STATE OWNERSHIP, GLOBAL UNCERTAINTY, AND  STOCK RETURNS: EVIDENCE FROM FIRMS LISTED ON THE HO CHI MINH CITY STOCK EXCHANGE, VIET NAM

Abstract

This study investigates the spillover effects of global uncertainty on firm-level stock returns in Viet Nam using a panel dataset of 380 firms listed on the Ho Chi Minh City Stock Exchange (HOSE) over the period from 2014 to 2023. Moving beyond the conventional reliance on the Economic Policy Uncertainty (EPU) index, the analysis employs the World Uncertainty Index (WUI), which captures both economic and political uncertainty across three groups of economies, namely advanced (ADVD), emerging (EMEG), and low-income countries (LINC). To address potential endogeneity and dynamic effects, the study applies the System Generalized Method of Moments (SGMM) estimator. The empirical results indicate that global uncertainty is positively associated with stock returns of Vietnamese firms, suggesting that the Vietnamese stock market may serve as a relatively attractive destination for capital flows during periods of international instability. Further analysis reveals significant heterogeneity across ownership structures: privately owned firms exhibit a stronger positive response to global uncertainty, while this effect is weaker among state-owned firms. By providing firm-level evidence from an emerging market characterized by a substantial presence of state ownership, this study contributes to the literature on uncertainty spillovers and market responses. The findings also offer important policy implications for regulators and investors in understanding how ownership structure shapes firm resilience to global shocks.