Systemic shocks and firm-level stock performance: evidence from Vietnam

This study investigates the impact of the COVID-19 lockdown on stock market performance in an emerging-market context, with particular emphasis on Vietnam. Specifically, the study examines whether firm-specific characteristics, including leverage, ownership structure, sector classification and market capitalization, moderate the effects of the lockdown on stock returns. The analysis employs a panel dataset of 375 firms listed on the Ho Chi Minh City Stock Exchange using daily observations from 30 January to 15 April 2020, covering both the pre-lockdown and nationwide lockdown periods. The analysis uses complementary event-study and panel-regression approaches (OLS, fixed effects, random effects and GLS) to examine market-wide responses and firm-level heterogeneity. The findings indicate that the lockdown announcement generated positive cumulative abnormal returns, suggesting that investors responded favorably to Vietnam’s rapid containment measures. However, the impact varied significantly across firms: highly leveraged firms and financial companies experienced relatively weaker stock performance, whereas state-owned enterprises and larger firms demonstrated greater resilience. These findings contribute to the literature on crisis-driven market behavior by highlighting the importance of firm-level heterogeneity in shaping stock market responses to systemic shocks and provide practical implications for investors, corporate managers and policymakers in emerging economies.