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The wealth effect and diamond risk structure of financial regulation

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  • Huy Nguyen Anh Pham
  • Vikash Ramiah
  • Imad Moosa
  • Leslie Moyan

Abstract

The objective of this article was to evaluate the effect of announcements of financial regulation on risk and return in the Vietnamese equity market. The techniques used for the purpose of analysing risk and return include event study and non-parametric tests, as well as asset pricing models supplemented with interaction variables and a variety of ARCH-like specifications such as GARCH, TARCH, EGARCH and PARCH. We find evidence for the wealth effect, the presence of delayed response and a risk shifting behaviour in the form of diamond risk structure. Our results show that abnormal returns are present around the announcements of operating rules and other stock market regulations. Abnormal returns can also be obtained after considering legal documents such as circulars and decisions.

Suggested Citation

  • Huy Nguyen Anh Pham & Vikash Ramiah & Imad Moosa & Leslie Moyan, 2018. "The wealth effect and diamond risk structure of financial regulation," Applied Economics, Taylor & Francis Journals, vol. 50(16), pages 1852-1865, April.
    • Handle: RePEc:taf:applec:v:50:y:2018:i:16:p:1852-1865
    DOI: 10.1080/00036846.2017.1380287
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    Cited by:

    1. Hoang, Trang Cam & Pham, Huy & Ramiah, Vikash & Moosa, Imad & Le, Danh Vinh, 2020. "The effects of information disclosure regulation on stock markets: Evidence from Vietnam," Research in International Business and Finance, Elsevier, vol. 51(C).

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