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

23

DOWNLOADS
Rank 44,947

SSRN RANKINGS

Top 44,947

in Total Papers Downloads

1,498

SSRN CITATIONS

12

CROSSREF CITATIONS

0

Scholarly Papers (23)

1.

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 190 (221,674)

Abstract:

Loading...

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

2.

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, Massey University, School of Accounting, Economics, and Finance, University of Wollongong and Monash University - Department of Economics
Downloads 138 (288,754)

Abstract:

Loading...

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

3.

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 138 (288,754)
Citation 4

Abstract:

Loading...

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

4.

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 Massey University
Downloads 135 (293,686)

Abstract:

Loading...

Leverage, Comovement, Clientele, Style Investment

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 95 (377,886)

Abstract:

Loading...

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 9 (831,477)

Abstract:

Loading...

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

6.

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 91 (385,121)
Citation 1

Abstract:

Loading...

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

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 65 (471,381)

Abstract:

Loading...

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 21 (717,145)

Abstract:

Loading...

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

8.

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 78 (422,009)
Citation 1

Abstract:

Loading...

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

9.

Asymmetric Trading Responses to Credit Rating Announcements from Issuer- versus Investor-Paid Rating Agencies

Number of pages: 37 Posted: 18 Feb 2020 Last Revised: 22 Mar 2022
Massey University, Massey University, Albany campus, Massey University, The University of Queensland - UQ Business School and Auckland University of Technology
Downloads 71 (444,301)

Abstract:

Loading...

credit ratings, institutional investors, trading strategy

10.

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 70 (447,716)
Citation 1

Abstract:

Loading...

generalized impulse response, fractionally integrated VAR model, long memory

11.

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 66 (461,499)
Citation 1

Abstract:

Loading...

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

12.

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 57 (495,531)
Citation 1

Abstract:

Loading...

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

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 53 (520,629)
Citation 1

Abstract:

Loading...

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

Abstract:

Loading...

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

14.

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 51 (520,752)

Abstract:

Loading...

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

15.

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 39 (578,431)
Citation 1

Abstract:

Loading...

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

16.

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 29 (636,993)
Citation 1

Abstract:

Loading...

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

17.

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 24 (672,099)

Abstract:

Loading...

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

18.

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 22 (687,344)

Abstract:

Loading...

Market integration, electricity, renewable, energy policy, volatility

19.

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 21 (695,143)

Abstract:

Loading...

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

20.

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 17 (727,383)

Abstract:

Loading...

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

21.

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

Number of pages: 74
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 11

Abstract:

Loading...

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

22.

Politically Motivated Credit Ratings

Number of pages: 62 Posted: 12 Aug 2022
Massey University, Massey University, Albany campus, affiliation not provided to SSRN, affiliation not provided to SSRN and Auckland University of Technology
Downloads 7 (821,372)

Abstract:

Loading...

Credit ratings, conflict of interest, political connections

23.

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, RMIT University - School of Economics, Finance and Marketing and RMIT University - School of Economics, Finance and Marketing

Abstract:

Loading...

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