| Abstract | This study examines the impact of the COVID-19 lockdown on stock performance in emerging markets, with a particular focus on Vietnam, considering both stock returns and return volatility. The analysis examines the degree to which firm-specific factors, such as leverage, ownership structure, sector classification, and market capitalization, emphasize the effects of the lockdown. The research utilizes a panel dataset of companies listed on the Ho Chi Minh City Stock Exchange (HOSE) that spans the period preceding and during the national lockdown in 2020. The empirical methodology encompasses a range of panel regression techniques, including Ordinary Least Squares (OLS), Fixed Effects Model (FEM), Random Effects Model (REM), and Generalized Least Squares (GLS). The consistency of the results is verified using structural break tests and time-series event study approaches to conduct robustness checks. The standard deviation of returns and the GARCH(1,1) model are employed to capture time-varying risk in evaluating stock instability, which is assessed using both mean daily returns and volatility measures. Additionally, robustness checks are conducted using structural break tests and an event-study methodology centered on the lockdown announcement, isolating the immediate impact of the event on cumulative abnormal returns (CARs) across different firm categories. The results indicate that the lockdown period was associated with statistically significant changes in returns and volatility, with pronounced heterogeneity across firm types. The lockdown resulted in the most significant increase in return volatility among high-leverage firms, small-cap companies, and financial sector entities. In contrast, state-owned enterprises (SOEs) and large-cap firms demonstrated greater resilience. During systemic disruptions, these findings provide actionable insights for risk management, policy responses, and investment strategies in emerging markets, contributing to the literature on crisis-driven market behavior. |
