Hung Xuan Do

Massey University, Albany campus

Senior Lecturer in Finance/Banking

Auckland

New Zealand

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

University of Technology, Sydney

Research Associate

PO Box 123

Broadway, 2007

Australia

SCHOLARLY PAPERS

18

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1,219

SSRN CITATIONS

12

CROSSREF CITATIONS

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Scholarly Papers (18)

1.

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

Number of pages: 69 Posted: 08 Nov 2021 Last Revised: 03 Dec 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 178 (217,934)

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

2.

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 136 (272,090)
Citation 4

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

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, Massey University, School of Accounting, Economics, and Finance, University of Wollongong and Monash University - Department of Economics
Downloads 132 (278,244)

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

4.

Financial Leverage and Stock Return Comovement

Journal of Financial Markets, Forthcoming
Number of pages: 70 Posted: 12 Nov 2020 Last Revised: 15 Dec 2021
Hung Xuan Do, Nhut H. Nguyen and Quan M. P. Nguyen
Massey University, Albany campus, Auckland University of Technology and Massey University
Downloads 105 (327,725)

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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 (352,594)

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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 7 (788,920)

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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 90 (361,938)
Citation 1

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

7.

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 75 (403,125)
Citation 1

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

8.

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 (418,690)
Citation 1

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generalized impulse response, fractionally integrated VAR model, long memory

9.

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 62 (445,783)
Citation 1

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

10.

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 52 (483,535)

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

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 51 (496,196)
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

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 41 (532,485)
Citation 1

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

13.

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 37 (552,420)
Citation 1

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

14.

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 25 (622,620)
Citation 1

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

15.

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 22 (643,497)

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

16.

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 21 (650,506)

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Market integration, electricity, renewable, energy policy, volatility

17.

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 20 (657,613)

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

18.

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

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