The relationship between return and market risk: The case of banking stocks listed on the Vietnam stock market

Abstract

The main objective of this study is to test the The relationship between return and market risk of banking stocks
listed on the Vietnam stock market. Data used in the study include weekly series of the VN-Index, HNX-Index and
prices of nine banking stocks over the period from January 1st 2012 to December 31st 2015. Using the regression
analysis method, empirical findings obtained from the study reveal that there is a linear relationship between
returns and market risk of the stocks. However, this study finds no evidence about a nonlinear relationship
between returns and market risk of the banking stocks.