Emerging Markets and the Global Economy - 1st Edition - ISBN: 9780124115491, 9780124115637

Emerging Markets and the Global Economy

1st Edition

A Handbook

Editors: Mohammed Arouri Sabri Boubaker Duc Nguyen
eBook ISBN: 9780124115637
Hardcover ISBN: 9780124115491
Imprint: Academic Press
Published Date: 1st November 2013
Page Count: 928
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Description

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

Key Features

  • 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

Readership

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

Table of Contents

Foreword

Acknowledgments

About the Editors

List of Contributors

Author Biographies

Part 1: COUNTRY-SPECIFIC EXPERIENCES

Chapter 1. Robust Measures of Hybrid Emerging Market Mutual Funds Performance

Abstract

Acknowledgment

1 Introduction

2 Stochastic Discount Factors and Benchmark Models

3 Performance Evaluation of Managed Portfolios

4 Econometric Methodology and Tests

5 Conclusion

References

Chapter 2. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions’ Investment Decisions

Abstract

1 Introduction

2 The δ-Rating Methodology

3 Rating Evaluation: Carrying Out the Methodology

4 Discussion and Conclusion

References

Chapter 3. Emerging Markets Banks Performance Evidence from China’s Banks in Hong Kong

Abstract

1 Introduction

2 Foreign Banks in Hong Kong

3 Hypothesis Testing

4 Data and Methodology

5 Empirical Results

6 Conclusion

References

Chapter 4. Determinants of the Real Rate of Return: Evidence from Cross-Country Panel Data

Abstract

1 Introduction

2 The Data

3 The Methodology

4 Determinants of Asset Returns: Some Basic Results

5 Determinants of Asset Returns: Some Refinements

6 Conclusions

Appendix List of Countries

References

Chapter 5. Understanding the Relationship Between Liquidity and Inflation in the Post Crisis Period in India: from Bank Dealers’ Perspectives

Abstract

1 Introduction

2 The Scenario

3 The Existing Literature on Economic Games

4 Features of the Game in Decision Making of a Dealer in the Government Security Desk

5 Forecasting Liquidity

6 Decision Making of a Dealer in the Equity Desk

7 Conclusion

Appendix

References

Chapter 6. Demographic Transition and Savings Behavior in Mauritius

Abstract

1 Introduction

2 Literature Survey

3 Savings Trends

4 Methodology

5 Findings—Macroeconomic Modeling

6 Findings—Microeconomic Modeling

7 Conclusion

References

Chapter 7. An Investigation of the Deviation from the Market Efficiency and its Implications for Capital Market Development: The DSE Evidence

Abstract

Acknowledgments

1 Introduction

2 Background of DSE

3 Testing Methodologies

4 Data, Econometric Packages, and Descriptive Statistics

5 Results and Analysis

6 Conclusion and Policy Implications

References

Chapter 8. An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Cooperation Countries

Abstract

Acknowledgment

1 Introduction

2 GCC Stock Markets and Oil

3 Transmission Channels

4 Empirical Investigation

5 Policy Discussion

6 Conclusion

Appendix 1—Individual Stationarity Tests for Series (in Logarithm)

References

Chapter 9. Trading Intensity and Informed Trading in the Tunis Stock Exchange

Abstract

Acknowledgments

1 Introduction

2 Institutional Features of the Tunis Stock Exchange

3 Econometric Models

4 Empirical Analysis

5 Conclusion

References

Chapter 10. Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk

Abstract

Acknowledgment

1 Introduction

2 Literature Review

3 The Role of Gas and Oil in the BRICS

4 Data

5 Econometric Models

6 Empirical Results

7 Conclusions and Future Research

Appendix

References

Chapter 11. Developed and Emerging Equity Market Tail Risk: Is it Constant?

Abstract

Acknowledgment

1 Introduction

2 Testing Structural Change in Tail Behavior: Theory

3 Monte Carlo Experiments

4 Empirical Application

5 Conclusions

Appendix A Calibration of GARCH(1, 1) Parameters

Appendix B Derivations of Second Order Expansion Parameters

References

Chapter 12. Measuring Systemic Risk in Emerging Markets Using CoVaR

Abstract

Acknowledgments

1 Introduction

2 Review of the Literature

3 Econometric Methodology

4 Data and Empirical Results

5 Summary and Concluding Remarks

References

Chapter 13. An Empirical Study on Mutual Funds Performance Persistence in China

Abstract

1 Introduction

2 Literature Review

3 Methodology

4 Research Findings

5 Conclusions

References

Chapter 14. Cultural Behavioral Finance in Emerging Markets

Abstract

1 Introduction

2 Culture and Financial Decision Making

3 Behavioral Finance in Emerging Markets: A Cultural Perspective

4 The Future of Cultural Behavioral Finance Research in Emerging Markets

References

Chapter 15. Early Warning System for Financial Crisis: Statistical Classification Approach

Abstract

Acknowledgments

1 Introduction

2 Procedure Description

3 Oracle Classifier

4 Lag-l Forecasting Classifier

5 Linking Various Classifiers

6 Empirical Example and Experiment

7 Conclusion

References

Chapter 16. Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries

Abstract

1 Introduction

2 Data and Methodology

3 Empirical Results

4 Conclusion

References

Chapter 17. Collateral in Emerging Economies

Abstract

1 Introduction

2 Literature on Collateral

3 Empirical Analysis

4 Robustness Checks

5 Policy Implication

6 Conclusions

References

Chapter 18. Tactical Risk Analysis in Emerging Markets in the Wake of the Credit Crunch and Ensuing Sub-prime Financial Crisis

Abstract

Acknowledgment

1 Introduction

2 Related Literature Review and Purpose of Present Study

3 Methodology and Research Design

4 Results and Discussion of Findings

5 Discussion and Conclusion

Appendix A Derivation of Liquidity-Adjusted Value-at-Risk (LVaR) Mathematical Structure During the Close-Out (Unwinding) Period

References

Part 2: DYNAMIC INTERACTIONS WITH THE GLOBAL ECONOMY

Chapter 19. Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement

Abstract

1 Introduction

2 Literature Review

3 Data and Summary Statistics

4 Multivariate GARCH Models

5 Empirical Results

6 Conclusion

References

Chapter 20. Price Jump Behavior During Financial Distress: Intuition, Analysis, and a Regulatory Perspective

Abstract

1 Introduction

2 Price Jumps and Financial Crisis

3 Methodology

4 Data Description

5 Results

6 Regulatory Consequences

7 Conclusion

References

Chapter 21. Are Emerging Markets Exposed to Contagion from the United States: Evidence from Stock and Sovereign Bond Markets

Abstract

1 Introduction

2 Some Theoretical Underpinnings

3 Some Amplifications on Recent Crisis

4 Methodology

5 Data and Descriptive Statistics

6 Empirical Results

7 Implications and Conclusion

References

Chapter 22. Assessing the Effects of the Global Financial Crisis on the East Asian Equity Markets

Abstract

1 Introduction

2 Literature Review

3 Data and Methodology

4 Empirical Results

5 Conclusion

References

Chapter 23. Contagion versus Interdependence: The Case of the BRIC Countries During the Subprime Crises

Abstract

1 Introduction

2 BRIC Countries

3 A Brief Review of Literature

4 The Empirical Methodology

5 Empiricals Results

6 Interdependence versus Contagion

7 Summary and Implications

References

Chapter 24. On the Importance of Trend Gaps in Assessing Equity Market Correlations

Abstract

1 Introduction

2 Measuring Market Correlation

3 Defining Stock Market Trends

4 Data and Descriptive Statistics

5 Results

6 Conclusion

References

Chapter 25. Stock Market Co-movement in ASEAN and China

Abstract

1 Introduction

2 Theoretical Underpinnings of Stock Market Linkages

3 Existing Literature on Stock Market Linkages

4 Overview of the Markets and Bilateral Trade and Investment

5 Data

6 Empirical Specification and Methodology

7 Results

8 Conclusion

References

Chapter 26. Stock and Bond Markets Co-movements in Selected MENA Countries: A Dynamic Coherence Function Approach

Abstract

1 Introduction

2 Related Literature

3 Empirical Analysis and Data

4 Results and Discussions

5 Conclusion

Appendix

References

Chapter 27. Equity Market Comovements Among Selected Emerging Countries from Long- and Short-Run Perspectives

Abstract

1 Introduction

2 Integration of Equity Markets

3 Empirical Methods

4 Data and Results

5 Conclusion

References

Chapter 28. Stock Market Volatility and Contagion Effects in the Financial Crisis: The Case of South-Eastern Europe

Abstract

Acknowledgment

1 Introduction

2 Recent Economic Developments in the SEE Countries

3 SEE Stock Market Growth and Prospects

4 An Empirical Analysis of the SEE Stock Markets

5 Conclusions

References

Chapter 29. Emerging Market Stocks in Global Portfolios: A Hedging Approach

Abstract

1 Introduction

2 The Available Evidence

3 Methodology

4 An Informal Examination of the Data

5 Empirical Results

6 Robustness Test 1: The Conventional Mean-Variance Approach

7 Robustness Test 2: Alternative Estimates of the Hedge Ratio

8 Conclusion

References

Chapter 30. The Behavior of International Stock Market Excess Returns in an Increasingly Integrated World

Abstract

1 Introduction

2 Summary Statistics and Preliminary Analysis

3 A Time-Varying Analysis

4 Conclusion

References

Chapter 31. Determinants of International Financial Integration of GCC Markets

Abstract

1 Introduction

2 Literature Review of Financial Integration

3 Measures of International Financial Integration

4 Analysis of Determinants of International Financial Integration in GCC

5 Conclusions and Policy Implications

References

Chapter 32. Asset Return and Volatility Spillovers Between Big Commodity Producing Countries

Abstract

Acknowledgment

1 Introduction

2 Selected Literature Review

3 The Econometric Model

4 Data

5 Empirical Results for Returns Spillovers

6 Empirical Results for Volatility Spillovers

7 Conclusions

References

Chapter 33. Correlation and Network Structure of International Financial Markets in Times of Crisis

Abstract

Acknowledgments

1 Introduction

2 The Data

3 Random Matrix Theory

4 Correlation and Volatility of the Market

5 Network Structure

6 Conclusion

References

Chapter 34. Financial Development and its Effects on Economic Growth: A Dynamic Analysis

Abstract

Acknowledgment

1 Introduction

2 Literature Review

3 Empirical Analysis of the Financial Development and Economic Growth Nexus

4 Conclusions

Appendix

References

Chapter 35. Financial Market Integration of ASEAN-5 with China and India

Abstract

1 Introduction

2 Literature review

3 Data and Methodology

4 Findings

5 Conclusion

Appendix

References

Index

Details

No. of pages:
928
Language:
English
Copyright:
© Academic Press 2014
Published:
Imprint:
Academic Press
eBook ISBN:
9780124115637
Hardcover ISBN:
9780124115491

About the Editor

Mohammed Arouri

Professor of Finance, University of Auvergne, and Associate Researcher at EDHEC Business School, France

Affiliations and Expertise

Professor of Finance at the University of Auvergne.

Sabri Boubaker

Associate Professor of Finance, Champage School of Management and University of Paris Est, France

Affiliations and Expertise

Associate Professor of Finance, Champagne School of Management

Duc Nguyen

Professor of Finance and Deputy Director for Research at IPAG Business School (France).

Affiliations and Expertise

IPAG Business School, Paris, France

Reviews

"Researchers and practitioners in business and economics present empirical studies on macroeconomic and microeconomic issues regarding emerging financial markets and their interaction with the global economy. They test economic and finance theories and apply current econometric methodologies."--ProtoView.com, March 2014

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