Essays On The Financial Market Efficiency Of Emerging Markets
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Essays On The Financial Market Efficiency Of Emerging Markets
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Author : Chiwon Yom
language : en
Publisher:
Release Date : 2001
Essays On The Financial Market Efficiency Of Emerging Markets written by Chiwon Yom and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with Developing countries categories.
Essays On International Market Efficiency And Manipulation
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Author : Feng Zhan
language : en
Publisher:
Release Date : 2014
Essays On International Market Efficiency And Manipulation written by Feng Zhan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Essays On Cross List Price Disparity And Market Efficiency In Emerging Market
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Author : Han Yan
language : en
Publisher:
Release Date : 2015
Essays On Cross List Price Disparity And Market Efficiency In Emerging Market written by Han Yan and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015 with China categories.
This dissertation includes two essays on emerging market. The first paper takes Chinese firms cross-listed in China mainland and Hong Kong as A-share and H-share between 1999 and 2013 as sample to look at the price disparity change and determination. This paper firstly finds that relative supply of stocks can explain up to 53% of the price disparity between A-share and H-share. The large supply of stocks in China mainland market can lead to narrow price disparity (low A-H price premium), and this factor can absorb the effects from other factors in previous literature, such as liquidity, speculation and political risks. This paper further tests several natural experiments of related policy changes that took place in China mainland in the sample period, namely IPO halts and stock reform, and confirms that real or expected stock supply change can significantly affect A-H price disparity. The second paper uses the intraday data based efficiency measures such as Hasbrouck Price Error (1993), and CRS (2005) related measures to investigate the Chinese stock markets between 1999 and 2013, to examine price efficiency in China. The first finding is that it takes between 70 minutes and 200 minutes for Chinese listed stocks converge to price efficiency, and Hasbrouck Price Error measure (1993) shows that around 40% price change is not accounted to random walk, which indicates about 4 times poorer efficiency than that in US. There is not significant improvement in market efficiency during the sample period. This paper finds out that the firms with low state-owned share percentage and low concentrated shares have better price efficiency, which indicates low information asymmetry from firm share structure helps improve stock price efficiency. This paper further tests several related institutional changes, and finds that share ownership reform and allowance of margin trading make price efficiency better while opening market to foreign investors by QFII policy does not. The findings in both papers in this dissertation offer important implications on asset pricing, corporate governance and policy making in emerging markets, especially those not fully open to worldwide and with high information asymmetry.
The Existence Of Efficient Market Hypothesis Emh In The International Financial Markets
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Author : Caroline Mutuku
language : en
Publisher: GRIN Verlag
Release Date : 2018-05-09
The Existence Of Efficient Market Hypothesis Emh In The International Financial Markets written by Caroline Mutuku and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-09 with Business & Economics categories.
Seminar paper from the year 2018 in the subject Economics - Finance, grade: 1, , language: English, abstract: The Efficient Market Hypothesis (EMH) theory commonly referred to as the Random Walk Theory is one of the most debated topics in finance studies over the years because of the growing concerns that investors can trade on the available information so as to make abnormal profits in the market. EMH states that the price of a security (current stock prices) in the market reflects all the available information on its fundamental value at all times, hence investors cannot make any abnormal profits above the market prices using this information. EMH explains why changes in security prices occur and how those changes happen, hence very crucial to investors as they make their investment decisions in the security market. Many investors both domestic and global invest on securities that are undervalued as they expect their value to increase in the future. Other investors including investment managers also stress that they are able to choose those securities that can outperform the market prices with the core objective of gaining more profits. EMH argues that none of these assumptions is effective because the advantage gained is less than the transaction costs incurred such as research costs on the information hence not in a position to outperform the market price of these securities
Theory And Reality In Financial Economics
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Author : George M. Frankfurter
language : en
Publisher: World Scientific
Release Date : 2007
Theory And Reality In Financial Economics written by George M. Frankfurter and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Business & Economics categories.
A collection of essays dealing with financial markets' imperfections, and the inability of neoclassical economics to deal with such imperfections. This book argues that financial economics, as based on the tenets of neoclassical economics, cannot answer or solve the real-life problems that people face.
Essays On Finance And Emerging Markets
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Author : Francesca Fornasari
language : en
Publisher:
Release Date : 1998
Essays On Finance And Emerging Markets written by Francesca Fornasari and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Banks and banking categories.
In the wake of the financial crises that have swept the globe in the past four years, the aim of the current paper is to use past experiences from several emerging markets in order to draw policy conclusions that might help policy makers tackle the challenging problems with which they are currently faced. The analysis is approached from three different perspectives: the first from the overall market; the second, from the point of view of the over-indebted borrowers; and the third from the angle of the lender. Several important policy implications can be drawn from the above analysis. First, there is evidence that the lack of efficiency of markets is due partly to the presence of restrictions on capital movements and partly to the presence of & ldquo;noise traders & rdquo;. Second, given the evidence on the effects of the debt flow and the debt stock effect, it is crucial for debt relief programs to recognize when a country is not solvent and write off the portion of the outstanding loans that is unlikely to be repaid. Finally, a larger effort needs to be placed by emerging market commercial banks in developing cheap and efficient instruments to assess borrowers' ability to service debts.
Three Essays On Financial Markets
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Author : Cagdas Tahaoglu
language : en
Publisher:
Release Date : 2021
Three Essays On Financial Markets written by Cagdas Tahaoglu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with categories.
This dissertation consists of three essays that address recent topics in financial markets that concern for scholars, policymakers, and investors. The first essay examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996 -July 2013. Improved risk adjusted returns are obtained from a diversified portfolio consisting of a mix of developed and emerging countries. Additionally, we find that diversification benefits are not significant for most of the small-cap foreign assets when an investor already holds position in corresponding countries large-cap assets. Diversification benefits based on the governance effectiveness of a country's companies are not ubiquitous. We find that economically significant improvements in risk-return performance can be attained by adding large caps of developed countries with high and low overall Governance Metrics International (GMI) ratings and large and small caps of emerging countries with low overall GMI ratings to the investment universe containing the assets of common law developed countries. However, diversification benefits are economically significant only for large and small caps of low GMI emerging countries when short selling is not allowed. The second essay looks at the market impact of recent regulatory changes in Canada that provide for trading halts on individual stocks that experience large upside or downside movements. The focus is on all stocks traded on the Toronto Stock Exchange since the inception of the single stock circuit breaker rule (SSCB) in February 2012, to replace the short-sale uptick rule. The results support pricing efficiency: material information that caused the circuit breaker is incorporated in stock prices on the day of the halt (neither overreaction nor underreaction), with no decline in market liquidity. Using trade-by-trade data constructed on 5-minute trading intervals, we refine the daily results, and show that shocks in realized volatility are focused in the ten-minute trading interval surrounding the halts. While circuit breakers provide a limited "safety net" for investors when their stocks are subject to severe volatility, they do not provide for a quick turnaround for stocks experiencing severe price decline events. The last essay re-examines the historical vs implied volatility spread anomaly, reported by Goyal and Saretto (2009) using a second-order stochastic dominance (SSD) criterion. The approach incorporates transaction frictions, and is robust to model specification problems, return distributions, as well as preferences. It is found that option trading frictions such as cash collateral requirements and option trading costs significantly reduce but do not eliminate returns to a long-short straddle trading strategy pre-2006 period. However, the anomaly disappears after 2006, consistent with market efficiency. The SSD test results confirm the findings.
Measuring The Degree Of Financial Market Efficiency
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Author : Cornelis A. Los
language : en
Publisher:
Release Date : 2008
Measuring The Degree Of Financial Market Efficiency written by Cornelis A. Los and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with categories.
This essay discusses first two competing hypotheses of market efficiency: the classical Efficient Market Hypothesis (EMH) of Samuelson and Fama, and the Fractal Market Hypothesis (FMH) of Mandelbrot and Peters and their weaknesses. The EMH depends on the empirically uncorroborated i.i.d. (= independence amp; stationarity) assumption of market innovations. The time - invariant FMH risk depends on the lengths of time horizons, as measured by the Hurst exponent. By way of empirical examples in the cash, bond and options an futures markets, it is demonstrated that scientifically a much broader concept of financial market risk is needed. This new risk concept should allow for the measurement of the degree of market efficiency, which is time and horizon dependent. The proposed definition of financial market risk is a time - frequency distribution function P, where the shape of the function is determined not only by the second-order moments sigma(omega), differentiated by the investment asset return categorizations omega, but also of the length investment horizons, or maturities of the investment securities tau, and of the time period t. In other words, the new concept of financial risk P(omega,tau,t) should be able to account for both LT and ST nonlinear time dependence and for strict non-stationarity to be empirically compatible and thus scientifically acceptable. Such a time - frequency distribution P(omega,tau,t) can be measured and identified by modern forms of time - frequency signal processing analysis, like windowed Fourier and wavelet multiresolution analysis.
Three Essays On Emerging Capital Markets
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Author : Qi Li
language : en
Publisher:
Release Date : 2004
Three Essays On Emerging Capital Markets written by Qi Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Capital market categories.
Development And Financial Reform In Emerging Economies
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Author : Kobil Ruziev
language : en
Publisher: Routledge
Release Date : 2020-09-30
Development And Financial Reform In Emerging Economies written by Kobil Ruziev and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-09-30 with Developing countries categories.
Modern development strategy relies heavily on uncompromising orthodox economic theory and a dogmatic faith in market efficiency. In contrast, the essays in this volume aim to emphasize the importance of historic experiences to evolve a more realistic and dynamic view of how such development could be formalized.