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

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Details

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

About the authors

Mohammed Arouri

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

Sabri Boubaker

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

Duc Nguyen

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