Time Varying World Market Integration PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Time Varying World Market Integration PDF full book. Access full book title Time Varying World Market Integration.
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 64 |
| Release | : 1994 |
| Genre | : Capital assets pricing model |
| ISBN | : |
Download Time-varying World Market Integration Book in PDF, ePub and Kindle
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 | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 49 |
| Release | : 2011 |
| Genre | : |
| ISBN | : |
Download Time-Varying World Market Integration Book in PDF, ePub and Kindle
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 | : Lakshmi S. Narasimhan |
| Publisher | : |
| Total Pages | : 24 |
| Release | : 2005 |
| Genre | : |
| ISBN | : |
Download Time Varying Market Integration as a Regime Switching Process Book in PDF, ePub and Kindle
We attempt to estimate the likelihood of the integration of Indian stocks with the world market using Markov regime switching model. Bekaert and Harvey (1995)'s empirical model has been suitably extended to accommodate GARCH-M effect to estimate the level of integration. Given the small sample size, the maximum likelihood estimates have been estimated using an innovative grid approach. The level of integration clearly varies with the size of the stocks: larger stocks are more integrated than smaller stocks. Time varying integration plots are used to identify the change in the level of integration with important events that took place in Indian/International capital markets.
| Author | : Frank De Jong |
| Publisher | : |
| Total Pages | : 60 |
| Release | : 2001 |
| Genre | : Capital market |
| ISBN | : |
Download Time-varying Market Integration and Expected Returns in Emerging Markets Book in PDF, ePub and Kindle
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 92 |
| Release | : 1995 |
| Genre | : Capital market |
| ISBN | : |
Download Emerging Equity Market Volatility Book in PDF, ePub and Kindle
Returns in emerging capital markets are very different from returns in developed markets. While most previous research has focused on average returns, we analyze the volatility of the returns in emerging equity markets. We characterize the time-series of volatility in emerging markets and explore the distributional foundations of the variance process. Of particular interest is evidence of asymmetries in volatility and the evolution of the variance process after periods of capital market reform. We shed indirect light on the question of capital market integration by exploring the changing influence of world factors on the volatility in emerging markets. Finally, we investigate the cross-section of volatility. We use measures such as asset concentration, market capitalization to GDP, size of the trade sector, cross-sectional volatility of individual securities within each country, turnover, foreign exchange variability and national credit ratings to characterize why volatility is different across emerging markets.
| Author | : Mohamed El Hedi Arouri |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 214 |
| Release | : 2009-12-24 |
| Genre | : Business & Economics |
| ISBN | : 3790823899 |
Download The Dynamics of Emerging Stock Markets Book in PDF, ePub and Kindle
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 | : Chee Wooi Hooy |
| Publisher | : |
| Total Pages | : 132 |
| Release | : 2010 |
| Genre | : International economic integration |
| ISBN | : |
Download Stock Market Integration and the Pricing for Regionalism Book in PDF, ePub and Kindle
| 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
| Author | : Geert Bekaert |
| Publisher | : |
| Total Pages | : 50 |
| Release | : 2003 |
| Genre | : Financial crises |
| ISBN | : |
Download Market Integration and Contagion Book in PDF, ePub and Kindle
Contagion is usually defined as correlation between markets in excess of what would be implied by economic fundamentals; however, there is considerable disagreement regarding the definitions of the fundamentals, how the fundamentals might differ across countries, and the mechanisms that link the fundamentals to asset returns. Our research takes, as a starting point, a two-factor model with time-varying betas that accommodates various degrees of market integration between different markets. We apply this model to stock returns in three different regions: Europe, South-East Asia, and Latin America. In addition to providing new insights on contagion during crisis periods, we document patterns through time in world and regional market integration and measure the proportion of volatility driven by global, regional, and local factors.
| Author | : Nuno Fernandes |
| Publisher | : |
| Total Pages | : 45 |
| Release | : 2003 |
| Genre | : |
| ISBN | : |
Download Market Integration and International Asset Allocation Book in PDF, ePub and Kindle
During the last two decades, liberalization of capital markets caused an increased responsiveness to world factors. Indeed, as argued in this paper, emerging markets are now behaving like certain developed markets asset classes. This study develops a framework for asset classes comparisons in an increasingly integrated world market, focusing on two aspects - diversification benefits and risk profiles. The set of tools used includes the mean-variance analysis, spanning tests, the International CAPM, lower-moment CAPM and a conditional asset pricing model which allows for time-varying risk. The empirical analysis shows that after allowing investment in several developed market asset classes, there are no significant gains from an aggregate investment in emerging market equities. Furthermore, the mean variance spanning test shows that emerging markets as a whole are spanned by developed market indices. These results contrast with previous studies, and can be justified by the increasing integration of emerging markets, broader definition of the benchmark portfolio, and a longer (and more realistic) time frame. Also, this study provides one important investment implication. It advises against indexing strategies in emerging markets.
