A Measure Of Stock Market Integration For Developed And Emerging Markets
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A Measure Of Stock Market Integration For Developed And Emerging Markets
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Author : Robert A. Korajczyk
language : en
Publisher: World Bank Publications
Release Date : 1995
A Measure Of Stock Market Integration For Developed And Emerging Markets written by Robert A. Korajczyk and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with Aktiemarkeder categories.
A Measure Of Stock Market Integration For Developed And Emerging Markets
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Author : A. Robert Korajczyk
language : en
Publisher:
Release Date : 1999
A Measure Of Stock Market Integration For Developed And Emerging Markets written by A. Robert Korajczyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
June 1995 Along several dimensions, a measure of the financial integration of equity markets yields results consistent with prior assumptions about the relationship between effective integration, explicit capital controls, capital market development, and economic growth. If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated--possibly because of barriers to capital flows across markets--the price of risk may differ across markets. Korajczyk investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the law of one price. He applies the integration measure to equities traded in 24 countries (four developed, and 20 emerging). The measure of market segmentation tends to be much larger for emerging markets than for developed markets, which is consistent with larger barriers to capital flows into or out of the emerging markets. The measure tends to decrease over time, which is consistent with growing levels of integration. Large values of adjusted mispricing occur around periods of economic turbulence and periods in which capital controls change significantly. So, the adjusted mispricing estimates measure not only the level of deviation from the law of one price, but also the revaluations inherent in moving from one regime to another. This paper--a product of the Finance and Private Sector Development Division, Policy Research Department--is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
A Measure Of Stock Market Integration For Developed And Emerging Markets
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Author : Robert A. Korajczyk
language : en
Publisher:
Release Date : 2016
A Measure Of Stock Market Integration For Developed And Emerging Markets written by Robert A. Korajczyk and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016 with categories.
Along several dimensions, a measure of the financial integration of equity markets yields results consistent with prior assumptions about the relationship between effective integration, explicit capital controls, capital market development, and economic growth.If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated - possibly because of barriers to capital flows across markets - the price of risk may differ across markets.Korajczyk investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the law of one price. He applies the integration measure to equities traded in 24 countries (four developed, and 20 emerging).The measure of market segmentation tends to be much larger for emerging markets than for developed markets, which is consistent with larger barriers to capital flows into or out of the emerging markets. The measure tends to decrease over time, which is consistent with growing levels of integration.Large values of adjusted mispricing occur around periods of economic turbulence and periods in which capital controls change significantly. So, the adjusted mispricing estimates measure not only the level of deviation from the law of one price, but also the revaluations inherent in moving from one regime to another.This paper - a product of the Finance and Private Sector Development Division, Policy Research Department - is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
Global Stock Market Integration
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Author : Sabur Mollah
language : en
Publisher: Springer
Release Date : 2016-02-10
Global Stock Market Integration written by Sabur Mollah and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-02-10 with Business & Economics categories.
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
The Dynamics Of Emerging Stock Markets
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Author : Mohamed El Hedi Arouri
language : en
Publisher: Springer Science & Business Media
Release Date : 2009-12-24
The Dynamics Of Emerging Stock Markets written by Mohamed El Hedi Arouri and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-24 with Business & Economics categories.
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.
Emerging Markets And The Global Economy
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Author : Mohammed El Hedi Arouri
language : en
Publisher: Academic Press
Release Date : 2013-12-26
Emerging Markets And The Global Economy written by Mohammed El Hedi Arouri and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-12-26 with Business & Economics categories.
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
Stock Market Development And Financial Intermediaries Stylized Facts
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Author : Ross Levine
language : en
Publisher:
Release Date : 1999
Stock Market Development And Financial Intermediaries Stylized Facts written by Ross Levine and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
May 1995 The three most developed stock markets are in Japan, the United Kingdom, and the United States, and the most underdeveloped markets are in Colombia, Nigeria, Venezuela, and Zimbabwe. Markets tend to be more developed in richer countries, but some markets commonly labeled emerging (for example, in Malaysia, the Republic of Korea, and Thailand) are systematically more developed than some markets commonly labeled developed (for example, in Australia, Canada, and many European countries). World stock markets are booming. Between 1982 and 1993, stock market capitalization grew from $2 trillion to $10 trillion, an average 15 percent a year. A disproportionate amount of this growth was in emerging stock markets, which rose from 3 percent of world stock market capitalization to 14 percent in the same period. Yet there is little empirical evidence about how important stock markets are to long-term economic development. Economists have neither a common concept nor a common measure of stock market development, so we know little about how stock market development affects the rest of the financial system or how corporations finance themselves. Demirgüç-Kunt and Levine collected and compared many different indicators of stock market development using data on 41 countries from 1986 to 1993. Each indicator has statistical and conceptual shortcomings, so they used different measures of stock market size, liquidity, concentration, and volatility, of institutional development, and of international integration. Their goal: to summarize information about a variety of indicators for stock market development, in order to facilitate research into the links between stock markets, economic development, and corporate financing decisions. They highlight certain important correlations: * In the 41 countries they studied, there are enormous cross-country differences in the level of stock market development for each indicator. The ratio of market capitalization to GDP, for example, is greater than 1 in five countries and less than 0.10 in five others. * There are intuitively appealing correlations among indicators. For example, big markets tend to be less volatile, more liquid, and less concentrated in a few stocks. Internationally integrated markets tend to be less volatile. And institutionally developed markets tend to be large and liquid. * The three most developed markets are in Japan, the United Kingdom, and the United States. The most underdeveloped markets are in Colombia, Nigeria, Venezuela, and Zimbabwe. Malaysia, the Republic of Korea, and Switzerland seem to have highly developed stock markets, whereas Argentina, Greece, Pakistan, and Turkey have underdeveloped markets. Markets tend to be more developed in richer countries, but many markets commonly labeled emerging (for example, in Korea, Malaysia, and Thailand) are systematically more developed than markets commonly labeled developed (for example, in Australia, Canada, and many European countries). * Between 1986 and 1993, some markets developed rapidly in size, liquidity, and international integration. Indonesia, Portugal, Turkey, and Venezuela experienced explosive development, for example. Case studies on the reasons for (and economic consequences of) this rapid development could yield valuable insights. * The level of stock market development is highly correlated with the development of banks, nonbank financial institutions (finance companies, mutual funds, brokerage houses), insurance companies, and private pension funds. This paper -- a product of the Finance and Private Sector Development Division, Policy Research Department -- is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
Stock Markets In Developing Countries
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Author : Mansoor Dailami
language : en
Publisher: World Bank Publications
Release Date : 1990
Stock Markets In Developing Countries written by Mansoor Dailami and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1990 with Capital market categories.
With foreign capital funds dwindling, governments in many developing countries-- with increased Bank support-- are looking to develop capital markets to provide risk capital for the corporate sector. But first, some basic issues must be empirically explored.
Stock Market Development And Financial Intermediary Growth
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Author : Aslı Demirgüç-Kunt
language : en
Publisher: World Bank Publications
Release Date : 1993
Stock Market Development And Financial Intermediary Growth written by Aslı Demirgüç-Kunt and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993 with Capital market categories.
The relationship between the development of stock markets and the functioning of financial intermediaries may be complementary.
Stock Markets Banks And Economic Growth
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Author : Hafiz A. Akhand
language : en
Publisher: World Bank Publications
Release Date : 1999
Stock Markets Banks And Economic Growth written by Hafiz A. Akhand and has been published by World Bank Publications this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Banks and banking categories.
Stock markets, banks and economic growth: a reasonable extreme bounds analysis (Discussion paper, 99/4)