Hung Xuan Do

Massey University, Albany campus

Associate Professor in Finance/Banking

Auckland

New Zealand

http://www.massey.ac.nz/massey/expertise/profile.cfm?stref=972450

SCHOLARLY PAPERS

25

DOWNLOADS
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Top 36,417

in Total Papers Downloads

2,570

SSRN CITATIONS
Rank 30,146

SSRN RANKINGS

Top 30,146

in Total Papers Citations

36

CROSSREF CITATIONS

0

Scholarly Papers (25)

1.

Financial Leverage and Stock Return Comovement

Journal of Financial Markets, Forthcoming
Number of pages: 70 Posted: 12 Nov 2020 Last Revised: 20 Jun 2022
Hung Xuan Do, Nhut H. Nguyen and Quan M. P. Nguyen
Massey University, Albany campus, Auckland University of Technology and University of Sussex
Downloads 201 (276,335)
Citation 2

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Leverage, Comovement, Clientele, Style Investment

2.

Dynamic Volatility Connectedness between Thermal Coal Futures and Major Cryptocurrencies: Evidence from China

Energy Economics, Forthcoming
Number of pages: 75 Posted: 08 Nov 2021 Last Revised: 15 Aug 2022
Son Duy Pham, Hung Xuan Do and Thao T.T. Nguyen
Massey University -School of Economics and Finance, Massey University, Albany campus and Massey University- School of Economics and Finance
Downloads 196 (282,655)

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Volatility Spillover, Connectedness, Asymmetry, Realized Variance, Cryptocurrencies, Structural Breaks, Thermal coal futures, Energy consumption

3.

When Pep Comes Calling, the Oil Market Answers: The Effect of Football Player Transfer Movements on Abnormal Fluctuations in Oil Price Futures

Energy Economics, Vol. 100, No. 105325, 2021
Number of pages: 96 Posted: 28 Jan 2021 Last Revised: 27 Dec 2021
Massey University, Albany campus, University of Sussex, School of Accounting, Economics, and Finance, University of Wollongong and Monash University - Department of Economics
Downloads 185 (297,691)

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Crude oil; Futures markets; Football economy; Player-transfer market; Media coverage

Effect of stock basket trading on the liquidity of underlying stocks: Evidence from a market with short-sale constraints

Number of pages: 56 Posted: 08 Nov 2021
Son Duy Pham, Hung Xuan Do and Thao T.T. Nguyen
Massey University -School of Economics and Finance, Massey University, Albany campus and Massey University- School of Economics and Finance
Downloads 106 (467,425)

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Liquidity, Future, Mispricing, PIN, Short-sale constraints

Effect of Stock Basket Trading on the Liquidity of Underlying Stocks: Evidence from a Market with Short-Sale Constraints

Number of pages: 56 Posted: 07 Feb 2022
Son Duy Pham, Thao T.T. Nguyen and Hung Xuan Do
Massey University -School of Economics and Finance, Massey University- School of Economics and Finance and Massey University, Albany campus
Downloads 65 (634,171)

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Liquidity, Future, mispricing, PIN, short-sale constraints

5.

Stock and Currency Market Linkages: New Evidence from Realized Spillovers in Higher Moments

International Review of Economics & Finance, Vol. 42, 167-185, 2016
Number of pages: 40 Posted: 25 Aug 2011 Last Revised: 05 May 2016
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 168 (324,059)
Citation 4

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fractionally integrated VAR, bootstrap, generalized impulse response, spillovers, higher moments, intraday data

Liquidity Constraints, Home Equity and Residential Mortgage Losses

CIFR Paper No. 122/2016
Number of pages: 50 Posted: 02 Sep 2016 Last Revised: 22 Jul 2018
Massey University, Albany campus, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 128 (405,179)

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Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection

Liquidity Constraints, Home Equity and Residential Mortgage Losses

30th Australasian Finance and Banking Conference 2017
Number of pages: 51 Posted: 01 Feb 2017 Last Revised: 03 Oct 2020
Massey University, Albany campus, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 36 (825,002)
Citation 1

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Cure, Loss Given Default, Liquidity Constraints, Home Equity, Mortgage, Selection

7.

Predicting Loss Severities for Residential Mortgage Loans: A Three-step Selection Approach

CIFR Paper
Number of pages: 47 Posted: 06 Oct 2020
Massey University, Albany campus, University of Regensburg and University of Technology Sydney (UTS) - School of Finance and Economics
Downloads 158 (341,429)
Citation 3

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Analytics, Default, Loss given default, Residential Mortgage, Selection Model

8.

Green Bond and Implied Volatilities: Dynamic Causality, Spillovers, and Implications for Portfolio Management

Number of pages: 36 Posted: 04 Jan 2022
Linh Pham and Hung Xuan Do
University of Central Oklahoma - Department of Economics and Massey University, Albany campus
Downloads 119 (426,574)
Citation 4

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Green Bond, Stock Market Volatility, Commodity Market Volatility, Frequency Connectedness, Hedging Performance

9.

Natural Gas and the Utility Sector Nexus in the U.S.: Quantile Connectedness and Portfolio Implications

Number of pages: 74 Posted: 02 Sep 2022
Son Duy Pham, Thao T.T. Nguyen and Hung Xuan Do
Massey University -School of Economics and Finance, Massey University- School of Economics and Finance and Massey University, Albany campus
Downloads 117 (432,081)
Citation 1

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Natural gas, Utility stocks, Quantile connectedness, Portfolio allocation, Hedging benefit

10.

How does Trading Volume Affect Financial Return Distributions?

International Review of Financial Analysis, Vol. 35, 2014
Number of pages: 41 Posted: 12 Jun 2012 Last Revised: 21 May 2015
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 108 (458,430)
Citation 1

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intraday data, higher moments, information theory, long memory, fractional integrated VAR, generalized impulse response

11.

The Nexus between Oil and Airline Stock Returns: Does Time Frequency Matter?

Number of pages: 65 Posted: 22 Jul 2022
Tarbiat Modares University, Massey University -School of Economics and Finance, Massey University- School of Economics and Finance, Massey University, Albany campus and Monash University
Downloads 106 (464,607)
Citation 1

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Crude oil, Airline stocks, Time and Frequency Connectedness, Block connectedness, Portfolio optimization

12.

The Effects of Sovereign Rating Drifts on Financial Return Distributions: Evidence from the European Union

International Review of Financial Analysis, Vol. 34, 5-20, 2014, 25th Australasian Finance and Banking Conference 2012
Number of pages: 43 Posted: 28 Aug 2012 Last Revised: 05 May 2016
Massey University, Albany campus, Monash University, The University of Western Australia and The University of Sydney - Business School
Downloads 102 (477,541)
Citation 1

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Intraday data, higher moments, Markov regime switching, long memory, sovereign credit rating, credit rating agency

13.

Generalized Impulse Response Analysis in a Fractionally Integrated Vector Autoregressive Model

Economics Letters, Vol 118, Issue 3, March 2013, 462-465
Number of pages: 12 Posted: 23 Sep 2011 Last Revised: 04 May 2016
Massey University, Albany campus, Monash University and The University of Western Australia
Downloads 99 (487,229)
Citation 1

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generalized impulse response, fractionally integrated VAR model, long memory

14.

Risk Analysis of Pension Fund Investment Choices

31st Australasian Finance and Banking Conference 2018
Number of pages: 35 Posted: 26 Jul 2018 Last Revised: 23 May 2019
Monash University, Monash University and Massey University, Albany campus
Downloads 95 (500,600)
Citation 1

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Risk, Fama French Five factor model, Australian Superfunds, Investment options, varying coefficient panel data

15.

Politically Motivated Credit Ratings

Number of pages: 62 Posted: 12 Aug 2022
University of Sussex, Massey University, Albany campus, affiliation not provided to SSRN, affiliation not provided to SSRN and Auckland University of Technology
Downloads 84 (540,533)

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Credit ratings, conflict of interest, political connections

Volatility Spillover between the US, Chinese and Australian Stock Markets

Australian Journal of Management, Forthcoming
Number of pages: 36 Posted: 20 Jul 2017
Monash University, Monash University, Monash University - Department of Accounting and Massey University, Albany campus
Downloads 73 (594,521)
Citation 1

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Volatility Spillover; Granger Causality Test; Realized Volatility, Bi-Power Variation

Volatility Spillover between the US, Chinese and Australian Stock Markets

Australian Journal of Management, Vol. 43, No. 2, 2018
Posted: 27 Apr 2018
Monash University, Monash University, Tsinghua University and Massey University, Albany campus

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employee strategic alignment, financial performance, organizational capabilities, strategic planning process

17.

Quantile Frequency Dependence between Airline Stocks and Oil Prices

Number of pages: 54 Posted: 05 Jun 2023 Last Revised: 29 Mar 2024
Linh Pham, Hannah Nguyen and Hung Xuan Do
Lake Forest College, Massey University - School of Economics and Finance and Massey University, Albany campus
Downloads 66 (618,839)

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Crude oil, Airline stocks, Quantile, Spectral coherency, Frequency connectedness, Risk management

18.

Asymmetric Relationship Between Order Imbalance and Realized Volatility: Evidence from the Australian Market

International Review of Economics & Finance, Vol. 62, 2019
Number of pages: 29 Posted: 02 Jan 2019 Last Revised: 25 May 2019
Monash University, Monash University and Massey University, Albany campus
Downloads 64 (628,902)

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Order Imbalance, Realized Volatility, Realized Semivariances, Buyer- Versus Seller-Initiated Trades, ASX50

19.

Dynamic Spillover between Commodities and Commodity Currencies During United States Q.E.

Energy Economics, Forthcoming
Number of pages: 45 Posted: 20 Jul 2017
Pick Schen Yip, Robert D. Brooks and Hung Xuan Do
Tunku Abdul Rahman University (UTAR), Monash University and Massey University, Albany campus
Downloads 64 (628,902)
Citation 2

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Quantitative Easing, Commodity Markets, Commodity Currencies, Static and Dynamic Spillovers, FIVAR

20.

Fossil Fuel Price Uncertainty and Feedstock Edible Oil Prices: Evidence from MGARCH-M and VIRF Analysis

Energy Economics, Forthcoming
Number of pages: 41 Posted: 06 May 2016
Monash University - Department of Econometrics & Business Statistics, Massey University, Albany campus and Monash Business SchoolMonash University - Sunway Campus
Downloads 59 (660,138)
Citation 1

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Oil/food price uncertainty, crude oil, edible oil, Multivariate GARCH, VIRF

Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets

CAMA Working Paper 36/2023
Number of pages: 35 Posted: 07 Aug 2023
Department of Economics, Copenhagen School of Energy Infrastructure, Copenhagen Business School, Massey University, Albany campus, School of Accounting, Economics, and Finance, University of Wollongong and Copenhagen School of Energy Infrastructure Department of Economics, Copenhagen Business School
Downloads 39 (801,146)

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Electricity Markets, Price Volatility, Nord Pool, Carbon Market, Renewable Energy

Volatility Spillovers and Carbon Price in the Nordic Wholesale Electricity Markets

Number of pages: 38 Posted: 14 Aug 2023
Department of Economics, Copenhagen School of Energy Infrastructure, Copenhagen Business School, Massey University, Albany campus, School of Accounting, Economics, and Finance, University of Wollongong and Copenhagen School of Energy Infrastructure Department of Economics, Copenhagen Business School
Downloads 14 (1,038,569)

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Electricity markets, Price Volatility, Nord Pool, Carbon Market, Renewable Energy

22.

Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets

CAMA Working Paper No. 42/2020
Number of pages: 33 Posted: 24 Apr 2020
Hung Xuan Do, Rabindra Nepal and Tooraj Jamasb
Massey University, Albany campus, School of Accounting, Economics, and Finance, University of Wollongong and Copenhagen School of Energy Infrastructure Department of Economics, Copenhagen Business School
Downloads 46 (731,894)

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Market integration, electricity, renewable, energy policy, volatility

23.

Interconnectedness in the Australian National Electricity Market: A Higher Moment Analysis

CAMA Working Paper No. 49/2020
Number of pages: 39 Posted: 08 May 2020
Hung Xuan Do, Rabindra Nepal and Russell Smyth
Massey University, Albany campus, School of Accounting, Economics, and Finance, University of Wollongong and Monash University - Department of Economics
Downloads 43 (752,006)

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Australian National Electricity Market, Higher moments, Spillovers, Interconnectedness, Long memory

24.

Volatility Connectedness Across Oil-Dependent Currencies: A Multivariate Har with Measurement Errors Approach

Number of pages: 68 Posted: 17 Nov 2022
Thao T.T. Nguyen, Hung Xuan Do and Xiaoming Li
Massey University- School of Economics and Finance, Massey University, Albany campus and Massey University - School of Economics and Finance (Albany)
Downloads 29 (859,657)

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Foreign exchange, Volatility Spillover, Realized volatility, Measurement errors, Multivariate heterogeneous autoregressive model, Regime switching

25.

Learning from SARS: Return and Volatility Connectedness in COVID-19

Finance Research Letters, Vol. 41, 2021
Posted: 28 Jun 2021
RMIT University, Australia, Massey University, Albany campus, Royal Melbourne Institute of Technolog (RMIT University) - School of Economics, Finance and Marketing and Royal Melbourne Institute of Technolog (RMIT University) - School of Economics, Finance and Marketing

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COVID-19; SARS 2003; Spillover; Volatility connectedness; Return connectedness