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Systematic Risk in Energy Businesses: Empirical Evidence for the ASEAN

Author

Listed:
  • Duc Hong Vo

    (Ho Chi Minh City Open University, Vietnam,)

  • Thach Ngoc Pham

    (Ho Chi Minh City Open University, Vietnam)

Abstract

This paper is conducted to provide an additional empirical evidence in relation to the estimates of equity beta for energy businesses in the ASEAN-5 including Vietnam, Thailand, the Philippines, Malaysia, and Singapore. Listed energy companies for the period from 2005 to 2015 are used. Quantile regression, together with the ordinary least square (OLS) and least absolute deviations (LADs), has been used. Findings from this paper indicate that: (i) As long as the OLS and the LAD approaches are adopted, estimates of equity beta are relatively consistent across various research periods; (ii) estimates of equity beta appear to vary substantial across different quantiles; and (iii) estimates of equity beta have appeared to vary across research periods. However, as an overall level across time and methods, a level of risk faced by a company in the energy sector is below the average of the level of risk for the entire market for the above nations.

Suggested Citation

  • Duc Hong Vo & Thach Ngoc Pham, 2017. "Systematic Risk in Energy Businesses: Empirical Evidence for the ASEAN," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 553-565.
    • Handle: RePEc:eco:journ1:2017-01-70
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    References listed on IDEAS

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    Cited by:

    1. Tung Dang-Thanh Nguyen & Anh The Vo & Duc Hong Vo, 2019. "The Determinants Of Systematic Risk In Vietnam," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(2), pages 15-36, June.

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    More about this item

    Keywords

    Beta; Listed Energy Firms; Quantile Regression; ASEAN;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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