Results of the unit-root tests.

In 2021, when the Covid-19 pandemic had a severe impact on the economy, a significant number of enterprises in Vietnam temporarily suspended doing business. Previous studies have focused on either model for predicting bankruptcy and financial distress or measuring market risk during extreme events. The effects of market risk and financial distress on a firm’s performance have largely been ignored in the literature, particularly in Vietnam. This study examines the effects of market risk, measured using the conditional value-at-risk technique and financial distress proxied by the interest coverage ratio (ICR) on firm performance for 500 nonfinancial listed firms in Vietnam from 2012 to 2021. We also estimate the optimal ICR for Vietnam’s listed firms. Two estimation techniques are used: dynamic panel models (two-step difference–and system–generalized method of moments) and panel threshold regression. We find that increased market risk reduces firm performance. However, a higher ICR (lower financial distress) also improves a firm’s performance. With increased market risk, the financial performance of firms with a high ICR deteriorates significantly.2021年，新冠疫情（COVID-19 pandemic）对全球经济造成严重冲击，越南境内大量企业临时暂停经营活动。过往相关研究多聚焦于破产与财务困境预测模型，或是极端事件下的市场风险测算，而现有文献中，市场风险与财务困境对企业绩效的影响大多被忽略，针对越南市场的此类研究尤为稀缺。本研究以2012至2021年越南500家非金融类上市公司为研究样本，考察以条件在险价值（conditional value-at-risk）方法计量的市场风险，以及以利息保障倍数（ICR）作为代理变量的财务困境对企业绩效的影响；同时还估算了越南上市公司的最优利息保障倍数。本研究采用两种计量分析方法：动态面板模型（两步差分广义矩估计与系统广义矩估计）以及面板门槛回归模型。研究结果显示：市场风险上升会显著降低企业绩效；而较高的利息保障倍数（对应更低的财务困境程度）能够提升企业绩效；当市场风险上升时，利息保障倍数较高的企业其财务绩效会出现显著恶化。