Essays In Emerging Market Finance And Integration
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Essays In Emerging Market Finance And Integration
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Author : Andrea Kiguel
language : en
Publisher:
Release Date : 2019
Essays In Emerging Market Finance And Integration written by Andrea Kiguel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019 with categories.
By assuming that investors perceive the shock as permanent and thus price lower mean integration following the segmentation shock, I am able to model the full extent of the change in dividends. The three chapters show that, while integration has broadly increased over time, different asset classes have different responses to globalization. I find that integration is time-varying and that markets can become more segmented; that is, integration is not a one-way street, as many models have assumed in the past. Finally, I show that global factors matter in emerging markets in all asset classes, and identify variance risk as a new risk factor which helps explain why global capital asset pricing models tend to yield low discount rates in these economies. Therefore, researchers and practitioners should take into account the importance of both local and global factors when valuing emerging market assets and take into account that the relative importance of each factor varies over time.
Essays On International Financial Integration Of Emerging Market Economies
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Author : Patrizia Baudino
language : en
Publisher:
Release Date : 2005
Essays On International Financial Integration Of Emerging Market Economies written by Patrizia Baudino and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Essays On Financial Integration Financial Development And Economic Growth
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Author : Xiu Yang
language : en
Publisher:
Release Date : 2012
Essays On Financial Integration Financial Development And Economic Growth written by Xiu Yang and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Capital market categories.
Essays In Empirical Finance
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Author : Anders C. Johansson
language : en
Publisher: Goteborg University
Release Date : 2007
Essays In Empirical Finance written by Anders C. Johansson and has been published by Goteborg University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Capital market categories.
International Financial Integration In Developing Countries
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Author : Gero Jung
language : en
Publisher:
Release Date : 2004
International Financial Integration In Developing Countries written by Gero Jung and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with categories.
The main focus of this thesis is on developing countries and their integration into international capital markets. The first chapter, after reviewing the literature of financial integration, looks at the effect of accessing international bond markets on fiscal behavior. It aims to shed light on fiscal authorities' reaction to financial opening, and looks at some institutional features of this financial globalization. The second chapter looks as well at financial globalization, but from a different perspective. Its focus is more concerned with investor behavior and how those investors channel flows to emerging markets. One main finding of the empirical investigation is the inter-dependence of those financial flows at a more global level. The third chapter looks at a relatively new financial instrument that is increasingly used in international markets to measure sovereign risk: credit default swaps. It sheds some first insights into what is a relatively new, but fast-growing market.
Essays On Predictability Of Emerging Markets Growth And Financial Performance
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Author : Maria Ayelen Banegas
language : en
Publisher:
Release Date : 2011
Essays On Predictability Of Emerging Markets Growth And Financial Performance written by Maria Ayelen Banegas and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with Economic forecasting categories.
This dissertation seeks to better understand the underlying factors driving financial performance and economic activity in international markets. The first chapter "Predictability of Growth in Emerging Markets: Information in Financial Aggregates" tests for predictability of output growth in a panel of twenty-two emerging market economies. I use pooled panel data methods that control for endogeneity and persistence in the predictor variables to test the predictive power of a large set of financial aggregates including valuation measures, interest rates, and capital flows. I find empirical evidence that stock returns, portfolio investment flows, the term spread and default spreads help predict output growth in emerging markets. In particular, large capital inflows predict subsequent high GDP growth as do high term spreads. Conversely, higher default spreads on emerging market government debt signals lower future GDP growth. Results also suggest that the performance of global aggregates such as commodity markets, a cross-sectional firm size factor, and returns on the market portfolio contain information about the future state of the economy. I benchmark my results against the US and find that there are differences in information flows and the role of capital markets in predicting economic growth. My analysis extends previous findings in the macro-finance literature on the links between the real economy and financial market performance. Within emerging markets, a largely unexplored area of research is related to the study of mutual funds performance. In my second chapter, "Emerging Market Mutual Fund Performance and the State of the Economy" I propose a set of asset class specific predictive variables and exploit them in order to identify those funds that outperform the market in different phases of the economic cycle. I employ a comprehensive survivorship-bias free universe of global and regional emerging market funds and use a Bayesian framework that incorporates predictability in manager skills (stock selection and benchmark timing skills), fund risk loadings and benchmark returns by exploiting ex-ante business cycle related state variables. Results provide empirical evidence of return predictability and the economic value of active management in emerging markets. My final dissertation chapter studies market integration and segmentation and their effects on return predictability. In "Mutual Fund Return Predictability in Partially Segmented Markets" (co-authored with B. Gillen, A. Timmermann and R. Wermers) we generalize existing models for Bayesian asset selection by considering both integrated and partially segmented market models. We find that regional state variables can be used to identify a significant time-varying alpha component among a large sample of funds with a pan- European, European country, or European sector focus. Specifically, the default yield spread, term spread, dividend yield, short interest rate and market volatility, as well as macroeconomic variables tracking consumer price inflation and growth in industrial production prove valuable in identifying, ex-ante, funds with superior performance. Our analysis also suggests that allowing for segmentation in market risk factors enhances risk-adjusted performance.
Essays On Consumption Risk Sharing In Emerging Economies
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Author : Samreen Malik
language : en
Publisher:
Release Date : 2012
Essays On Consumption Risk Sharing In Emerging Economies written by Samreen Malik and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
This dissertation contributes to the growing literature of international finance on capital market integration and consumption risk sharing in emerging economies. I identify threshold effects in terms of financial market integration to demarcate regimes with varying extent of international risk sharing in emerging economies. In Chapter 2, I study a model of a small open economy to see how default decisions affect incentives for international consumption risk-sharing based on varying levels of debt to capital ratio in emerging economies while in Chapter 3, I employ a novel endogenous threshold identification method developed by Hansen (1999) for balanced panels, to empirically identify threshold effects of capital market integration on consumption risk-sharing in emerging economies. Finally in Chapter 4, I study the determinants of the capital market integration via level and composition of foreign assets held by emerging economies, exploiting temporal and cross-sectional variation in a panel data set of 37 emerging economies from 1970 - 2007.
Essays On Emerging Markets Finance
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Author : Burcu Hacibedel
language : en
Publisher:
Release Date : 2007
Essays On Emerging Markets Finance written by Burcu Hacibedel and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Finance categories.
Risks And Resilience Of Emerging Economies
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Author : Tanmoyee Banerjee Chatterjee
language : en
Publisher: Springer Nature
Release Date : 2023-08-10
Risks And Resilience Of Emerging Economies written by Tanmoyee Banerjee Chatterjee and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-08-10 with Business & Economics categories.
This book is an innovative exercise to unravel recent advances in development fundamentals in emerging economies through Indian lens that include various aspects of macroeconomics, international trade, finance, and issues connected to social sector that have become more important in post-pandemic world. The book throws light on efficacy of existing policies and need of reform in policy framework to enhance growth and development and reduce gender disparities in the context of India and other emerging economies. The papers included in different chapters use frontline techniques to discuss various issues that in turn will be of great help for graduate and postgraduate teaching as well as for research. The book substantially contributes to the growing literature on issues relating trade, development, finance, and social sector in light of threat posed by COVID-19 pandemic in emerging market economies and extends the frontiers of knowledge.
Essays On Financial Integration Financial Market Dependence And Monetary Policy Transmission
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Author : Jongrim Ha
language : en
Publisher:
Release Date : 2016
Essays On Financial Integration Financial Market Dependence And Monetary Policy Transmission written by Jongrim Ha 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.
This dissertation offers three essays addressing critical topics in financial market dependence and monetary policy transmission in an era of financial integration: 1) the domestic effects of monetary policy (MP) shocks on market interest rates in small open economies, 2) international transmission of U.S. MP shocks to other open financial markets, and 3) volatility spillovers among financial markets in emerging market (EM) economies. The first chapter investigates the nature of monetary policy transmission in selected small open economies and the U.S. by estimating structural vector autoregressive (SVAR) models using the external instrument identification method. Differing from related studies on U.S. monetary policy, which mostly employ high-frequency futures rates to identify monetary policy shocks, the study proposes and tests alternative sets of external instruments for the focal open economies that do not yet have well-established futures markets in MP instruments. The second chapter focuses on the international transmission of U.S. monetary shocks into a variety of financial markets in open economies. I again exploit the external instrument approach to identify the impact of U.S. and domestic MP shocks in a SVAR system. Utilizing the identified shocks for the event study analysis and the local projection estimation, I further test non-linear features of such transmission. Empirical results from the first and second chapters provide a variety of meaningful insights. The results show that foreign exchange rates respond to monetary shocks flexibly, i.e., without generating puzzles raised by earlier studies and that the shocks strongly propagate into other types of open financial markets as well. The studies also confirm the significant transmission of domestic monetary shocks in open economies, but U.S. shocks appear to exhibit greater and more persistent influences over domestic asset prices than domestic shocks. Besides, the international propagation of U.S. shocks also demonstrate non-linear features. The third chapter investigates the occurrence of dependency between foreign exchange markets and stock markets in EM countries by testing volatility spillovers of asset returns. I modify the classical BEKK GARCH (1,1) model to study the dynamics and origins of volatility spillovers. The empirical results are threefold. First, volatility spillovers between financial markets are significant in most EM countries. Second, such spillovers are found to be contingent on the sample period and market conditions, a result that is generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. Finally, the results suggest that, under normal conditions, the relevant spillovers are explained mostly by comovement from common information about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an important source of spillovers.