The effects of regulatory announcements on risk and return: the Vietnamese experience
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.
Keywords
Acknowledgements
The authors wish to acknowledge the valuable support and comments of Nick Nguyen and the participants of the 2016 Vietnam International Conference in Finance. Any remaining errors are the responsibility of the authors.
Citation
Pham, H.N.A., Ramiah, V., Moosa, I. and Nguyen, J.H. (2017), "The effects of regulatory announcements on risk and return: the Vietnamese experience", Pacific Accounting Review, Vol. 29 No. 2, pp. 152-170. https://doi.org/10.1108/PAR-08-2016-0077
Publisher
:Emerald Publishing Limited
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