The emerging stock market in Viet Nam has been affected by the financial crisis 2007-2009. This study analyzes the impacts of tax policy on market risk for the listed firms in the construction industry as it becomes necessary. First, by using quantitative and analytical methods to estimate asset and equity beta of total 104 listed companies in Viet Nam construction industry with a proper traditional model, we found out that the beta values, in general, for many companies are acceptable. Second, under 3 different scenarios of changing tax rates (20%, 25% and 28%), we recognized that there is not large disperse in equity beta values, estimated at 1,008, 1,106 and 1,014.These values are higher than those of the listed VN real estate firms. Third, by changing tax rates in 3 scenarios (25%, 20% and 28%), we recognized both equity and asset beta mean values have positive relationship with the increasing levels of tax rate. Finally, this paper provides some outcomes that could provide companies and government more evidence in establishing their policies in governance.