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Market Risk Analysis of Energy in Vietnam

Author

Listed:
  • 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)

  • Michael McAleer

    (Department of Finance, Asia University, Taichung City 41354, Taiwan
    Discipline of Business Analytics, The University of Sydney Business School, Sydney, NSW 2006, Australia
    Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam, 3000 Rotterdam, The Netherlands
    Department of Economic Analysis and ICAE Complutense, University of Madrid, 28223 Madrid, Spain)

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.

Suggested Citation

  • Ngoc Phu Tran & Thang Cong Nguyen & Duc Hong Vo & Michael McAleer, 2019. "Market Risk Analysis of Energy in Vietnam," Risks, MDPI, vol. 7(4), pages 1-13, November.
    • Handle: RePEc:gam:jrisks:v:7:y:2019:i:4:p:112-:d:283415
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    References listed on IDEAS

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    1. Thang Cong Nguyen & Tan Ngoc Vu & Duc Hong Vo & Michael McAleer, 2020. "Systematic Risk at the Industry Level: A Case Study of Australia," Risks, MDPI, vol. 8(2), pages 1-12, April.
    2. Ahmed Imran Hunjra & Tahar Tayachi & Rashid Mehmood & Sidra Malik & Zoya Malik, 2020. "Impact of Credit Risk on Momentum and Contrarian Strategies: Evidence from South Asian Markets," Risks, MDPI, vol. 8(2), pages 1-14, April.

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