Table 4 Orthogonalized impulse response...

Table 4

Orthogonalized impulse response of Vietnam real stock returns to the volatility of the crude oil and natural gas prices in different VAR model results

	Market indices							Oil companies stock price
VNI	VEA	VII	VMI	VUI	VCI	PVS	PVT	PVD	PLX	MVB	PVP	CNG	PVC	JVPC	PGC	PVB	PSH
Panel A - Real crude oil price shocks
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {V I P I}_{t}, {V S M}_{t})$
(+)	(+)	(+)	(+)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(+)	(NO)	(NO)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t})$
(+)	(+)	(+)	(+)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(+)	(NO)	(NO)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t}, {V I F R}_{t})$
(+)	(+)	(+)	(NO)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(NO)	(NO)	(NO)	(NO)	(+)
Panel B- Real natural gas price shocks
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {V I P I}_{t}, {V S M}_{t})$
(NO)	(+)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(+)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t})$
(NO)	(+)	(−)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(−)	(NO)	(NO)	(−)	(NO)	(NO)	(+)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t}, {V I F R}_{t})$
(NO)	(+)	(−)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(−)	(NO)	(NO)	(−)	(NO)	(NO)	(+)	(NO)	(+)

	Market indices							Oil companies stock price
VNI	VEA	VII	VMI	VUI	VCI	PVS	PVT	PVD	PLX	MVB	PVP	CNG	PVC	JVPC	PGC	PVB	PSH
Panel A - Real crude oil price shocks
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {V I P I}_{t}, {V S M}_{t})$
(+)	(+)	(+)	(+)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(+)	(NO)	(NO)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t})$
(+)	(+)	(+)	(+)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(+)	(NO)	(NO)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t}, {V I F R}_{t})$
(+)	(+)	(+)	(NO)	(NO)	(NO)	(+)	(NO)	(+)	(−)	(+)	(−)	(−)	(NO)	(NO)	(NO)	(NO)	(+)
Panel B- Real natural gas price shocks
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {V I P I}_{t}, {V S M}_{t})$
(NO)	(+)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(+)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t})$
(NO)	(+)	(−)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(−)	(NO)	(NO)	(−)	(NO)	(NO)	(+)	(NO)	(+)
Sign parameter of statistically significant impact on Vietnam stock returns of volume in VAR model $({V L I R}_{t}, {V O L}_{t}, {{C O P}_{t}, V I P I}_{t}, {V S M}_{t}, {V I F R}_{t})$
(NO)	(+)	(−)	(NO)	(NO)	(NO)	(NO)	(NO)	(NO)	(−)	(NO)	(NO)	(−)	(NO)	(NO)	(+)	(NO)	(+)

Note(s): (+) indicates statistically significant positive at 5% level, (−) indicates statistically significant negative at 5% level, while (NO) indicates not statistically significant

Source(s): Author’s own work

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