Template-type: ReDIF-Paper 1.0
Author-Name: Duc Hong Vo
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name: Ngoc Phu Tran
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name: Tam Nguyen-Thanh Duong
Author-Workplace-Name: Business and Economics Research Group Ho Chi Minh City Open University, Vietnam.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: Risk analysis of energy in Vietnam
Abstract: The purpose of the paper is to estimate market risk for the ten major industries in Vietnam. The focus 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. Oil and Gas is a separate energy-related major industry. 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 behaviour of market risk for Vietnam major industries. 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 pro-active emphasis on the targeted industries, including 
	Energy, to achieve sustainable economic growth and national economic development, seems to be working effectively.
Classification-JEL: C10, G10, E32.
Keywords: Market risk, Energy, Industries, Value-at-Risk, Conditional Value-at-Risk, Sustainable growth, Economic development, Vietnam.
Length: 22 pages 
Creation-Date: 2019-03
Number: 2019-14
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1914.txt
File-URL: https://eprints.ucm.es/id/eprint/54806/1/1914.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1914