The effects of regulatory announcements on risk and return: the Vietnamese experience

Huy, P, Ramiah, V, Moosa, I and Nguyen, H 2017, 'The effects of regulatory announcements on risk and return: the Vietnamese experience', Pacific Accounting Review, vol. 29, no. 2, pp. 152-170.


Document type: Journal Article
Collection: Journal Articles

Title The effects of regulatory announcements on risk and return: the Vietnamese experience
Author(s) Huy, P
Ramiah, V
Moosa, I
Nguyen, H
Year 2017
Journal name Pacific Accounting Review
Volume number 29
Issue number 2
Start page 152
End page 170
Total pages 19
Publisher Emerald Publishing
Abstract Purpose - The purpose of this paper is to test the effects of financial regulatory announcements on risk and return in the Vietnamese equity market. Design/methodology/approach - The event study methodology is used for the return analysis, and asset pricing models are adjusted for the risk analysis. Various robustness tests are used, including the Corrado non-parametric ranking test and the Chesney et al. non-parametric conditional distribution test, as well as GARCH, TARCH, EGARCH and PARCH specifications for the risk models. Findings - The authors find evidence for both negative and positive reactions as well as risk shifting behaviour in the form of a diamond risk structure. Originality/value - This paper fills a major gap in the literature by investigating the market's reaction to bank regulatory announcements across financial and non-financial sectors in the Vietnamese equity market.
Subject Financial Economics
DOI - identifier 10.1108/PAR-08-2016-0077
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ISSN 0114-0582
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