Three Essays on Financial Instability of Emerging Stock Markets PDF Download
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Author: Thi Bich Ngoc Tran
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Thi Bich Ngoc Tran
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Carlos Gabriel Di Bella
Publisher:
ISBN:
Category :
Languages : en
Pages : 162
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Author: Sumit Agarwal
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 288
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Author: Hiroyuki Ito
Publisher:
ISBN:
Category :
Languages : en
Pages : 464
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Author: Feng Zhan
Publisher:
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Category :
Languages : en
Pages :
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Author: Michael Manz
Publisher:
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Category :
Languages : en
Pages : 0
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Author: Shane K. Clark
Publisher:
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Category :
Languages : en
Pages : 0
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Essay 3 investigates the relation between proxies for investor sentiment and stock market crises and recoveries on international indices. Using an Early-Warning-System (EWS) model, the essay examines whether investor sentiment is a useful predictor for the occurrence of stock market crises and early signs of recovery. Three alternative proxies are used to measure investor sentiment, including previously cited measures of stock market riskiness, investors' risk aversion and investors' optimism about stock markets. The results show that investor sentiment is overall a significant predictor of the occurrence of crises within a one year period, and that the addition of sentiment into early warning signal models of stock market crises can improve the predictive performance of the model (increases in investor sentiment increase the probability of occurrence of a crisis, which is in line with previous contributions finding a negative lead-lag relation between sentiment and stock returns). The extension of the model to early signs of recoveries also shows that sentiment is a reliable predictor. The measure of stock market riskiness (Baker and Wurgler, 2006) is found to be a better predictor than the Volatility Index (VIX) and the Put-to-Call Ratio (PCR). The cross-country comparison results confirms the literature findings that the link between sentiment and stock market returns varies across indices and cultures, as the predictive power of the variable appears strongest in the French and U.S. indices.
Author: Sara Jane Zervos
Publisher:
ISBN:
Category : Banks and banking
Languages : en
Pages : 234
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Author: Augusto de la Torre
Publisher: World Bank Publications
ISBN: 0821365444
Category : Business & Economics
Languages : en
Pages : 232
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Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Author: International Monetary Fund. Monetary and Capital Markets Department
Publisher: International Monetary Fund
ISBN: 1498324029
Category : Business & Economics
Languages : en
Pages : 109
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The October 2019 Global Financial Stability Report (GFSR) identifies the current key vulnerabilities in the global financial system as the rise in corporate debt burdens, increasing holdings of riskier and more illiquid assets by institutional investors, and growing reliance on external borrowing by emerging and frontier market economies. The report proposes that policymakers mitigate these risks through stricter supervisory and macroprudential oversight of firms, strengthened oversight and disclosure for institutional investors, and the implementation of prudent sovereign debt management practices and frameworks for emerging and frontier market economies.
