The wealth effect and diamond risk structure of financial regulation

Huy, P, Ramiah, V, Moosa, I and Moyan, L 2018, 'The wealth effect and diamond risk structure of financial regulation', Applied Economics, vol. 50, no. 16, pp. 1852-1865.


Document type: Journal Article
Collection: Journal Articles

Title The wealth effect and diamond risk structure of financial regulation
Author(s) Huy, P
Ramiah, V
Moosa, I
Moyan, L
Year 2018
Journal name Applied Economics
Volume number 50
Issue number 16
Start page 1852
End page 1865
Total pages 14
Publisher Taylor & Francis
Abstract The objective of this article was to evaluate the effect of announcements of financial regulation on risk and return in the Vietnamese equity market. The techniques used for the purpose of analysing risk and return include event study and non-parametric tests, as well as asset pricing models supplemented with interaction variables and a variety of ARCH-like specifications such as GARCH, TARCH, EGARCH and PARCH. We find evidence for the wealth effect, the presence of delayed response and a risk shifting behaviour in the form of diamond risk structure. Our results show that abnormal returns are present around the announcements of operating rules and other stock market regulations. Abnormal returns can also be obtained after considering legal documents such as circulars and decisions.
Subject Financial Economics
Keyword(s) abnormal returns
diamond risk
emerging market
Financial regulation
Vietnam
wealth effect
DOI - identifier 10.1080/00036846.2017.1380287
Copyright notice © 2017 Informa UK Limited, trading as Taylor & Francis Group
ISSN 0003-6846
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