Market Risk Analysis of Energy in Vietnam

Ngoc Phu Tran, Thang Cong Nguyen, Duc Hong Vo and Michael McAleer
Additional contact information
Ngoc Phu Tran: Business and Economics Research Group, Ho Chi Minh City Open University, Ho Chi Minh 700000, Vietnam
Thang Cong Nguyen: Business and Economics Research Group, Ho Chi Minh City Open University, Ho Chi Minh 700000, Vietnam
Duc Hong Vo: Business and Economics Research Group, Ho Chi Minh City Open University, Ho Chi Minh 700000, Vietnam

Risks, 2019, vol. 7, issue 4, 1-13

Abstract: The purpose of this paper is to evaluate and estimate market risk for the ten major industries in Vietnam. The focus of the empirical analysis is on the energy sector, which has been designated as one of the four key industries, together with services, food, and telecommunications, targeted for economic development by the Vietnam Government through to 2020. The oil and gas industry is a separate energy-related major industry, and it is evaluated separately from energy. The data set is from 2009 to 2017, which is decomposed into two distinct sub-periods after the Global Financial Crisis (GFC), namely the immediate post-GFC (2009–2011) period and the normal (2012–2017) period, in order to identify the behavior of market risk for Vietnam’s major industries. For the stock market in Vietnam, the website used in this paper provided complete and detailed data for each stock, as classified by industry. Two widely used approaches to measure and analyze risk are used in the empirical analysis, namely Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). The empirical findings indicate that Energy and Pharmaceuticals are the least risky industries, whereas oil and gas and securities have the greatest risk. In general, there is strong empirical evidence that the four key industries display relatively low risk. For public policy, the Vietnam Government’s proactive emphasis on the targeted industries, including energy, to achieve sustainable economic growth and national economic development, seems to be working effectively. This paper presents striking empirical evidence that Vietnam’s industries have substantially improved their economic performance over the full sample, moving from relatively higher levels of market risk in the immediate post-GFC period to a lower risk environment in a normal period several years after the end of the calamitous GFC.

Keywords: market risk; energy; industries; Value-at-Risk; conditional Value-at-Risk; sustainable growth; economic development; Vietnam (search for similar items in EconPapers)
JEL-codes: C G0 G1 G2 G3 K2 M2 M4 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.mdpi.com/2227-9091/7/4/112/pdf (application/pdf)
https://www.mdpi.com/2227-9091/7/4/112/ (text/html)

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:gam:jrisks:v:7:y:2019:i:4:p:112-:d:283415

Access Statistics for this article

Risks is currently edited by Mr. Claude Zhang

More articles in Risks from MDPI
Bibliographic data for series maintained by MDPI Indexing Manager ().