Emerging Markets and the Global Economy

A Handbook

Edited by

  • Mohammed Arouri, Professor of Finance at the University of Auvergne.
  • Sabri Boubaker, Associate Professor of Finance, Champagne School of Management
  • Duc Nguyen, IPAG Business School, Paris, France

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

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Upper-division undergraduates, graduate students, and researchers working on market linkages, pricing and risk management in emerging markets


Book information

  • Published: December 2013
  • ISBN: 978-0-12-411549-1


Foreword by Ali M. Kutan

"With expectations of changes in U.S. Federal Reserve quantitative easing (QE) policies, linkages among financial markets and their effects on emerging markets become again of interest. This Handbook covers this area of research, including new perspectives on spillovers between commodity and stock markets using recent advances in financial econometrics."  --Andre Mollick, University of Texas

Table of Contents


  1. Robust Measures of Hybrid Emerging Markets Mutual Funds’ Performance. Mohamed A. Ayadi, Goodman School of Business, Brock University, Canada
  2. Emerging Countries Sovereign Rating Adjustment Using Market Information: Impact on Financial Institutions Investment Decisions. Dominique Guégan, University of Paris 1 & Paris School of Economics, France; Bertrand Hassani, Paris School of Economics, France; Xin Zhao, Paris School of Economics, France
  3. Performance of Chinese Owned Banks’ in Hong Kong 2004-2010. Kevin Daly, University of Western Sydney (UWS), Australia; Xiaoxi Zhang, University of Western Sydney (UWS), Australia
  4. Determinants of the Real Rate of Return: Evidence from Cross-Country Panel Data. Marcelo Sánchez, European Central Bank
  5. Linkage between Liquidity and Inflation in the Post Crisis Period in India. Rituparna Das, Executive Director of Centre of Risk Management and Derivatives and Additional Director of Centre for Studies in Banking and Finance, India; Michael C S Wong, City University of Hong Kong, Hong Kong
  6. Demographic Transition and Savings Behaviour in Mauritius. Rafael Munozmoreno, World Bank; Verena Tandrayen-Ragoobur, Boopen Seetanah and Robin Sannasee, University of Mauritius
  7. An Investigation of the Deviation from the Market Efficiency and Its Implications for Capital Market Development: The DSE Evidence. A.S.M. Sohel Azad, Deakin University, Australia; Amirul Ahsan, Deakin University, Australia; Victor Fang, Deakin University, Australia
  8. An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Corporation Countries. Mohamed El Hedi Arouri, Université d’Auvergne, France; Christophe Rault, Toulouse Business School, France
  9. Trading Intensity and Information in the Tunisian Stock Exchange. Rabaa Karaa, University of Carthage, Tunisia; Skander Slim, University of Sousse, Tunisia; Dorra Mezzez Hmaied, University of Carthage, Tunisia
  10. Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk. Marcelo Bianconi, Tufts University, United States; Joe Akira Yoshino, Universidade de Sao Paulo, Brazil
  11. Tail Structural Change in Small Samples. Stefan Straetmans, Maastricht University, the Netherlands; Bertrand Candelon, Maastricht University, the Netherlands
  12. Measuring Systemic Risk in Emerging Markets using CoVaR. Anastassios A. Drakos, Athens University of Economics and Business, Greece; Georgios P. Kouretas, Athens University of Economics and Business, Greece
  13. An Empirical Study on Mutual Funds Performance Persistence in China. David Chen, Professional Advisers Association (PAA), Auckland, New Zealand; Christopher Gan, Lincoln University, New Zealand; Baiding Hu, Lincoln University, New Zealand
  14. Behavioural and Cultural Influences in Emerging Market Asset Pricing. Brian M. Lucey, Trinity College Dublin, Ireland; Michael Dowling, Dublin City University Business School, Ireland.
  15. Early Warning System for Financial Crisis: Statistical Classification Approach. Kyong Joo Oh, Yonsei University, South Korea; Tae Yoon Kim, Keimyung University, South Korea
  16. To What Extent are Emerging Stock Market Returns driven by Volatility Spillover Effects? Khaled Guesmi, IPAG Business School, France
  17. Collateral in Emerging Economies. Flavio Bazzana, University of Trento, Italy; Eleonora Broccardo, University of Trento, Italy; Elmas Yaldiz, University of Trento, Italy
  18. Tactical Risk Analysis in Emerging Markets in the Wake of the Credit Crunch and Ensuing Sub-prime Financial Crisis. Mazin A.M. Al Janabi, United Arab Emirates University

  20. Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement. Golab, D.E. Allen, R. Powell, G. Yap; Edith Cowan University, School of Accounting, Finance and Economics, Australia
  21. Price Jump Behavior during Financial Distress: Intuition, Analysis and Regulatory Perspective. Jan Hanousek, Charles University, Prague, Czech Republic; Jan Novotny, City University, London, UK
  22. Are Emerging Markets Exposed to Contagion from U.S.: Evidence from Stock and Sovereign Bond Markets. Hakimzadi Wagan, University of Paris 1, France
  23. Transmissions of the Global Financial Crisis to the East Asian Equity Markets. Kevin Daly, University of Western Sydney (UWS), Australia; Tran Phuong Thao, University of Western Sydney (UWS), Australia and University of Economics Ho Chi Minh City, Vietnam
  24. Contagion versus Interdependence: the Case of the BRIC Countries during the Subprime Crises. Charfeddine Lanouar, University of Gabès, Tunisia; Mrabet Zouhairy, University of Cergy-Pontoise, France; Ahdi Noomen Ajm, Institut Supérieur de Gestion, University of Tunis, Tunisia
  25. Re-Assessing Emerging and Developed Stock Markets Correlation with Trend Gaps. Jarkko Peltomäki, Stockholm University, Sweden; Michael Graham, Stockholm University, Sweden
  26. Stock Market Comovement in China and ASEAN. Hooi Hooi Lean, Universiti Sains Malaysia, Malaysia; Russell Smyth, Monash University, Autralia
  27. Stock and Bond Markets Co-Movements in MENA Countries: a Dynamic Coherence Function Approach. Jamel Boukhatem, University of Tunis, Tunisia; Zied Ftiti, University of Tunis, Tunisia
  28. Equity Market Integration between China and Some Emerging Countries: Evidence from ARDL Approach to Cointegration. Ines Ben Bouhouch, University of Carthage, Tunisia; Jamel Jouini, King Saud University, Saudi Arabia; Jihed Majoub, University of Tunis, Tunisia
  29. Emerging Capital Market Volatility and Contagion Effects in Financial Crisis:
  30. The Case of the Southern-European Markets. Theodore Syriopoulos, University of the Aegean, Greece
  31. Emerging Market Stocks in Global Portfolios: The Hedging Effect. Imad Moosa, RMIT University, Melbourne, Australia; Vikash Ramiah, RMIT University, Melbourne, Australia
  32. The Behaviour of Emerging Stock Market Excess Returns in a Globally Integrated World. Michael Donadelli, Department of Economics and Finance, Rome, Italy; Arcelli Casmer, Center for Monetary and Financial Studies, Rome, Italy
  33. Determinants of International Financial Integration of GCC. Anil Mishra, University of Western Sydney, Australia; Abdullah R. Alotaibi, University of Western Sydney, Australia
  34. Asset Return and Volatility Spillovers between the CARBS Stock Markets. Perry Sadorsky, Schulich School of Business, York University, Canada
  35. Emerging Stock Markets as Satellites of Developed Ones. Leonidas Sandoval Junior, King’s College London, UK
  36. Financial Integration and its Effects on Economic Growth: a Dynamic Analysis. Rault Christophe, University of Orléans, France; Sova Anamaria, Economic Business Research Centre Bucharest, Romania; Sova Robert, Bucharest University of Economic Studies, Romania
  37. Financial Market Integration of ASEAN-5 with China and India. Kee Tuan Teng, Tunku Abdul Rahman College, Malaysia; Siew Hwa Yen, Universiti Sains Malaysia; Soo Y. Chua, Universiti Sains Malaysia; Hooi Hooi Lean, Universiti Sains Malaysia