China's Monetary Policy Uncertainty And Stock Price Crash Risk In Vietnam

Abstract

In this paper, I discover a positive association between Chinese MPU and the large-scale stock price decline, suggesting that an increase in Chinese MPU worsens the firm-level crash risk in Vietnam. This correlation is based on data from 5,174 firm year observations of 622 unique firms which are listed on the Hochiminh Stock Exchange (HSX) and Hanoi Stock Exchange (HNX) between 2009 and 2022. A closer look reveals that companies with high information asymmetry, reliance on external finance, or poor corporate governance are more inclined to have a decline in Vietnam's stock prices when experiencing heightened MPU from China. When considered as a whole, this research makes a contribution to the literature body about crash risk factors and policy uncertainty indicators. Furthermore, by understanding crash risk processes and the uncertainty of policies, the findings assist market participants in protecting themselves from such risks and making better investment decisions