PRICE VOLATILITY SPILLOVERS BETWEEN AI STOCKS AND VIETNAMESE COMMERCIAL BANKS
DOI:
https://doi.org/10.62985/j.huit_ojs.vol26.no5.705Keywords:
AI stocks, commercial bank stocks, Viet Nam, Spillover Index.Abstract
This study examines return spillovers between AI stocks and Vietnamese commercial bank stocks during the period 2020–2024. We use the Spillover Index method to assess the magnitude and direction of return spillovers between the two groups of stocks. The results reveal that return spillovers vary over time and fluctuate considerably during major events, including the COVID-19 pandemic, the Russia–Ukraine conflict, and global inflation in 2023. The findings also indicate a linear correlation between AI stock returns and Vietnamese commercial bank stock returns. Specifically, VCB, VIB, and VPB are primarily net receivers of return spillovers, whereas CTG, MBB, STB, and SHB act as net transmitters, transmitting spillover effects to other stocks. These findings provide useful insights for relevant stakeholders to assess the relationship between AI stocks and commercial bank stocks and formulate policies to enhance the stability and sustainability of the financial system in the context of digital transformation.
References
[1] M. I. Jordan and T. M. Mitchell, “Machine learning: Trends, perspectives, and prospects,” Science, vol. 349, no. 6245, pp. 255–260, Jul. 2015, doi: https://doi.org/10.1126/science.aaa8415
[2] R. Luckin and W. Holmes, Intelligence Unleashed: An Argument for AI in Education. London, U.K.: Pearson Education, 2016. [Online]. Available: https://www.pearson.com/content/dam/one-dot-com/one-dot-com/global/Files/about-pearson/innovation/Intelligence-Unleashed-Publication.pdf
[3] A. Agrawal, J. S. Gans, and A. Goldfarb, “Exploring the impact of artificial intelligence: Prediction versus judgment,” Information Economics and Policy, vol. 47, pp. 1–6, Jun. 2019, doi: https://doi.org/10.1016/j.infoecopol.2019.05.001
[4] X. Dong and S. H. McIntyre, “The second machine age: Work, progress, and prosperity in a time of brilliant technologies,” Quantitative Finance, vol. 14, no. 11, pp. 1895–1896, 2014, doi: https://doi.org/10.1080/14697688.2014.946440
[5] McKinsey & Company, “Crossing the horizon: North American asset management in the 2020s,” Oct. 6, 2021. [Online]. Available: https://www.mckinsey.com/industries/financial-services/our-insights/crossing-the-horizon-north-american-asset-management-in-the-2020s
[6] Y. Bonaparte, “Artificial intelligence in finance: Valuations and opportunities,” Finance Research Letters, vol. 60, Art. no. 104851, Feb. 2024, doi: https://doi.org/10.1016/j.frl.2023.104851
[7] Investing.com, “THNQ stock price | Robo Global Artificial Intelligence ETF.” [Online]. Available: https://www.investing.com/etfs/thnq
[8] A. Mer, K. Singhal, and A. S. Virdi, “A review of the role of artificial intelligence in banking and stock market trading,” in Finance Analytics in Business: Perspectives on Enhancing Efficiency and Accuracy. Bingley, U.K.: Emerald Publishing Limited, 2024, pp. 175–198, doi: https://doi.org/10.1108/978-1-83753-572-920241009
[9] M. D. Fethi and F. Pasiouras, “Assessing bank efficiency and performance with operational research and artificial intelligence techniques: A survey,” European Journal of Operational Research, vol. 204, no. 2, pp. 189–198, 2010, doi: https://doi.org/10.1016/j.ejor.2009.08.003
[10] S. G. R., R. K. Manoharan, P. Balamurugan, B. G. Ramaraj, and J. Sudarvel, “AI prediction of the weekend effect on stock returns selected private sectors banks in India,” SSRN Electronic Journal, Jan. 2025, doi: https://doi.org/10.2139/ssrn.5079777
[11] F. X. Diebold and K. Yilmaz, “Measuring financial asset return and volatility spillovers, with application to global equity markets,” The Economic Journal, vol. 119, no. 534, pp. 158–171, Jan. 2009, doi: https://doi.org/10.1111/j.1468-0297.2008.02208.x
[12] F. X. Diebold and K. Yilmaz, “Better to give than to receive: Predictive directional measurement of volatility spillovers,” International Journal of Forecasting, vol. 28, no. 1, pp. 57–66, 2012, doi: https://doi.org/10.1016/j.ijforecast.2011.02.006
[13] M. Khan, M. Khan, U. N. Kayani, K. S. Mughal, and R. Mumtaz, “Unveiling market connectedness: Dynamic returns spillovers in Asian emerging stock markets,” International Journal of Financial Studies, vol. 11, no. 3, Art. no. 112, Sep. 2023, doi: https://doi.org/10.3390/ijfs11030112
[14] T. T. T. Anh, “Xác định sự kết nối động giữa tỷ suất sinh lợi của thị trường chứng khoán các quốc gia Đông Nam Á: Tiếp cận bằng chỉ số lan truyền,” Tạp chí Khoa học Trường Đại học Cần Thơ, vol. 56, no. 3D, pp. 223–235, 2020, doi: https://doi.org/10.22144/ctu.jvn.2020.072
[15] C. Brock, “6 best AI stocks to buy in 2025,” Forbes, updated Dec. 8, 2025. [Online]. Available: https://www.forbes.com/sites/investor-hub/article/best-artificial-intelligence-ai-stocks/
[16] G. M. Qasaimeh and H. E. Jaradeh, “The impact of artificial intelligence on the effective applying of cyber governance in Jordanian commercial banks,” International Journal of Technology Innovation and Management (IJTIM), vol. 2, no. 1, pp. 68–86, May 2022, doi: https://doi.org/10.54489/ijtim.v2i1.61
[17] H. A. Al-Ababneh, V. Borisova, A. Zakharzhevska, P. Tkachenko, and N. Andrusiak, “Performance of artificial intelligence technologies in banking institutions,” WSEAS Transactions on Business and Economics, vol. 20, pp. 307–317, 2023, doi: https://doi.org/10.37394/23207.2023.20.29
[18] M. Kolleshi and E. Golemi, “Impact of artificial intelligence on the Albanian banking system,” Interdisciplinary Journal of Research and Development, vol. 11, no. 2, pp. 75–82, Jul. 2024, doi: https://doi.org/10.56345/ijrdv11n210
[19] S. P. Pattyam, “AI-driven financial market analysis: Advanced techniques for stock price prediction, risk management, and automated trading,” African Journal of Artificial Intelligence and Sustainable Development, vol. 1, no. 1, pp. 100–135, 2021.
[20] S. Khan, R. Bangash, and U. Ullah, “Unlocking market insights and AI-driven stock return analysis of the KMI-30 index,” Journal of Asian Development Studies, vol. 12, no. 3, pp. 465–479, Sep. 2023, doi: https://doi.org/10.62345/jads.2023.12.3.36
[21] Furizal, A. Ritonga, A. Ma’arif, and I. Suwarno, “Stock price forecasting with multivariate time series long short-term memory: A deep learning approach,” Journal of Robotics and Control (JRC), vol. 5, no. 5, pp. 1322–1335, 2024, doi: https://doi.org/10.18196/jrc.v5i5.22460
[22] J.-S. Chou and T.-K. Nguyen, “Forward forecast of stock price using sliding-window metaheuristic-optimized machine-learning regression,” IEEE Transactions on Industrial Informatics, vol. 14, no. 7, pp. 3132–3142, Jul. 2018, doi: https://doi.org/10.1109/TII.2018.2794389
[23] I. Durongkadej, W. Hu, and H. E. Wang, “How artificial intelligence incidents affect banks and financial services firms? A study of five firms,” Finance Research Letters, vol. 70, Art. no. 106279, Dec. 2024, doi: https://doi.org/10.1016/j.frl.2024.106279
[24] OECD, “Growth in services—Fostering employment, productivity and innovation,” OECD Digital Economy Papers, no. 94, OECD Publishing, Paris, France, Apr. 2005, doi: https://doi.org/10.1787/232370436752
[25] E. F. Fama, “Efficient capital markets: A review of theory and empirical work,” The Journal of Finance, vol. 25, no. 2, pp. 383–417, May 1970, doi: https://doi.org/10.1111/j.1540-6261.1970.tb00518.x
[26] Lê Hải Trung, “Tác động lan truyền giữa tăng trưởng tín dụng và giá tài sản tài chính: Bằng chứng từ mô hình TVP-VAR,” Tạp chí Khoa học và Đào tạo Ngân hàng, no. 260–261, pp. 46–60, 2024, doi: https://doi.org/10.59276/TCKHDT.2024.1.2.2609
[27] N. T. Hung, “Does volatility transmission between stock market returns of Central and Eastern European countries vary from normal to turbulent periods?,” Acta Oeconomica, vol. 70, no. 3, pp. 449–468, Oct. 2020, doi: https://doi.org/10.1556/032.2020.00022
[28] N. T. N. Quỳnh and V. T. H. Linh, “Tác động của một số yếu tố kinh tế vĩ mô đến chỉ số giá chứng khoán tại Việt Nam,” Tạp chí Khoa học Đại học Mở Thành phố Hồ Chí Minh – Kinh tế và Quản trị Kinh doanh, vol. 14, no. 3, pp. 47–63, 2020, doi: https://doi.org/10.46223/HCMCOUJS.econ.vi.14.3.477.2019
[29] A. Ashta and H. Herrmann, “Artificial intelligence and fintech: An overview of opportunities and risks for banking, investments, and microfinance,” Strategic Change, vol. 30, no. 3, pp. 211–222, May 2021, doi: https://doi.org/10.1002/jsc.2404
[30] OpenAI, “GPT-4,” Mar. 14, 2023. [Online]. Available: https://openai.com/index/gpt-4-research/
[31] A. Minh, “Ngân hàng tích cực triển khai chính sách tiền tệ, bảo đảm ổn định kinh tế vĩ mô,” Báo Điện tử Chính phủ, Sep. 21, 2024. Truy cập tại: https://baochinhphu.vn/ngan-hang-tich-cuc-trien-khai-chinh-sach-tien-te-bao-dam-on-dinh-kinh-te-vi-mo-102240921162300244.htm
