ORCID Profile
0000-0001-7662-5566
Current Organisation
Massey University - Albany Campus
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Publications
Interconnectedness in the Australian National Electricity Market: A Higher Moment Analysis
Publisher: Elsevier BV
Date: 2020
DOI: 10.2139/SSRN.3595822
Asymmetric relationship between order imbalance and realized volatility: Evidence from the Australian market
Publisher: Elsevier BV
Date: 07-2019
Liquidity Constraints, Home Equity and Residential Mortgage Losses
Publisher: Elsevier BV
Date: 2017
DOI: 10.2139/SSRN.2909548
Portfolio diversification during the COVID-19 pandemic: Do vaccinations matter?
Publisher: Elsevier BV
Date: 04-2023
Does oil impact gold during COVID-19 and three other recent crises?
Publisher: Elsevier BV
Date: 04-2022
Financial leverage and stock return comovement
Publisher: Elsevier BV
Date: 09-2022
The effects of sovereign rating drifts on financial return distributions: Evidence from the European Union
Publisher: Elsevier BV
Date: 07-2014
Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets
Publisher: Elsevier BV
Date: 10-2020
ESG and firm performance: The role of size and media channels
Publisher: Elsevier BV
Date: 04-2023
LGBT policy, investor trading behavior, and return comovement
Publisher: Elsevier BV
Date: 04-2022
Multinationals and stock return comovement
Publisher: Elsevier BV
Date: 05-2022
How does trading volume affect financial return distributions?
Publisher: Elsevier BV
Date: 10-2014
Green bonds and implied volatilities: Dynamic causality, spillovers, and implications for portfolio management
Publisher: Elsevier BV
Date: 08-2022
Fossil fuel price uncertainty and feedstock edible oil prices: Evidence from MGARCH-M and VIRF analysis
Publisher: Elsevier BV
Date: 06-2016
Financial Leverage and Stock Return Comovement
Publisher: Elsevier BV
Date: 2020
DOI: 10.2139/SSRN.3687512
Price risk transmissions in the water-energy-food nexus: Impacts of climate risks and portfolio implications
Publisher: Elsevier BV
Date: 08-2023
Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets
Publisher: Elsevier BV
Date: 02-2020
Volatility spillover between the US, Chinese and Australian stock markets
Publisher: SAGE Publications
Date: 07-08-2017
Abstract: We assess the stock market volatility spillover between three closely related countries, the United States, China and Australia. This study considers industry data and hence provides a clear idea of the channels through which volatility is transmitted across these countries. We find that there is significant bilateral causality between the countries at the market index level and across most of the industries for the full s le period from July 2007 to May 2016. There is one-way volatility spillover from the United States to China in the financial services, industrials, consumer discretionary and utilities industry. There is insignificant volatility spillover from the Australian to Chinese stock markets in financial services, telecommunications and energy industries. Once we remove the effect of the global financial crisis (GFC), we find significant bilateral relationship across all of the industries across the three countries. JEL Classification: G15
Covid-19 pandemic and tail-dependency networks of financial assets
Publisher: Elsevier BV
Date: 2021
The nexus between oil and airline stock returns: Does time frequency matter?
Publisher: Elsevier BV
Date: 2023
Aerospace competition, investor attention, and stock return comovement
Publisher: Elsevier BV
Date: 11-2023
What drives cross-market correlations during the United States Q.E.?
Publisher: Elsevier BV
Date: 10-2022
Interconnectedness in the Australian National Electricity Market: A Higher-Moment Analysis
Publisher: Wiley
Date: 15-07-2020
When Pep Comes Calling, the Oil Market Answers: The Effect of Football Player Transfer Movements on Abnormal Fluctuations in Oil Price Futures
Publisher: Elsevier BV
Date: 2021
DOI: 10.2139/SSRN.3735300
Jump Connectedness in the European Foreign Exchange Market
Publisher: Springer International Publishing
Date: 2022
Risk Analysis of Pension Fund Investment Choices
Publisher: Wiley
Date: 02-08-2022
DOI: 10.1111/ABAC.12264
Abstract: We provide a comprehensive and more consistent approach to analyse and compare the risk‐return relationships of Australian superannuation investment options for the period January 1990 to December 2016. In estimating the risk profiles of the investment options, we allow for the movement of the asset classes over time by employing a varying coefficient panel estimation technique. We find that while risk increases across different investment options from moderate to aggressive options, using different percentages of identifying a balanced fund does not impact the long‐term risk measurement. We equally find that the risk‐return relationships of investment options are not sensitive to the modelling framework, except for the crisis analysis, in which the Fama‐French five‐factor model provides greater sensitivity.
Asymmetric trading responses to credit rating announcements from issuer‐ versus investor‐paid rating agencies
Publisher: Wiley
Date: 29-01-2023
DOI: 10.1111/JBFA.12686
Abstract: The credit rating industry has traditionally followed the “issuer‐pays” principle. Issuer‐paid credit rating agencies (CRAs) have faced criticism regarding their untimely release of negative rating adjustments, which is attributed to a conflict of interests in their business model. An alternative model based on the “investor‐pays” principle is arguably less subject to the conflict of interest problem. We examine how investors respond to changes in credit ratings issued by these two types of CRAs. We find that investors react asymmetrically: They abnormally sell equity stakes around rating downgrades by investor‐paid CRAs, while abnormally buying around rating upgrades by issuer‐paid CRAs. Our study suggests that, through their trades, investors capitalize on value‐relevant information provided by both types of CRAs, and a dynamic trading strategy taking advantage of this information generates significant abnormal returns.
Risk Analysis of Pension Fund Investment Choices
Publisher: Elsevier BV
Date: 2018
DOI: 10.2139/SSRN.3219625
Effect of futures trading on the liquidity of underlying stocks: Evidence from Vietnam
Publisher: Elsevier BV
Date: 06-2022
Learning from SARS: Return and Volatility Connectedness in COVID-19
Publisher: Elsevier BV
Date: 07-2020
Political similarities in credit ratings
Publisher: Elsevier BV
Date: 03-2023
Generalized impulse response analysis in a fractionally integrated vector autoregressive model
Publisher: Elsevier BV
Date: 03-2013
Asset allocation of Australian superannuation funds: a markov regime switching approach
Publisher: Springer Science and Business Media LLC
Date: 05-05-2023
DOI: 10.1007/S10479-022-04741-0
Abstract: We extend an observable Markov Regime Switching framework to assess the switching behaviour of asset classes of Australian superannuation funds across different fund sizes. We identify the most prominent asset class which contributes to the performance of the investment options and what factors trigger funds’ decisions on rebalancing their portfolio. We find that smaller funds tend to be more active in switching to aggressive options and the larger funds are more conservative. However, in periods of volatility, the large funds are the risk seekers and tend to switch their asset classes and hence their investment strategies. The asset classes whose values add to the performance of the investment options are equity markets and bond markets with the domestic equity market having better performance than international equity market. The switch for the larger funds is driven by volatility of the equity market.
When Pep comes calling, the oil market answers: The effect of football player transfer movements on abnormal fluctuations in oil price futures
Publisher: Elsevier BV
Date: 08-2021
Dynamic spillover between commodities and commodity currencies during United States Q.E.
Publisher: Elsevier BV
Date: 08-2017
Liquidity Constraints, Home Equity and Residential Mortgage Losses
Publisher: Springer Science and Business Media LLC
Date: 27-06-2019
Predicting loss severities for residential mortgage loans: A three-step selection approach
Publisher: Elsevier BV
Date: 10-2018
Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis
Publisher: Elsevier BV
Date: 10-2015
Guidelines for the use and interpretation of assays for monitoring autophagy (3rd edition)
Publisher: Informa UK Limited
Date: 02-01-2016
Natural gas and the utility sector nexus in the U.S.: Quantile connectedness and portfolio implications
Publisher: Elsevier BV
Date: 04-2023
Sentiment and stock market connectedness: Evidence from the U.S. – China trade war
Publisher: Elsevier BV
Date: 03-2022
Insights into the key roles of proteoglycans in breast cancer biology and translational medicine
Publisher: Elsevier BV
Date: 04-2015
Stock and currency market linkages: New evidence from realized spillovers in higher moments
Publisher: Elsevier BV
Date: 03-2016
Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China
Publisher: Elsevier BV
Date: 08-2022
Dynamic volatility spillover effects between oil and agricultural products
Publisher: Elsevier BV
Date: 05-2020
Related Organisations
Related Funding Activities
No related grants have been discovered for Hung Do.