Conditional Value-at-Risk (ΔCoVaR) methodology is applied. The results show that an increase in funding diversification leads to a decrease in ΔCoVaR, indicating that funding diversification exacerbates the level of systemic risk, whereas asset diversification and revenue diversification do not have significant effects on the level of systemic risk. The empirical findings suggest that the interconnectivity between banks should be reduced by limiting the diversification of funding in the banks to minimize their systemic risks.