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

Huy Pham, Vikash Ramiah, Imad Moosa and Justin Hung Nguyen

Pacific Accounting Review, 2017, vol. 29, issue 2, 152-170

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 Chesneyet 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.

Keywords: Vietnam; Banking regulation; Abnormal returns; Diamond risk; G1; G11; G56 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eme:parpps:par-08-2016-0077

DOI: 10.1108/PAR-08-2016-0077

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