Emerging Markets and the Global Economy

1st Edition

A Handbook

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


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

Table of Contents



About the Editors

List of Contributors

Author Biographies


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



1 Introduction

2 Stochastic Discount Factors and Benchmark Models

3 Performance Evaluation of Managed Portfolios

4 Econometric Methodology and Tests

5 Conclusion


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


1 Introduction

2 The δ-Rating Methodology

3 Rating Evaluation: Carrying Out the Methodology

4 Discussion and Conclusion


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


1 Introduction

2 Foreign Banks in Hong Kong

3 Hypothesis Testing

4 Data and Methodology

5 Empirical Results

6 Conclusion


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


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


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


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



No. of pages:
© Academic Press 2014
Academic Press
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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


"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