Volatility and Causality in Asia Pacific Financial Markets
Author | : Enzo Weber |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : |
ISBN | : |
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Author | : Enzo Weber |
Publisher | : |
Total Pages | : 30 |
Release | : 2006 |
Genre | : |
ISBN | : |
Author | : Eduardo Roca |
Publisher | : Routledge |
Total Pages | : 115 |
Release | : 2020-11-26 |
Genre | : Social Science |
ISBN | : 1000160378 |
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 | : Gordon De Brouwer |
Publisher | : Routledge |
Total Pages | : 348 |
Release | : 2002-03-11 |
Genre | : Social Science |
ISBN | : 1134619324 |
Recent events in East Asia have highlighted the risks of volatility and contagion in a financially integrated world. Countries in the region had been at the forefront of the movement towards increased integration but the crisis that struck Thailand in July 1997, and the rapidity with which it spread to other East Asian nations, suggested that all was not well. Weaknesses in domestic financial intermediation, poor corporate governance and deficient government responses to large capital inflows all played a role in the build-up of vulnerability. Asia-Pacific Financial Deregulation provides an insight into financial liberalisation and structural reform in the region generally and as illustrated by a number of countries.
Author | : Evan Lau |
Publisher | : Springer Nature |
Total Pages | : 131 |
Release | : 2020-05-08 |
Genre | : Business & Economics |
ISBN | : 981152906X |
This book is a compilation of the best papers presented at the APEF 2019 conference which was held on 25th and 26th July 2019 at the Grand Copthorne Waterfront in Singapore. With a great number of submissions, it presents the latest research findings in economics and finance and discusses relevant issues in today's world. The book is a useful resource for readers who want access to economics, finance and business research focusing on the Asia-Pacific region.
Author | : Young Joon Park |
Publisher | : |
Total Pages | : 53 |
Release | : 2019-11 |
Genre | : |
ISBN | : 9788932201276 |
Author | : Chiaku Nwamu Chukwuogor |
Publisher | : |
Total Pages | : 0 |
Release | : 2008 |
Genre | : |
ISBN | : |
Even though the presence of the-day-of-the-week effect has been documented in finance literature, its presence in the aftermath of a financial crisis has not been explored. This paper investigates the presence of day-of-the-week effect and returns volatility in fifteen Asia Pacific Financial Markets in the post Asian financial crisis period. A set of parametric and non-parametric tests is used to test equality of mean returns and standard deviations of the returns across the-days-of-the-week. The results validate the presence of the-day-of-the- week and but indicate insignificant daily returns volatility in most of Asia Pacific Financial Markets. The results of the Levene's test show that in none of the fifteen Asian Pacific countries can the homoskedasticity hypothesis be rejected. Some of these findings differ from previously documented evidence on the APFM.
Author | : |
Publisher | : |
Total Pages | : 254 |
Release | : 2000 |
Genre | : Asia |
ISBN | : |
Author | : Su-Chin Yang |
Publisher | : |
Total Pages | : |
Release | : 1999 |
Genre | : Investments |
ISBN | : |
Author | : Amarnath Mitra |
Publisher | : |
Total Pages | : 20 |
Release | : 2015 |
Genre | : |
ISBN | : |
In finance literature, volatility is synonymous with the measure of risk. Spillover of volatility refers to the transmission of disturbances or shock from one market to another and has direct consequence on resource allocation, risk hedging, and even, monetary policies. Spillover between stock markets has been the subject of study since 1990s where researchers have studied the nature of time-varying correlations between international stock markets. Extant literature substantiates the fact that volatility spillover between international stock markets happens at all times and that developed nations, particularly the US, is the major source of spillover. However, studies involving emerging markets, specifically in the Asia-Pacific region is scarce. Moreover, a clear understanding regarding the pattern of volatility transmission across international stock markets is lacking. The present study attempts to track the transmission of volatility across 11 international stock markets in the Asia-Pacific region over a span of 20 years, which include both crises (i.e. contagion form) and non-crisis periods. It also investigates whether global transmission of volatility follow a pattern. Our study contributes to the literature in two ways: (1) It provides a historical map of volatility transmission in the Asia-Pacific region; and (2) this study identifies the path and pattern of volatility spillover across Asia-Pacific stock markets.
Author | : Greg N. Gregoriou |
Publisher | : CRC Press |
Total Pages | : 654 |
Release | : 2009-04-08 |
Genre | : Business & Economics |
ISBN | : 1420099558 |
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel