The wealth effect and diamond risk structure of financial regulation |
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Authors: | Huy Nguyen Anh Pham Imad Moosa Leslie Moyan |
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Affiliation: | 1. Faculty of Finance and Banking, Ton Duc Thang University, Ho Chi Minh City, Vietnam;2. School of Economics, Finance and Marketing, RMIT Australia, Melbourne, Australia;3. Department of Economics, Finance, Marketing and Accountancy, RMIT Vietnam, Ho Chi Minh City, Vietnam |
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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. |
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Keywords: | Financial regulation abnormal returns diamond risk emerging market wealth effect Vietnam |
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