A Measure of Stock Market Integration for Developed and Emerging Markets PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download A Measure of Stock Market Integration for Developed and Emerging Markets PDF full book. Access full book title A Measure of Stock Market Integration for Developed and Emerging Markets by Robert A. Korajczyk. Download full books in PDF and EPUB format.
Author: Robert A. Korajczyk
Publisher: World Bank Publications
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Robert A. Korajczyk
Publisher: World Bank Publications
ISBN:
Category : Aktiemarkeder
Languages : en
Pages : 48
Get Book Here
Book Description
Author: Karim Francis Haddad
Publisher:
ISBN:
Category :
Languages : en
Pages : 110
Get Book Here
Book Description
Over the last decade world stock markets have become all the more integrated due to a number of reasons, including the different policies and reforms adopted by their respective countries. The purpose of this project is to measure the degre e of financial integration between emerging economies. Particularly, the focus i s on providing advice, if possible on whether diversifying a portfolio across di fferent regional emerging markets could lower the risk that investors are faced with. The first chapter gives an overall understanding of the topic at hand as well as the main argument that we put to test. The second chapter considers several definitions regarding emerging financial ma rkets. We then explain how markets can be financially integrated by providing ex amples on the subject. The third chapter discusses the development of financial markets in general and stock markets in particular in emerging economies. We focus on the composite ind ices in each of the following regional markets: Latin America, East Asia, Middle East & Africa, and Emerging Europe. The fourth chapter sets out to explain the source and other characteristics of o ur sample. In this part we test whether the given index price of each of the abo ve-mentioned regions are cointegrated. The objective is to check if investors ca n diversify their portfolios and eliminate risk by investing in these different regions. Finally, the fifth chapter concludes the project with policy implications.
Author: Robert A. Korajczyk
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
A wide variety of official capital controls across countries makes it difficult to perform cross-sectional analysis of the effects of market segmentation. This article constructs a measure of deviations from capital market integration that can be consistently applied across countries. It measures deviations of asset returns from an equilibrium model of returns constructed assuming market integration. Applying the measure to stock returns from twenty-four national markets indicates that market segmentation tends to be much larger for emerging markets than for developed markets, and that the measure tends to decrease over time. Along several dimensions, the proposed measure yiels results that are consistent with reasonable priors about the relations between effective integration and explicit capital controls, capital market development, and economic growth.
Author: Mohamed El Hedi Arouri
Publisher: Springer Science & Business Media
ISBN: 3790823899
Category : Business & Economics
Languages : en
Pages : 214
Get Book Here
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: A. Robert Korajczyk
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
June 1995 Along several dimensions, a measure of the financial integration of equity markets yields results consistent with prior assumptions about the relationship between effective integration, explicit capital controls, capital market development, and economic growth. If equity markets are financially integrated, the price of risk should be the same across markets. If the markets are not financially integrated--possibly because of barriers to capital flows across markets--the price of risk may differ across markets. Korajczyk investigates one measure of financial integration between equity markets. He uses a multifactor equilibrium Arbitrage Pricing Theory to define risk and to measure deviations from the law of one price. He applies the integration measure to equities traded in 24 countries (four developed, and 20 emerging). The measure of market segmentation tends to be much larger for emerging markets than for developed markets, which is consistent with larger barriers to capital flows into or out of the emerging markets. The measure tends to decrease over time, which is consistent with growing levels of integration. Large values of adjusted mispricing occur around periods of economic turbulence and periods in which capital controls change significantly. So, the adjusted mispricing estimates measure not only the level of deviation from the law of one price, but also the revaluations inherent in moving from one regime to another. This paper--a product of the Finance and Private Sector Development Division, Policy Research Department--is part of a larger effort in the department to study stock market development. The study was funded by the Bank's Research Support Budget under the research project Stock Market Development and Financial Intermediary Growth (RPO 678-37).
Author: Sabur Mollah
Publisher: Springer
ISBN: 1137367547
Category : Business & Economics
Languages : en
Pages : 172
Get Book Here
Book Description
Stock market integration between developing and emerging markets has numerous benefits for creating a global - yet stable - world economy. It increases competition and the efficiency of local markets, in turn reducing price volatility and the cost of capital among integrated markets. It also generates capital flows, which enhance financial stability and spur economic growth. At its core, stock market integration has an important role to play in both developing and emerging markets still reeling from the global financial crisis. Global Stock Market Integration analyzes the financial makeup of developing and emerging markets around the world, providing empirical insights into market integration, co-movements in price, crises, and efficiency linkages. Mobarek and Mollah argue that the relationship between market integration and market efficiency within developing and emerging countries is not the only measure necessary for effecting real financial growth. This work brings the review of theories and empirical research on the topic up-to-date and expands the existing literature with new perspectives on developed and emerging markets.
Author: Se M. Shabri
Publisher:
ISBN:
Category : International economic integration
Languages : en
Pages : 560
Get Book Here
Book Description
Author: Robin Brooks
Publisher: International Monetary Fund
ISBN:
Category : Business & Economics
Languages : en
Pages : 46
Get Book Here
Book Description
The degree of comovement across national stock markets has increased dramatically since the mid-1990s. This has overturned a stylized fact in the international portfolio diversification literature that diversifying across countries is more effective for risk reduction than diversifying across industries. We investigate if this rise in comovement is a permanent phenomenon driven by greater economic and financial integration, or a temporary effect associated with the recent stock market bubble. At the global level, our results point to the bubble. At a regional level, we find evidence of a significant rise in market integration within Europe, possibly a reflection of institutional changes such as the EMU.
Author: Mohammed El Hedi Arouri
Publisher: Academic Press
ISBN: 0124115632
Category : Business & Economics
Languages : en
Pages : 927
Get Book Here
Book 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 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
Author: Maurice Obstfeld
Publisher: Cambridge University Press
ISBN: 9780521671798
Category : Business & Economics
Languages : en
Pages : 386
Get Book Here
Book Description
This book is an economic survey of international capital mobility from the late nineteenth century to the present.
