Mean And Volatility Spillover Effects In The U S And Pacific Basin Stock Markets
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Mean And Volatility Spillover Effects In The U S And Pacific Basin Stock Markets
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Author : Y. Angela Liu
language : en
Publisher:
Release Date : 2016
Mean And Volatility Spillover Effects In The U S And Pacific Basin Stock Markets written by Y. Angela Liu 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 paper investigates the mean return and volatility spillover effects from the U.S. and Japan to four Asian stock markets, including Hong Kong, Singapore, Taiwan, and Thailand. The empirical results from examining the data for the period of 1984 to 1991 suggest that the U.S. market is more influential than the Japanese market in transmitting returns and volatilities to the four Asian markets. In addition, the observed spillover effects are unstable over time in the sense that the spillovers increase substantially after the October 1987 stock market crash. Furthermore, the evidence indicates that while the cross-country stock investing hypothesis cannot by itself explain the international transmissions of return and volatility, the market contagion also plays an important role in the transmission mechanism.
The Impact Of The Global Financial Crisis On Emerging Financial Markets
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Author : Jonathan Batten
language : en
Publisher: Emerald Group Publishing
Release Date : 2011-03-02
The Impact Of The Global Financial Crisis On Emerging Financial Markets written by Jonathan Batten and has been published by Emerald Group Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-03-02 with Business & Economics categories.
The Global Financial Crisis of 2007-2009 has highlighted the resilience of the financial markets and economies from the developing world. This title investigates and assesses the impact and response to the crisis from an emerging markets perspective including asset pricing, contagion, financial intermediation, market structure and regulation.
Global Linkages And Economic Rebalancing In East Asia
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Author : Shigeyuki Hamori
language : en
Publisher: World Scientific
Release Date : 2013
Global Linkages And Economic Rebalancing In East Asia written by Shigeyuki Hamori and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
In the wake of the global financial crisis, leading industrialized countries have managed to show only a gradual recovery, while East Asian economies have surged ahead. In particular, China achieved growth in excess of 10% in 2010 and is expected to continue growing at a rapid pace. It appears that in the coming years, East Asia will play an even greater role as a growth center leading global economic expansion. Following the Asian currency crisis of 1997OCo98, consumption and investment in the region decreased considerably, and East Asian economies recovered on the strength of exports. Presently, however, amid a less-than-robust recovery in the US and Europe, the sustainability of East Asia''s reliance on export-led growth has been called into question. The region''s transition to growth based on a balance of foreign and domestic demand is important for both building a stronger foundation for sustainable growth and buttressing global economic expansion. Moreover, the rebalancing of demand in East Asia holds the key to rectifying global current account imbalances OCo the disadvantage of uneven international capital flows. This unique volume illuminates policy issues involved in the efforts to promote the rebalancing of demand in East Asia.
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics
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Author : Seungho Jung
language : en
Publisher: International Monetary Fund
Release Date : 2021-10-22
Geopolitical Risk On Stock Returns Evidence From Inter Korea Geopolitics written by Seungho Jung and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-22 with Business & Economics categories.
We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Governance And Risk In Emerging And Global Markets
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Author : S. Motamen-Samadian
language : en
Publisher: Springer
Release Date : 2005-10-19
Governance And Risk In Emerging And Global Markets written by S. Motamen-Samadian and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-10-19 with Political Science categories.
The book features eight studies related to governance and risk. It provides a critical evaluation of Basel II, and questions the significance of corruption in country risk analysis and investors' decision making. It offers a reliable model of early warning credit signals that helps managers to detect default risks, and provides a risk-based analysis of alternative production systems in Pakistan. It analyzes the effects of market liberalization on volatility spill-over across the globe, and examines past and future prospects for the Iraqi stock exchange. Finally, it proposes securitization as a means to finance costs of reconstruction in Iraq.
Mathematical Finance With Applications
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Author : Wing-Keung Wong
language : en
Publisher: MDPI
Release Date : 2020-12-07
Mathematical Finance With Applications written by Wing-Keung Wong and has been published by MDPI this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-12-07 with Business & Economics categories.
Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.
Pacific Basin Finance Journal
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Author :
language : en
Publisher:
Release Date : 2003
Pacific Basin Finance Journal written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.
Stock Market Volatility
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Author : Greg N. Gregoriou
language : en
Publisher: CRC Press
Release Date : 2009-04-08
Stock Market Volatility written by Greg N. Gregoriou and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-04-08 with Business & Economics categories.
Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel
Handbook Of Empirical Research On Islam And Economic Life
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Author : M. Kabir Hassan
language : en
Publisher: Edward Elgar Publishing
Release Date : 2016-12-30
Handbook Of Empirical Research On Islam And Economic Life written by M. Kabir Hassan and has been published by Edward Elgar Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-12-30 with Business & Economics categories.
In Islamic jurisprudence, a comprehensive ethic has been formulated governing how business and commerce should be run, how accountability to God and the community is to be achieved, and how banking and finance is to be arranged. This Handbook examines how well these values are translated into actual performance. It explores whether those holding true to the system are hindered and put at a disadvantage or whether the Islamic institutions have been able to demonstrate that faith-based activities can be rewarding, both economically and spiritually.
Has International Financial Comovement Changed Emerging Markets In The 20072009 Financial Crisis
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Author :
language : en
Publisher: DIANE Publishing
Release Date :
Has International Financial Comovement Changed Emerging Markets In The 20072009 Financial Crisis written by and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.