Market Deregulations Volatility And Spillover Effects PDF Download
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| Author | : Duc Khuong Nguyen |
| Publisher | : |
| Total Pages | : |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Market Deregulations, Volatility and Spillover Effects Book in PDF, ePub and Kindle
This paper investigates the impact of stock market liberalizations on the volatility of emerging markets and volatility spillover effects between these markets and stock markets of the United Stated and Japan. First, our results reinforce previous findings in that emerging markets tend to generate higher volatility than developed markets. Moreover, some of the sudden changes in emerging market volatility appeared to be often associated with financial liberalizations. However, when we explicitly test the relationships between financial liberalization and volatility using regression analysis, we found conflicting results about the sign of financial liberalization effects. Second, we found that stock volatility is substantially transmitted among sample markets, especially between emerging markets of the same geographical location. It is also demonstrated that the multilateral transmission of volatility only increases slightly after liberalization programs. Finally, it is worth notifying that shocks to volatility in emerging markets, rather than those to volatility in the US and Japanese markets constitute a dominant source of return variability in foreign stock markets.
| Author | : Klaus Grobys |
| Publisher | : |
| Total Pages | : |
| Release | : 2015 |
| Genre | : |
| ISBN | : |
Download Are Volatility Spillovers Between Currency and Equity Market Driven by Economic States? Evidence from the US Economy Book in PDF, ePub and Kindle
This study examines the volatility spillovers between the foreign exchange rate markets of three of the USA's major trading partners and the US stock market, utilizing the forecast-error variance decomposition framework of a VAR model proposed by Diebold and Yilmaz (2009). The empirical results, based on a data set covering the period 1986-2014 suggest that the level of total volatility spillover effects is high only when they precede periods of economic turbulence. If the economy is quiet, volatility spillover effects are virtually non-existent.
| Author | : Lieven Baele |
| Publisher | : |
| Total Pages | : 54 |
| Release | : 2007 |
| Genre | : |
| ISBN | : |
Download Volatility Spillover Effects in European Equity Markets Book in PDF, ePub and Kindle
This paper investigates to what extent globalization and regional integration lead to increasing equity market interdependence. I focus on the case of Western Europe, as this region has gone through a unique period of economic, financial, and monetary integration. More specifically, I quantify the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU) and US market to 13 local European equity markets. To account for time-varying integration, I allow the shock sensitivities to change through time by means of a regime-switching model. I find that these regime switches are both statistically and economically important. While both the EU and US shock spillover intensity has increased over the 1980s and 1990s, the rise is more pronounced for EU spillovers. In most countries, shock spillover intensities increased most strongly in the second half of 1980s and the first half of the 1990s. Increased trade integration, equity market development, and low inflation are shown to have contributed to the increase in EU shock spillover intensity. Finally, I find some evidence for contagion from the US market to a number of local European equity markets during periods of high world market volatility. Keywords: Volatility Spillovers, Regime Switching, Contagion, EMU, Financial Integration.
| Author | : John Beirne |
| Publisher | : INTERNATIONAL MONETARY FUND |
| Total Pages | : 40 |
| Release | : 2008-12-01 |
| Genre | : |
| ISBN | : 9781451871449 |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
| Author | : John Beirne |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2009 |
| Genre | : Stock exchanges |
| ISBN | : |
Download Volatility Spillovers and Contagion from Mature to Emerging Stock Markets Book in PDF, ePub and Kindle
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
| Author | : Velmurugan Palaniappan Shanmugam |
| Publisher | : |
| Total Pages | : 28 |
| Release | : 2017 |
| Genre | : |
| ISBN | : |
Download Impact of U.S Financial Market Deregulation on Commodity Derivatives Market Book in PDF, ePub and Kindle
With due credit to the globalized interlinked economy, the international linkages, information transmission, and the spillover effect from one futures market to other markets across the world is well researched and documented. Especially several studies on equity, currency, and commodity markets have documented the dominance of U.S markets in innovation and information dissemination to the rest to the world. The information of price, market return and volatility that is prevailing in U.S market is no more a domestic issue since it gets incorporated into international commodity futures markets immediately without sparing any lead-lag relationship. As US is the birthplace of several financial market and regulatory innovations, the entire world is looking at it for taking corrective measures. To conclude, it is not the failure of the derivatives market but it is the failure of the regulatory mechanism that have created turmoil in the market. The policy makers should understand that it is in their hands to design a regulatory architecture taking into account the developments and experiences during the first few years of the market - good and bad - and literally shape the financial and commodity market system that forms the foundation for the future of futures market.
| Author | : S. Motamen-Samadian |
| Publisher | : Springer |
| Total Pages | : 159 |
| Release | : 2005-10-19 |
| Genre | : Political Science |
| ISBN | : 0230599354 |
Download Governance and Risk in Emerging and Global Markets Book in PDF, ePub and Kindle
The book features eight studies related to governance and risk. It provides a critical evaluation of Basel II, and questions the significance of corruption in country risk analysis and investors' decision making. It offers a reliable model of early warning credit signals that helps managers to detect default risks, and provides a risk-based analysis of alternative production systems in Pakistan. It analyzes the effects of market liberalization on volatility spill-over across the globe, and examines past and future prospects for the Iraqi stock exchange. Finally, it proposes securitization as a means to finance costs of reconstruction in Iraq.
| Author | : Laurent Ferrara |
| Publisher | : Springer |
| Total Pages | : 300 |
| Release | : 2018-06-13 |
| Genre | : Business & Economics |
| ISBN | : 3319790757 |
Download International Macroeconomics in the Wake of the Global Financial Crisis Book in PDF, ePub and Kindle
This book collects selected articles addressing several currently debated issues in the field of international macroeconomics. They focus on the role of the central banks in the debate on how to come to terms with the long-term decline in productivity growth, insufficient aggregate demand, high economic uncertainty and growing inequalities following the global financial crisis. Central banks are of considerable importance in this debate since understanding the sluggishness of the recovery process as well as its implications for the natural interest rate are key to assessing output gaps and the monetary policy stance. The authors argue that a more dynamic domestic and external aggregate demand helps to raise the inflation rate, easing the constraint deriving from the zero lower bound and allowing monetary policy to depart from its current ultra-accommodative position. Beyond macroeconomic factors, the book also discusses a supportive financial environment as a precondition for the rebound of global economic activity, stressing that understanding capital flows is a prerequisite for economic-policy decisions.
| Author | : Samet Evci |
| Publisher | : IJOPEC PUBLICATION |
| Total Pages | : 470 |
| Release | : 2020-03-15 |
| Genre | : Business & Economics |
| ISBN | : 1912503921 |
Download Studies at the Crossroads of Management & Economics Book in PDF, ePub and Kindle
Business and economics, which are among the disciplines of social science, examine and discuss many issues affecting human life from various perspectives. In this context, prominent subjects in business and economics are examined by authors with different disciplines and approaches in this book. The book consists of three chapters: economıc theory and polıcy, financial accounting and auditing, strategic management and marketing. The subjects in each chapter are examined in an understandable way in accordance with the business managers, investors and researchers.
| Author | : Mohammed El Hedi Arouri |
| Publisher | : Academic Press |
| Total Pages | : 927 |
| Release | : 2013-12-26 |
| Genre | : Business & Economics |
| ISBN | : 0124115632 |
Download Emerging Markets and the Global Economy Book in PDF, ePub and Kindle
Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models measure them imprecisely. Describing the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics. Foreword by Ali M. Kutan Concentrates on post-crisis roles of emerging markets in the global economy Reports on key theoretical and technical developments in emerging financial markets Forecasts future developments in linkages among developed and emerging economies
