FINANCIAL STRESS SPILLOVERS TO VIET NAM’S FINANCIAL MARKETS: EVIDENCE FROM A FOURIER QUANTILE-ON-QUANTILE APPROACH
DOI:
https://doi.org/10.62985/j.huit_ojs.vol26.no3E.647Keywords:
Financial stress, stock markets, exchange rate markets, quantile regression, Viet Nam.Abstract
This study looks into the nonlinear and horizon-dependent influences of global financial stress on Viet Nam’s financial markets using the Fourier Quantile-on-Quantile Regression (FQQR) framework. Financial stress is proxied by the Office of Financial Research Financial Stress Index (FSI), while Viet Nam’s financial markets are represented by the VN-Index (VNI), the Hanoi Stock Exchange Index (HNX), and the USDVND exchange rate over the period January 2019 to December 2025. The results demonstrate clear evidence of nonlinear and state-dependent transmission effects. FSI has a pronounced influence on stock market returns during bearish regimes and high-stress quantiles, with effects intensifying over medium and long horizons. The exchange rate also responds to stress shocks, though the magnitude appears more moderate compared with equity markets. These findings highlight the importance of accounting for distributional asymmetries and time–frequency heterogeneity. The study provides important implications for risk management, portfolio diversification, and macroprudential policy in highly integrated and externally exposed economies such as Viet Nam.
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