Duc Khuong Nguyen

IPAG Business School

Professor of Finance

184 BD Saint Germain

Paris, 75006

France

http://www.ipag.fr/en/

SCHOLARLY PAPERS

30

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3,914

SSRN CITATIONS
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SSRN RANKINGS

Top 31,129

in Total Papers Citations

24

CROSSREF CITATIONS

3

Scholarly Papers (30)

1.

Big Data, Artificial Intelligence and Machine Learning: A Transformative Symbiosis in Favour of Financial Technology

Number of pages: 50 Posted: 09 Sep 2020 Last Revised: 18 Apr 2022
IPAG Business School, University of Glasgow and University of Glasgow
Downloads 459 (89,042)
Citation 1

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FinTech, Artificial Intelligence, Machine Learning, Big Data, Digital Finance, RegTech, Smart Data

2.

Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review

Breitenstein, Miriam; Nguyen, Duc K.; Walther, Thomas (2021): Environmental Hazards and Risk Management in the Financial Sector: A Systematic Literature Review, in: Journal of Economic Surveys, Vol. 35, No. 2, pp. 512-538. DOI: 10.1111/joes.12411 (Open Access), University of St.Gallen, School of Finance Research Paper No. 2019/10
Number of pages: 46 Posted: 31 Jul 2019 Last Revised: 31 Jan 2022
Miriam Breitenstein, Duc Khuong Nguyen and Thomas Walther
Dresden University of Technology - Chair of Finance and Financial Services, IPAG Business School and Utrecht University - School of Economics
Downloads 439 (93,958)
Citation 3

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Environment, Climate, Risk Management, Banking, Financial Institutions

3.

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Journal of Banking and Finance, Vol. 36, No. 9, 2012
Number of pages: 54 Posted: 23 Dec 2012
EDHEC Business School, IPAG Business School and University of Missouri, Columbia
Downloads 345 (123,222)

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ICAPM, integration, emerging markets, multivariate GARCH

4.

Research Handbook of Finance and Sustainability (Table of Contents)

Research Handbook of Finance and Sustainability, Forthcoming
Number of pages: 11 Posted: 23 Aug 2017
Sabri Boubaker, Douglas J. Cumming and Duc Khuong Nguyen
Ecole de Management de Normandie, Florida Atlantic University and IPAG Business School
Downloads 285 (150,668)

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Corporate social responsibility; Environmental Finance; Entrepreneurial Finance; Sustainable Finance; Fraud; Corporate Governance

5.

Does Board Gender Diversity Make a Difference - New Evidence from Quantile Regression Analysis

Number of pages: 18 Posted: 09 May 2014
Rey Dang and Duc Khuong Nguyen
ISTEC Ecole Supérieure de Commerce et de Marketing and IPAG Business School
Downloads 279 (153,853)

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Board of Directors, Gender, Diversity, Corporate Governance.

6.

Non-Fungible Token Markets: A Focus on Tail Behavior and Relationship with Bitcoin

Number of pages: 14 Posted: 29 Mar 2022
Cuong Nguyen, Huy Viet Hoang and Duc Khuong Nguyen
Lincoln University (NZ), (NEU) National Economics University of Vietnam and IPAG Business School
Downloads 269 (159,721)

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bitcoin, cryptocurrency, NFTs, non-fungible token, quantile connectedness, tail behavior

7.

Assessing the Effects of Unconventional Monetary Policy and Low Interest Rates on Pension Fund Risk Incentives

Journal of Banking and Finance, Vol. 77, pp. 35-52, April 2017
Number of pages: 59 Posted: 15 Mar 2015 Last Revised: 15 Jan 2017
Ecole de Management de Normandie, University of Bath, IPAG Business School and Durham University Business School
Downloads 240 (178,678)
Citation 3

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Pension funds; Unconventional monetary policy; Asset allocation; Interest rates

8.

Does the Board of Directors Affect Cash Holdings? A Study of French Listed Firms

Journal of Management and Governance, Forthcoming
Number of pages: 30 Posted: 31 Oct 2013
Sabri Boubaker, Imen Derouiche and Duc Khuong Nguyen
Ecole de Management de Normandie, Independent and IPAG Business School
Downloads 217 (196,616)
Citation 4

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Corporate governance, Board of directors, Agency costs, Corporate governance, Cash holdings

9.

Economic Drivers of Volatility and Correlation in Precious Metal Markets

Journal of Commodity Markets, forthcoming. DOI: 10.1016/j.jcomm.2021.100242
Number of pages: 36 Posted: 02 Aug 2021 Last Revised: 22 Jan 2022
Theu Dinh, Stephane Goutte, Duc Khuong Nguyen and Thomas Walther
University of Paris-Saclay, University Paris-Saclay, UMI Source, UVSQ, IPAG Business School and Utrecht University - School of Economics
Downloads 214 (199,104)
Citation 1

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Precious metals, long-term volatility \sep long-term correlation, macroeconomic drivers, financial drivers, economic policy uncertainty, mixed data sampling

10.

Do Liquidity and Idiosyncratic Risk Matter?: Evidence from the European Mutual Fund Market

Review of Quantitative Finance and Accounting, August 2016, Volume 47, Issue 2, pp 213-247., Midwest Finance Association 2013 Annual Meeting Paper.
Number of pages: 37 Posted: 01 Feb 2012 Last Revised: 22 Oct 2016
Harvard UniversityComplutense University of Madrid, Universidad Europea de Madrid and IPAG Business School
Downloads 198 (213,857)

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Mutual Fund Performance, Idiosyncratic Risk, Liquidity, Style Analysis

11.

On the Efficiency of Foreign Exchange Markets in Times of the COVID-19 Pandemic

Number of pages: 32 Posted: 30 Jun 2020
Faheem Aslam, Saqib Aziz, Duc Khuong Nguyen, Khurrum Mughal and Maaz Khan
Hanyang University - School of Business, Rennes School of Business, IPAG Business School, Comsats University Islamabad and COMSATS University Islamabad
Downloads 178 (234,700)
Citation 5

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COVID-19; pandemic; forex market; MF-DFA; high frequency; efficiency

12.

Modeling and Forecasting Commodity Market Volatility with Long-term Economic and Financial Variables

University of St. Gallen, School of Finance Research Paper No. 2018/24, Journal of Forecasting, 39(2), pp. 126-142, DOI: 10.1002/for.2617
Number of pages: 41 Posted: 05 Dec 2018 Last Revised: 05 Feb 2020
Duc Khuong Nguyen and Thomas Walther
IPAG Business School and Utrecht University - School of Economics
Downloads 165 (250,178)
Citation 8

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Commodity futures, GARCH, Long-term volatility, Macroeconomic effects, Mixed data sampling

13.

Research Handbook of Investing in the Triple Bottom Line (Introduction)

Research Handbook of Investing in the Triple Bottom Line, Forthcoming
Number of pages: 9 Posted: 18 Dec 2017
Sabri Boubaker, Douglas J. Cumming and Duc Khuong Nguyen
Ecole de Management de Normandie, Florida Atlantic University and IPAG Business School
Downloads 156 (262,190)

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Impact investing, Sustainable development, Socially responsible firms, Green finance instruments, Financial stability, Fraud, Corporate social responsibility

14.

Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach

Number of pages: 55 Posted: 05 Nov 2020 Last Revised: 30 Dec 2020
Duc Khuong Nguyen, Nikolas Topaloglou and Thomas Walther
IPAG Business School, Athens University of Economics and Business and Utrecht University - School of Economics
Downloads 122 (316,951)

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Stochastic Dominance, Stochastic Spanning, Commodities, FX, Real Estate, Diversification

15.

Systematic ESG Exposure and Stock Returns: Evidence from the United States during the 1991-2019 Period

Number of pages: 39 Posted: 09 Feb 2022 Last Revised: 15 Mar 2022
Aymen Karoui and Duc Khuong Nguyen
York University and IPAG Business School
Downloads 92 (385,380)

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ESG Exposure, stock returns, systematic exposure, corporate social responsibility (CSR)

16.

Stranded Asset Risk and Political Uncertainty: The Impact of the Coal Phase-out on the German Coal Industry

Utrecht School of Economics Working Paper Series nr: 20-02
Number of pages: 62 Posted: 10 Jun 2020 Last Revised: 27 Jan 2022
Dresden University of Technology - Chair of Finance and Financial Services, Dresden University of Technology - Faculty of Economics and Business Management, IPAG Business School and Utrecht University - School of Economics
Downloads 64 (469,056)
Citation 3

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Coal Phase-out, Energy transition, Germany, Stranded Assets

17.

China's Monetary Policy Framework and Global Commodity Prices

Number of pages: 34 Posted: 28 May 2022
Shawkat M. Hammoudeh, Duc Khuong Nguyen and Ricardo M. Sousa
Drexel University - Lebow College of Business, IPAG Business School and University of Minho
Downloads 51 (521,134)

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Monetary policy instruments, Commodity prices, Bayesian Structural VAR, China.

18.

Reaching for Yield and the Diabolic Loop in a Monetary Union

Journal of International Money and Finance, Vol. 108, pp. 102-157, November 2020
Number of pages: 41 Posted: 13 Feb 2019 Last Revised: 06 Jan 2021
Ecole de Management de Normandie, University of Bath, IPAG Business School and Durham University Business School
Downloads 51 (521,134)

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Diabolic loop, Financial intermediation, Sovereign debt

19.

Cojumps and Asset Allocation in International Equity Markets

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 42 Posted: 28 Nov 2018
Université Côte d'Azur, Université Clermont Auvergne, IPAG Business School and University of Missouri, Columbia
Downloads 40 (573,729)
Citation 1

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cojumps, foreign asset holdings, international diversification

20.

Broker Network Connectivity and the Cross-Section of Expected Stock Returns

Number of pages: 76 Posted: 25 Mar 2022
Murat Tiniç, Ahmet Şensoy, Muge Demir and Duc Khuong Nguyen
Kadir Has University, Bilkent University, European Union - European Investment Fund and IPAG Business School
Downloads 23 (680,088)

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Limit order book, trading networks, broker networks, network connectivity, pricing factors

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 39 Posted: 25 Jan 2011
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 11 (811,305)
Citation 1

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International asset pricing, segmentation, emerging markets, multivariate GARCH

An International CAPM for Partially Integrated Markets: Theory and Empirical Evidence

Number of pages: 49 Posted: 21 Mar 2011 Last Revised: 05 Feb 2019
Mohamed Arouri, Duc Khuong Nguyen and Kuntara Pukthuanthong
Université Côte d'Azur, IPAG Business School and University of Missouri, Columbia
Downloads 6 (865,407)

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international Asset Pricing, Segmentation, Emerging Markets, Multivariate GARCH

22.

Regulatory Changes and Long-run Relationships of the EMU Sovereign Debt Markets: Implications for Future Policy Framework

Number of pages: 33 Posted: 28 Feb 2021
Erdinc Akyildirim, Shaen Corbet, Duc Khuong Nguyen and Ahmet Sensoy
ETH Zürich - Department of Mathematics, Dublin City University, IPAG Business School and Borsa Istanbul
Downloads 10 (791,805)

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23.

Reprint of: Assessing the Effects of Unconventional Monetary Policy and Low Interest Rates on Pension Fund Risk Incentives

Journal of Banking and Finance, Vol. 92, pp. 340-357, March 2018
Posted: 15 Apr 2021
Ecole de Management de Normandie, University of Bath, IPAG Business School and Durham University Business School

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Pension Funds; Unconventional Monetary Policy; Asset Allocation; Interest Rates

24.

Fiscal Policy Interventions at the Zero Lower Bound

Journal of Economic Dynamics and Control, Vol. 93, pp. 297-314, August 2018
Posted: 04 Mar 2017 Last Revised: 15 Oct 2018
Sabri Boubaker, Duc Khuong Nguyen and Nikos Paltalidis
Ecole de Management de Normandie, IPAG Business School and Durham University Business School

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Fiscal Policy; Liquidity Trap; Fiscal Multipliers; Zero Lower Bound

25.

Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting

The World Economy, Vol. 39, Issue 11, pp. 1703-1727, 2016
Number of pages: 25 Posted: 10 Nov 2016
Shawkat M. Hammoudeh, Sang Hoon Kang and Duc Khuong Nguyen
Drexel University - Lebow College of Business, Pusan National University and IPAG Business School
Downloads 0 (910,623)
Citation 1

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26.

Multivariate Dependence Risk and Portfolio Optimization: An Application to Mining Stock Portfolios

Resources Policy 46 (2015) 1–11
Posted: 30 May 2016
European University Institute - Economics Department (ECO), Tecnologico de Monterrey (ITESM), Drexel University - Lebow College of Business and IPAG Business School

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Mining stocks, Vine copulas, Risk measures, Tail dependence, Portfolio optimization

27.

Testing for Structural Breaks and Dynamic Changes in Emerging Market Volatility

Posted: 02 Oct 2007
Duc Khuong Nguyen and Mondher Bellalah
IPAG Business School and Universite de Cergy-Pontoise

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Stock Market Liberalization, Return Volatility, Emerging Stock Markets, Bivariate GARCH-M models, Structural Breaks, Pooled Time-Series Analysis

28.

Does Macroeconomic Transparency Help Governments Be Solvent? Evidence from Recent Data

Posted: 17 May 2007
Ramzi Mallat and Duc Khuong Nguyen
affiliation not provided to SSRN and IPAG Business School

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emerging markets, transparency, standards and codes, international financial architecture, sovereign debt and yield spreads

29.

Market Deregulations, Volatility and Spillover Effects: Experiences from Emerging Stock Markets

Sima Motamen-Samadian, GOVERNANCE AND RISK IN EMERGING AND GLOBAL MARKETS: Centre for the Study of Emerging Markets Series, Palgrave Macmillan October 2005
Posted: 26 Mar 2007
Duc Khuong Nguyen
IPAG Business School

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International Finance, Financial Liberalizations, Volatility Spillover, Emerging Stock Markets

30.

Stock Market Liberalization and Informational Efficiency in Emerging Markets: New Consideration and Tests

Bank & Markets, No. 84, 2006
Posted: 26 Mar 2007
Duc Khuong Nguyen and Patrice C. Fontaine
IPAG Business School and Eurofidai (CNRS)

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Emerging markets, Stock market liberalization, Weak form efficiency, Time-varying predictability of stock returns, GARCH-in-Mean effect, Kalman Filter