Analyzing Stock Bond Correlation In Emerging Markets PDF Download
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| Author | : Qurat ul Ain Ehtesham |
| Publisher | : |
| Total Pages | : 33 |
| Release | : 2020 |
| Genre | : |
| ISBN | : |
Download Analyzing Stock-Bond Correlation in Emerging Markets Book in PDF, ePub and Kindle
This study investigated stock-bond correlation in 17 countries of emerging markets (i.e. Czech Republic, Egypt, Greece, Hungary, Poland, Russia, Turkey, Israel, China, India, Indonesia, South Korea, Malaysia, Pakistan, Philippines, Taiwan, Thailand) during 2011 to 2018 using monthly price data. Data were analyzed using the ARCH-LM test, GJR GARCH and Multivariate GARCH type Asymmetric DCC model. Finding of this paper revealed that sequence of return series are stationary contains white noise error, past return volatilities does not have the ability to predict future volatilities and conditional volatility is higher and negative momentum of the market increase the correlation of stock and bond in a country or vice versa and hence increase the diversification benefit for asset allocation in a portfolio construction and provide hedging assets characteristics among countries and it is verified that there is a co-movement between stock and bond in a country of emerging markets.
| Author | : Mr.A. Javier Hamann |
| Publisher | : International Monetary Fund |
| Total Pages | : 28 |
| Release | : 2010-01-01 |
| Genre | : Business & Economics |
| ISBN | : 1451961774 |
Download Correlations in Emerging Market Bonds Book in PDF, ePub and Kindle
This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
| Author | : Nasha Ananchotikul |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2014-08-19 |
| Genre | : Business & Economics |
| ISBN | : 1498355285 |
Download Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets Book in PDF, ePub and Kindle
In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
| Author | : Mr.Itai Agur |
| Publisher | : International Monetary Fund |
| Total Pages | : 56 |
| Release | : 2018-01-25 |
| Genre | : Business & Economics |
| ISBN | : 1484339223 |
Download On International Integration of Emerging Sovereign Bond Markets Book in PDF, ePub and Kindle
The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.
| Author | : Tamara Teplova |
| Publisher | : Routledge |
| Total Pages | : 351 |
| Release | : 2020-10-25 |
| Genre | : Business & Economics |
| ISBN | : 1000201783 |
Download Emerging Bond Markets Book in PDF, ePub and Kindle
The bond market is a key securities market and emerging economies present exciting, new investment opportunities. This timely book provides insights into these emerging bond markets through empirical models and analytical databases, i.e. Bloomberg, Eikon Refinitiv and the Russian Cbonds. The book looks at the dynamics of the development of emerging bond markets, their competitiveness, features and patterns using macro and micro level data. It also takes into consideration various securities type i.e. government, corporate, sub-federal and municipal bonds, to identify respective challenges and risks. The book also analyses factors that may inhibit or stimulate a well-balanced financial market. It includes case studies of Asian, Latin American and Russian bond markets, as also as cross-country comparisons. It will be a useful reference for anyone who is interested to learn more of the bond market and the modelling techniques for critical data analysis.
| Author | : Dirk G. Baur |
| Publisher | : |
| Total Pages | : 27 |
| Release | : 2009 |
| Genre | : |
| ISBN | : |
Download Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations Book in PDF, ePub and Kindle
This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight developed countries including the US, the UK, Germany and Japan shows that flights exist and are a common feature in many crises episodes. Our findings also reveal that flights are not merely country-specific events but occur simultaneously across countries. This indicates that there is a link between the occurrence of flights and cross-country contagion. Moreover, we show that flights enhance the resiliency of the financial markets by providing diversification benefits in times when they are needed most.
| Author | : Kashif Saleem |
| Publisher | : |
| Total Pages | : 16 |
| Release | : 2008 |
| Genre | : |
| ISBN | : |
Download Time Varying Correlations between Stock and Bond Returns - Evidence from Russia Book in PDF, ePub and Kindle
The purpose of this study is to look at the relationship between stock market and bond market of Russia for the period of July 1994 to Dec. 2007. We attempt to examine whether the correlations between two classes of assets are time varying by using multivariate conditional volatility models. We start our investigation by applying Bollerslev (1990) Constant conditional correlation model to test whether varying correlations are statistically significant then we use DCC-GARCH (1, 1) model proposed by Engle (2002) to analyze the dynamics of conditional correlations between the two assets. Finally, to investigate the asymmetries in conditional variances, covariances, and correlations, we adopt an asymmetric version of the Dynamic Conditional Correlation (ADCC) model proposed by Engle et al. (2006). Our empirical results do not support the assumption of constant conditional correlation and we found clear evidence of time varying correlations between Russian stocks and bond market. Our results offers a batter understanding for the dynamics of the correlations between stocks and bonds in an emerging market setting which is obviously very valuable for the portfolio managers, international investors, risk analysts and financial researchers as well as for the policy implications.
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 74 |
| Release | : 1999 |
| Genre | : Capital movements |
| ISBN | : |
Download The Dynamics of Emerging Market Equity Flows Book in PDF, ePub and Kindle
We study the interrelationship between capital flows, returns, dividend yields and world interest rates in 20 emerging markets. We estimate a vector autoregressionn with these variables to measure the degree to which lower interest rates contribute to increased capital flows and shocks in flows affect the cost of capital among other dynamic relations. We precede the VAR analysis by a detailed examination of endogenous break points in capital flows and the other variables. These structural breaks are traced to the liberalization of emerging equity markets. Our evidence of structural breaks call into question past research which estimates VAR models over the full sample. After a liberalization, we find that equity flows increase by 1.4% of market capitalization. We also show that shocks in equity flows initially increase returns which is consistent with a price pressure hypothesis. While the effect is diminished over time, there also appears to be a permenant impact. This is consistent with our finding that our proxy for the cost of capital, dividend yields, decreases. Finally, our analysis of the transitition dynamics from pre-liberalization to post-liberalization suggests that when capital leaves, it leaves faster than it came in. These results may help us understand the dynamics of the recent crises in Latin America and East Asia.
| Author | : Ramazan Gençay |
| Publisher | : Elsevier |
| Total Pages | : 383 |
| Release | : 2001-10-12 |
| Genre | : Business & Economics |
| ISBN | : 0080509223 |
Download An Introduction to Wavelets and Other Filtering Methods in Finance and Economics Book in PDF, ePub and Kindle
An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. The first book to present a unified view of filtering techniques Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
| Author | : Abdel Razzaq Al Rababa'a |
| Publisher | : |
| Total Pages | : 66 |
| Release | : 2018 |
| Genre | : |
| ISBN | : |
Download Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements Book in PDF, ePub and Kindle
We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news exhibiting a slower effect. The news effects differ when we replace the 2008 crisis with the 2001 dot-com or 2011 government debt ceiling dispute periods. Tests involving small stocks, different model specifications, volatility effects and other robustness considerations continue to support our results. These results will enhance our understanding of the links between financial markets and the macroeconomy.
