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| Author | : Frank De Jong |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2001 |
| Genre | : Capital market |
| ISBN | : |
| Author | : Franciscus Cornelis Johannes Maria Jong |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2001 |
| Genre | : |
| ISBN | : |
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 64 |
| Release | : 1994 |
| Genre | : Capital assets pricing model |
| ISBN | : |
We propose a conditional measure of capital market integration that allows us to characterize both the cross-section and time-series of expected returns in developed and emerging markets. Our measure, which arises from a conditional regime-switching model, allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. Our results suggest that a number of emerging markets exhibit time-varying integration. Interestingly, some markets appear to be more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets.
| Author | : Mohamed El Hedi Arouri |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 214 |
| Release | : 2009-12-24 |
| Genre | : Business & Economics |
| ISBN | : 3790823899 |
Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 49 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
We propose a measure of capital market integration arising from a conditional regime-switching model. Our measure allows us to describe expected returns in countries that are segmented from world capital markets in one part of the sample and become integrated later in the sample. We find that a number of emerging markets exhibit time-varying integration. Some markets appear more integrated than one might expect based on prior knowledge of investment restrictions. Other markets appear segmented even though foreigners have relatively free access to their capital markets. While there is a perception that world capital markets have become more integrated, our country-specific investigation suggests that this is not always the case.
| Author | : Robert A. Korajczyk |
| Publisher | : World Bank Publications |
| Total Pages | : 48 |
| Release | : 1995 |
| Genre | : Aktiemarkeder |
| ISBN | : |
| Author | : Valentyn Panchenko |
| Publisher | : |
| Total Pages | : |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
We investigate the extent to which emerging stock market integration affects the joint behavior of stock and bond returns using a two-stage semi-parametric approach. Using a sample of 18 emerging markets, we find an unambiguous and robust link between emerging stock market integration and stock-bond return decoupling. We explain this with a decline in the segmentation risk premia in equities modeled by De Jong and De Roon [J. Fin. Econ. 78 (2005) 583] that leads to increased demand for stocks and reduced or unchanged demand for bonds. Our findings deliver new insights into the financial liberalization and stock-bond comovement literatures.
| Author | : Campbell R. Harvey |
| Publisher | : |
| Total Pages | : 66 |
| Release | : 1994 |
| Genre | : Capital assets pricing model |
| ISBN | : |
The emergence of new equity markets in Europe, Latin America, Asia, the Mideast and Africa provides a new menu of opportunities for investors. These markets exhibit high expected returns as well as high volatility. Importantly, the low correlations with developed countries' equity markets significantly reduces the unconditional portfolio risk of a world investor. However, standard global asset pricing models, which assume complete integration of capital markets, fail to explain the cross-section of average returns in emerging countries. An analysis of the predictability of the returns reveals that emerging market returns are more likely than developed countries to be influenced by local information.
| Author | : Wolfgang Drobetz |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 346 |
| Release | : 2013-06-29 |
| Genre | : Business & Economics |
| ISBN | : 3663085295 |
Wolfgang Drobetz provides empirical evidence on the time variation of expected stock returns over the stages of the business cycle.
| Author | : Michael Rockinger |
| Publisher | : |
| Total Pages | : 48 |
| Release | : 2000 |
| Genre | : Stock exchanges |
| ISBN | : |
