Abstract
Determining the structure of market correlation is an important topic in theory and experiments. Under the impact of the Covid-19 pandemic, the market structure may be deformed. Therefore, this study examines the pandemic’s impact on the market structure. This study considered the correlation structure of the VN30 portfolio (including 30 stocks with the largest market capitalization); the collecting period is from July 28, 2000, to July 30, 2021. The data was divided into 02 phases before and after the pandemic. The Kruskal algorithm is implemented to determine the Minimal Spanning Tree (MST) structure to define the structure of market correlation. This study compared the change in the structure before and after the Covid-19 pandemic by structures’ mean of distances comparison. T-test results show that there are structural differences before and after the pandemic. Based on the research result, investors should change their risk management strategy to suit the market context because the previous structure has been changed.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callMore From: HO CHI MINH CITY OPEN UNIVERSITY JOURNAL OF SCIENCE - ENGINEERING AND TECHNOLOGY
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
