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| Author | : Richard Heaney |
| Publisher | : |
| Total Pages | : 36 |
| Release | : 1997 |
| Genre | : Mathematical models |
| ISBN | : |
| Author | : Eduardo Roca |
| Publisher | : Routledge |
| Total Pages | : 184 |
| Release | : 2020-11-25 |
| Genre | : Business & Economics |
| ISBN | : 1000114023 |
This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.
| Author | : Vincent J. Hooper |
| Publisher | : |
| Total Pages | : 12 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
This paper focuses on the explanatory power of world influences, regional effects and political risk indices on the equity market returns for a selection of Asia Pacific countries. The results support the notion that emerging equity market returns are driven by both regional and global factors. Political risk indices provide little explanatory power over returns. It is discovered that 'regionalism' is a strong influence upon the markets located within ASEAN, and is priced accordingly. Countries whose equity markets are considered to be more open exhibit greater covariability with the world market portfolio. Financial risk indices provide some explanatory power over volatility for roughly half of the sample. The results suggest that emerging market returns may be captured more effectively by multi-index models that incorporate a regional factor and that political risk indices may help in explaining market volatility.
| Author | : Bruce Q. Budd |
| Publisher | : |
| Total Pages | : 17 |
| Release | : 2014 |
| Genre | : |
| ISBN | : |
This preliminary study employs VECH-Multivariate Generalized Conditional Heteroskedasticity (MGARCH) model to test the cluster volatility of asset returns transmission impact among four Asian-Pacific equity markets: Australia, India, Hong Kong and Japan. Daily asset returns of the stock exchange indices are used for the period 2004 to 2014. Evidence shows that past shocks arising from the India stock market display the strongest evidence of impact on its 'own' future market volatility compared to the shocks stemming from the other three stock markets. This paper reveals the presence of high and positive lagged cross-volatility persistence between all countries. Australia in particular, exposes evidence of strong volatility persistence from all of the three markets to Australia. The strongest cross-volatility shock coefficients between countries are between Australia and Japan. India and Japan is the weakest. These results further provide strong evidence that all exchanges are well-integrated markets with high and positive spillovers. Asset returns of each exchange are linked. The volatility of one market does lead the volatility of other markets in the Asian-Pacific region. Shocks on a market do increase the volatility on another market. Finally this paper concludes that as these markets become more integrated, so this can lead to reduced opportunities for future global portfolio risk diversification.
| Author | : Suk-Joong Kim |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
This paper investigates the nature of the stock market linkages in the advanced Asia-Pacific stock markets of Australia, Hong Kong, Japan and Singapore with the U.S and the information leadership of the U.S. and Japan in the region since the early 1990s. It has been found that both the contemporaneous return and volatility linkages were significant and tended to be more intense after the 1997 Asian crisis period. However, the investigation of the dynamic information spillover effects in terms of returns, volatility and trading volume from the U.S. and Japan did not produce such time-varying influence. In general, significant dynamic information spillover effects from the U.S. were found in all the Asia-Pacific markets, but the Japanese information flows were relatively weak and the effects were country specific.
| Author | : Kee-hong Bae |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 1993 |
| Genre | : Investments, Foreign |
| ISBN | : |
| Author | : Roberto Guimarães-Filho |
| Publisher | : International Monetary Fund |
| Total Pages | : 36 |
| Release | : 2016-03-09 |
| Genre | : Business & Economics |
| ISBN | : 1513572458 |
Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the region and vis-à-vis other major global markets. Using time-varying connectedness measures, we address the following questions: (1) How has connectedness in asset returns and volatilities changed over time? Do markets become more connected during crises periods? (2) Which markets are major sources and major recipients of shocks? Has there been a shift in terms of the net shock givers and shock receivers (directional connectedness over time)? Finally, we investigate the connectedness between China’s equity markets and other countries’ equity markets since August 2015 to highlight the growing importance of emerging market economies, particularly China, as sources of shocks.
| Author | : Qaiser Munir |
| Publisher | : Taylor & Francis |
| Total Pages | : 272 |
| Release | : 2016-10-04 |
| Genre | : Business & Economics |
| ISBN | : 1317270304 |
The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
| Author | : Hung Ngo |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
Purpose - This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam, Thailand, Singapore and Malaysia).Design/methodology/approach - The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis.Findings - The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return, linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably, the findings also indicate that the stock markets are more substantially integrated into the crisis.Practical implications - The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally, international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information.Originality/value - This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam, Thailand, Singapore and Malaysia. Furthermore, this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research's empirical analysis would amplify the systematic understanding of spillover activities between China stock market and other stock markets.
| Author | : Herald van der Linde |
| Publisher | : Marshall Cavendish International Asia Pte Ltd |
| Total Pages | : 274 |
| Release | : 2021-10-15 |
| Genre | : Business & Economics |
| ISBN | : 9815009524 |
A summary of how stock markets work for those looking to invest. This book is a practical guide to Asia’s stock markets for a general audience. It is for people who do not know much about financial markets but, for whatever reason, would like to learn more. They could be seasoned expatriate pilots, academics and other professionals, newcomers in the region as well as students or young men and women about to start in the finance industry. The idea is to cut through the alphabet soup of industry jargon to provide a clear understanding of how these markets work, how they differ from each other in size and depth, what unique features each stock market has and what drives all the different sectors in these markets – consumers, the internet, banks and technology. The book includes helpful history lessons and personal anecdotes drawn from the author’s 30 years in the world of Asian investments.
