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Sectoral Risks in Vietnam and Malaysia A Comparative Analysis

Author

Listed:
  • Duc Hong Vo
  • Quang Van Tuan

    (Business and Economics Research Group, Ho Chi Minh City Open University, Vietnam)

  • Trung Vu-Thanh Pham

    (Curtin University, Australia)

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.

Suggested Citation

  • Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
    • Handle: RePEc:aag:wpaper:v:23:y:2019:i:1:p:62-87
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    References listed on IDEAS

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    Cited by:

    1. Le Ngoc Thuy Trang & Do Thi Thanh Nhan & Nguyen Thi Nhu Hao & Wing-Keung Wong, 2021. "Does Bank Liquidity Risk Lead To Bank'S Operational Efficiency? A Study In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 25(4), pages 46-88, December.

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    More about this item

    Keywords

    Market risk; sectors; VaR; CVaR; Vietnam; Malaysia.;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
    • G22 - Financial Economics - - Financial Institutions and Services - - - Insurance; Insurance Companies; Actuarial Studies
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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