Long Memory in Emerging Market Stock Returns PDF Download
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Author: Jonathan H. Wright
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.
Author: Jonathan H. Wright
Publisher:
ISBN:
Category :
Languages : en
Pages : 20
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Book Description
Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.
Author: Jonathan H. Wright
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 32
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Book Description
Many authors have investigated the possibility of long memory in asset returns. Generally, very little evidence has been found for long memory in either stock returns or exchange rate returns. This paper applies the log-periodogram regression to a wide range of emerging market stock returns and finds some evidence for positive long memory in 7 of the 17 series considered.
Author: Stijn Claessens
Publisher: World Bank Publications
ISBN:
Category : Rate of return
Languages : en
Pages : 28
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Book Description
Author: Jorge Claudio Cavalcante de Oliveira Lima
Publisher:
ISBN:
Category : Stocks
Languages : en
Pages : 490
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Book Description
"Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study." --
Author: Paolo Mauro
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 40
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Book Description
There is no sense in building up a new enterprise at a cost greater than that at which a similar existing enterprise can be purchased; whilst there is an inducement to spend on a new project what may seem an extravagant sum, if it can be floated off on the stock exchange at an immediate profit.
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: Susmita Dasgupta
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Yin-Wong Cheung
Publisher:
ISBN:
Category : Dividends
Languages : en
Pages : 50
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Book Description
Author: Christopher Barry
Publisher: Wiley
ISBN: 9780943205458
Category : Business & Economics
Languages : en
Pages : 126
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Book Description
Emerging Stock Markets: Risk, Return, and Performance is a compendium of historical data currently available about the performance of securities in emerging markets. As a result, it will be an invaluable aid to the investor or investment manager trying to make informed decisions about investing in emerging market assets. The authors provide monthly stock return data for more than two dozen countries in the Emerging Markets Data Base maintained by the International Finance Corporation. Without such data, analysis of this fascinating asset class has been frustrated.
Author: Stijn Claessens
Publisher:
ISBN:
Category :
Languages : en
Pages : 28
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Book Description
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