Sectoral Risks in Vietnam and Malaysia A Comparative Analysis

Duc Hong Vo, Quang Van Tuan and Trung Vu-Thanh Pham
Additional contact information
Quang Van Tuan: Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam
Trung Vu-Thanh Pham: Curtin University, Australia

Advances in Decision Sciences, 2019, vol. 23, issue 1, 62-87

Abstract: This paper measures and ranks market risk for 10 industries/sectors in Vietnam and Malaysia, two countries in the Asia-Pacific region. Two periods are considered, namely: (i) Global Financial Crisis (GFC) (2007-2009); and (ii) post-GFC (2010-2017). Market risk is measured using Value-at-Risk (VaR), that is, the potential losses in the future over a given time period (day or month) at a given confidence level; and Conditional Value-atRisk (CVaR), that is, the risk of extreme loss. Both parametric and historical approaches are used. Empirical findings confirm that Vietnam sectors are relatively riskier than their counterparts in Malaysia, and that the market risk across sectors in both countries has been reduced substantially in the post-GFC period. The Financials sector, which includes Banks, Diversified Financials, and Insurance, has been largely ignored in the Vietnam Government’s focus. This particular industry is considered relatively risky in Vietnam, whereas it is ranked as a very safe sector in Malaysia. With the ambition to be a financial hub in the Asia-Pacific regional integration, a shift in attention to this important sector in Vietnam is the near future is strongly recommended.

Keywords: Market risk; sectors; VaR; CVaR; Vietnam; Malaysia. (search for similar items in EconPapers)
JEL-codes: G01 G21 G22 G32 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://iads.site/Sectoral-Risks-in-Vietnam-and-Malaysia-A-Comparative-Analysis (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:aag:wpaper:v:23:y:2019:i:1:p:62-87

Access Statistics for this article

More articles in Advances in Decision Sciences from Asia University, Taiwan Contact information at EDIRC.
Bibliographic data for series maintained by Vincent Pan ().