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Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Jonathan Batten
Publisher: Emerald Group Publishing
ISBN: 0857247549
Category : Business & Economics
Languages : en
Pages : 745
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Book Description
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.
Author: Ahmad Rizal Mazlan
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 226
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Book Description
The flow of foreign portfolio investment in emerging markets is growing but is lower than market capitalization growth due to the relatively higher investment risk inherent in those markets. This is exacerbated by the fact that most emerging markets have been adversely affected, albeit with varying degree, by financial crises. As a central component in the risk and return concept, research in equity risk premium (ERP) is imperative, particularly if financial crisis dimension is coalesced into the study. Hence, this study is conducted to examine the characteristics and determinants of the equity risk premium in the emerging markets inflicted by various financial crises. In the first part, panel regressions are utilized to examine the determinants of ERP, while in the second part, event study methodology is used to investigate the immediate impact that financial crises had on the levels of ERP in the emerging markets. The findings in the overall panel regression are different from the findings in the group regressions that take into account the various crises and different time periods. Although GDP per capita growth rate and inflation rate are consistently positively significant in the overall regressions, the results do not persist in the crises-grouped regressions. These findings extend the current literature on the determinants of ERP as well as the characteristics of emerging market crises. In the event study analysis, the mixed results indicate that each emerging market is uniquely different in terms of how the ERP was affected at the onset of the crises. Furthermore, the grouped cumulative abnormal equity risk premium (CAERP) findings indicate that the crises also are distinctly different from each other. The Tequila crisis is the worst hit crisis, followed by the Russian crisis and the Asian crisis, as far as the CAERP findings are concerned. Furthermore, there are also differences in the results calculated using estimates from different regressions, namely, the OLS, ARCH and GMM regressions. Thus, the findings of this study have contributed to the current literature, as well as having practical implications to the practitioners such as fund managers and corporate managers who rely heavily on the equity risk premium as a key input in their decision-making processes.
Author: Reuven Glick
Publisher: Cambridge University Press
ISBN: 9780521800204
Category : Business & Economics
Languages : en
Pages : 494
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Book Description
The essays in this volume analyze causes of financial crises in emerging markets and different policy responses.
Author: Morris Goldstein
Publisher: Columbia University Press
ISBN: 0881323047
Category : Business & Economics
Languages : en
Pages : 150
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Book Description
The European currency crises of 1992-93, the Mexican crisis of 1994-95, and especially the Asian/global crisis of 1997-98, have all contributed to a heightened interest in the early warning signals of financial crises. This pathbreaking study presents a comprehensive battery of empirical tests on the performance of alternative early warning indicators for emerging-market economies that should prove useful in the construction of a more effective global warning system. Not only are the authors able to draw conclusions about which specific indicators have sent the most reliable early warning signals of currency and banking crises in emerging economies, they also test the out-of-sample performance of the model during the Asian crisis and find that it does a good job of identifying the most vulnerable economies. In addition, they show how the early warning system can be used to construct a "composite" crisis indicator to weigh the importance of alternative channels of cross-country "contagion" of crises, and to generate information about the recovery path from crises. This timely study comes on the eve of impending changes at the International Monetary Fund as that institution reexamines how it reacts to financial crises. Moreover, the study provides "... a wealth of valuable elements for anyone investigating and forecasting adverse developments in emerging markets as well as industrial countries," according to Ewoud Schuitemaker, vice president of the economics department at ABN AMRO Bank.
Author: Mohamed El Hedi Arouri
Publisher: Springer Science & Business Media
ISBN: 3790823899
Category : Business & Economics
Languages : en
Pages : 214
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Book Description
Emerging markets have received a particular attention of academic researchers and practitioners since they decided to open their domestic capital markets to foreign participants about three decades ago. At the same time, we remark that theoretical and empirical research in emerging stock markets has been particularly challenged by their fast changes in nature and size under the effects of financial liberalization and reforms. This evolving feature has particularly led to a commensurate increase in sophistication of modeling techniques used for understanding financial markets. In this spirit, the book aims at providing the audience a comprehensive understanding of emerging stock markets in various aspects using modern financial econometric methods. It addresses the empirical techniques needed by economic agents to analyze the dynamics of these markets and illustrates how they can be applied to the actual data. On the other hand, it presents and discusses new research findings and their implications.
Author: Mr.Serkan Arslanalp
Publisher: International Monetary Fund
ISBN: 151357065X
Category : Business & Economics
Languages : en
Pages : 25
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Book Description
Portfolio flows to emerging markets (EMs) tend to be correlated. A possible explanation is the role global benchmarks play in allocating capital internationally, the so-called “benchmark effect.” This paper finds that benchmark-driven investors indeed play a large role in a key segment of the market—the EM local currency government bond market—, accounting for more than one third of total foreign holdings as of end-2014. We find that the prominence of these investors declined somewhat after the May 2013 taper tantrum, but remain high. This distinction is important in understanding the drivers of EM capital flows and their sensitivity to different types of shocks. In particular, a high share of benchmark-driven investors may result in capital flows that are more sensitive to global shocks and less sensitive to country factors.
Author: Mr.Suman S Basu
Publisher: International Monetary Fund
ISBN: 1484333640
Category : Business & Economics
Languages : en
Pages : 42
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Book Description
This paper summarizes a suite of early warning models to assess the probabilities of growth, fiscal, and financial crises in advanced economies and emerging markets. We estimate separate signal-extraction models for each type of crisis and sample of countries, and we use our results to generate “histories of vulnerabilities” for countries, regions, and the world. For the global financial crisis, our models report that vulnerabilities in advanced economies were rooted in the bursting of leveraged bubbles, while vulnerabilities in emerging markets stemmed from lengthy booms in credit and asset prices combined with growing weaknesses in the corporate and external sectors.
Author: Mardi Dungey
Publisher: Oxford University Press
ISBN: 0199842604
Category : Business & Economics
Languages : en
Pages : 232
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Book Description
Financial crises often transmit across geographical borders and different asset classes. Modeling these interactions is empirically challenging, and many of the proposed methods give different results when applied to the same data sets. In this book the authors set out their work on a general framework for modeling the transmission of financial crises using latent factor models. They show how their framework encompasses a number of other empirical contagion models and why the results between the models differ. The book builds a framework which begins from considering contagion in the bond markets during 1997-1998 across a number of countries, and culminates in a model which encompasses multiple assets across multiple countries through over a decade of crisis events from East Asia in 1997-1998 to the sub prime crisis during 2008. Program code to support implementation of similar models is available.
Author: Frank J. Fabozzi, CFA
Publisher: John Wiley & Sons
ISBN: 9780471218364
Category : Business & Economics
Languages : en
Pages : 392
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Book Description
An investor's guide to capitalizing on opportunities in the fixed income markets of emerging economies The fixed income market in emerging countries represents a new and potentially lucrative area of investment for professionals, but with great risk. Investing in Emerging Fixed Income Markets shows investors how to identify solid investment opportunities, assess the risk potential, and develop an investment approach to enhance long-term returns. Contributors to this book, among the leading experts from around the world, share their insights, advice, and knowledge on a range of topics that will help investors make the right decisions and choices when dealing with emerging fixed income markets. This fully updated and revised edition of the Handbook of Emerging Fixed Income and Currency Markets is the best guide for navigating the complicated world of emerging fixed income markets. Efstathia Pilarinu (Strasbourg, France) is a consultant specializing in the derivatives and emerging market fixed income areas. She has worked for several major Wall Street firms, including Salomon Brothers, Bankers Trust, Societe General. She has a doctorate degree and an MBA in finance from the University of Tennessee and an undergraduate degree in mathematics from the University of Patras, Greece. John Wiley & Sons, Inc. is proud to be the publisher of the esteemed Frank J. Fabozzi Series. Comprising nearly 100 titles--which include numerous bestsellers--The Frank J. Fabozzi Series is a key resource for finance professionals and academics, strategists and students, and investors. The series is overseen by its eponymous editor, whose expert instruction and presentation of new ideas have been at the forefront of financial publishing for over twenty years. His successful career has provided him with the knowledge, insight, and advice that has led to this comprehensive series. Frank J. Fabozzi, PhD, CFA, CPA, is Editor of the Journal of Portfolio Management, which is read by thousands of institutional investors, as well as editor or author of over 100 books on finance for the professional and academic markets. Currently, Dr. Fabozzi is an adjunct Professor of Finance at Yale University's School of Management and on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds.
