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Market risk analysis of energy in vietnam

Ngoc Phu Tran; Thang Cong Nguyen; Duc Hong Vo; McAleer, … - In: Risks : open access journal 7 (2019) 4/112, pp. 1-13

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...

Persistent link: https://www.econbiz.de/10012127865

Long run returns predictability and volatility with moving averages

Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18

This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...

Persistent link: https://www.econbiz.de/10011906234

Systematic risk at the industry level : a case study of Australia

Thang Cong Nguyen; Tan Ngoc Vu; Duc Hong Vo; McAleer, … - In: Risks : open access journal 8 (2020) 2/36, pp. 1-14

The cornerstone of the capital asset pricing model (CAPM) lies with its beta. The question of whether or not beta is dead has attracted great attention from academics and practitioners in the last 50 years or so, and the debate is still ongoing. Many empirical studies have been conducted to test...

Persistent link: https://www.econbiz.de/10012204460

Information sharing, bank penetration and tax evasion in emerging markets

Duc Hong Vo; Nguyen, Ha; Tan Manh Vo; McAleer, Michael - In: Risks : open access journal 8 (2020) 2/38, pp. 1-16

to develop a new tax evasion index (TEI) using the most substantial and recent data from the standardized World Bank … information sharing and bank penetration to the degree of tax evasion in emerging markets. The paper uses a sample of 112 emerging … sharing and bank penetration negatively affect the degree of tax evasion, as proxied by the TEI, in emerging markets. The …

Persistent link: https://www.econbiz.de/10012204448