IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v53y2017i4p746-763.html
   My bibliography  Save this article

The Risk-Return Trade-Off in a Liberalized Emerging Stock Market: Evidence from Vietnam

Author

Listed:
  • Kuangnan Fang
  • Ji Wu
  • Cuong Nguyen

Abstract

We empirically examine the risk-return trade-off in a liberalized emerging stock market: Vietnam during the period 2007–2014. We find that (1) neither realized idiosyncratic volatility nor conditional idiosyncratic volatility has been priced; (2) rational multifactor models could well explain the stock portfolio returns; (3) there is a flat trend for equal-weighted idiosyncratic volatility (IVOL), but a downward trend for market volatility. Our results indicate that the idiosyncratic risk plays an unimportant role in pricing stocks and that the systematic risks still dominate asset returns in emerging stock markets. Results imply that Vietnamese investors can get increased benefit from portfolio diversification.

Suggested Citation

  • Kuangnan Fang & Ji Wu & Cuong Nguyen, 2017. "The Risk-Return Trade-Off in a Liberalized Emerging Stock Market: Evidence from Vietnam," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(4), pages 746-763, April.
    • Handle: RePEc:mes:emfitr:v:53:y:2017:i:4:p:746-763
    DOI: 10.1080/1540496X.2015.1103129
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2015.1103129
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2015.1103129?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nina Ryan & Xinfeng Ruan & Jin E. Zhang & Jing A. Zhang, 2021. "Choosing Factors for the Vietnamese Stock Market," JRFM, MDPI, vol. 14(3), pages 1-23, February.
    2. Huang, Xiangqian & Liu, Clark & Shu, Tao, 2023. "Factors and anomalies in the Vietnamese stock market," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
    3. Azra Zaimovic & Adna Omanovic & Almira Arnaut-Berilo, 2021. "How Many Stocks Are Sufficient for Equity Portfolio Diversification? A Review of the Literature," JRFM, MDPI, vol. 14(11), pages 1-30, November.
    4. Nguyen, Cuong & Hoang, Lai & Shim, Jungwook & Truong, Phuong, 2020. "Internet search intensity, liquidity and returns in emerging markets," Research in International Business and Finance, Elsevier, vol. 52(C).
    5. Cesario Mateus & Bao Trung Hoang, 2021. "Frontier Markets, Liberalization and Informational Efficiency: Evidence from Vietnam," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 28(4), pages 499-526, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:53:y:2017:i:4:p:746-763. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.