Comovements In National Stock Market Returns PDF Download
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Author | : Anthony John Richards |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 1996-04 |
Genre | : Business & Economics |
ISBN | : |
Download Comovements in National Stock Market Returns Book in PDF, ePub and Kindle
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.
Author | : Anthony J. Richards |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : |
ISBN | : |
Download Comovements in National Stock Market Returns Book in PDF, ePub and Kindle
This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of quot;winner-loserquot; reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.
Author | : Anthony Richards |
Publisher | : |
Total Pages | : 25 |
Release | : 1996 |
Genre | : |
ISBN | : |
Download Comovements in National Stock Market Returns Book in PDF, ePub and Kindle
Author | : Jeffrey A. Frankel |
Publisher | : University of Chicago Press |
Total Pages | : 428 |
Release | : 2008-04-15 |
Genre | : Business & Economics |
ISBN | : 0226260216 |
Download The Internationalization of Equity Markets Book in PDF, ePub and Kindle
This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Author | : Yin-Wong Cheung |
Publisher | : |
Total Pages | : 38 |
Release | : 1993 |
Genre | : Business cycles |
ISBN | : |
Download Long-run Determinants of Stock Market Comovements in EMS Countries Book in PDF, ePub and Kindle
Author | : Hersh Shefrin |
Publisher | : College Ie Overruns |
Total Pages | : 300 |
Release | : 2017-04-16 |
Genre | : Corporations |
ISBN | : 9781259254864 |
Download Behavioral Corporate Finance Book in PDF, ePub and Kindle
Author | : Mr.Anthony J. Richards |
Publisher | : International Monetary Fund |
Total Pages | : 23 |
Release | : 1997-12-01 |
Genre | : Business & Economics |
ISBN | : 1451859236 |
Download Winner-Loser Reversals in National Stock Market Indices Book in PDF, ePub and Kindle
This paper examines possible explanations for “winner–loser reversals” in the national stock market indices of 16 countries. There is no evidence that loser countries are riskier than winner countries either in terms of standard deviations, covariance with the world market or other risk factors, or performance in adverse economic states of the world. While there is evidence that small markets are subject to larger reversals than large markets, perhaps because of some form of market imperfection, the reversals are not just a small-market phenomenon. The apparent anomaly of winner-loser reversals in national market indices therefore remains unresolved.
Author | : Asl? Demirgüç-Kunt |
Publisher | : World Bank Publications |
Total Pages | : 73 |
Release | : 1999 |
Genre | : Bancos |
ISBN | : |
Download Bank-based and Market-based Financial Systems Book in PDF, ePub and Kindle
Author | : Seungho Jung |
Publisher | : International Monetary Fund |
Total Pages | : 36 |
Release | : 2021-10-22 |
Genre | : Business & Economics |
ISBN | : 1557759677 |
Download Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics Book in PDF, ePub and Kindle
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Author | : Martin Feldstein |
Publisher | : University of Chicago Press |
Total Pages | : 500 |
Release | : 2007-12-01 |
Genre | : Business & Economics |
ISBN | : 0226241807 |
Download International Capital Flows Book in PDF, ePub and Kindle
Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.