The Quantified Analysis of Causes of Market Risk Fluctuations in the Group of Construction, Real Estate and Construction Material Companies in Vietnam During and After the Global Crisis 2007-2011

Abstract

This research analyzes the fluctuations on market risk for the listed firms in the Vietnam real estate, construction and construction material industries as it becomes necessary, esp. after the financial crisis 2007-2011. It also provides us with a model to identify key causes of these above risk fluctuations. Firstly, by using quantitative and analytical methods to estimate asset and equity beta of the total 205 listed companies in Vietnam’s real estate, construction and construction material industry with a proper traditional model, we found that in the viewpoint of asset beta used as market risk measurement, the construction industry has the lowest risk, next is the construction material industry and real estate one has the highest risk. Secondly, we recognized that in the real estate, construction and construction material industry, the main factors affecting market risk are GDP growth, lending rate, and inflation. Thirdly, by using a proper quantitative analysis method, the study realized that in the viewpoint of asset beta, construction industry has the lowest market risk because of GDP growth decreasing, inflation increasing and average income increasing. On the contrary, real estate industry has the highest market risk because GDP growth decreases and lending rate increases. Finally, this paper provides some outcomes that could provide companies and government with more evidence in establishing their policies in governance and in monitoring these industries.