Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by World Bank Publications. This book was released on 1995 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004-02-19 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher Description
Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by Robert A. Korajczyk and published by . This book was released on 2016 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book A Measure of Stock Market Integration for Developed and Emerging Markets written by A. Robert Korajczyk and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: 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).
Download or read book Asset Pricing and Portfolio Performance written by Robert A. Korajczyk and published by . This book was released on 1999 with total page 424 pages. Available in PDF, EPUB and Kindle. Book excerpt: A comprehensive reference work presenting an original framework for evaluating observed differences in returns across assets.
Download or read book The Integration of World Capital Markets written by Mr.Michael Mussa and published by International Monetary Fund. This book was released on 1993-12-01 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper discusses the extent to which national capital markets have become linked, and identifies several of the more important consequences of that increased degree of integration. Alternative approaches to the measurement of capital market integration are reviewed, including deviations from the law of one price, differences between actual and optimally diversified portfolios, correlations between domestic investment and domestic saving, and cross-country links in consumption behavior. Two recent episodes of large-scale international capital flows—namely, the turmoil in the European Monetary System in the fall of 1992, and the surge of capital inflows into Latin America during the last three years—are examined for insights into the workings of today’s global capital market. Finally, the paper offers some concluding remarks on the future development of international capital markets, on exchange rate management, on alternative approaches to living with larger and more influential financial markets, and on the financing of investment in the formerly centrally planned economies.
Download or read book The Internationalization of Equity Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2008-04-15 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: This timely volume addresses three important recent trends in the internationalization of United States equity markets: extensive market integration through foreign investment and links among stock prices around the world; increasing securitization as countries such as Japan come to rely more than ever before on markets in equities and bonds at the expense of banks; and the opening of national financial systems of newly industrializing countries to international financial flows and institutions, as governments remove capital controls and other barriers. Eight essays examine such issues as the current extent of international market integration, gains to U.S. investors through international diversification, home-country bias in investing, the role of time and location around the world in stock trading, and the behavior of country funds. Other, long-standing questions about equity markets are also addressed, including market efficiency and the accuracy of models of expected returns, with a particular focus on variances, covariances, and the price of risk according to the Capital Asset Pricing Model.
Download or read book Financial Integration in the European Union written by Roman Matoušek and published by Routledge. This book was released on 2012-03-15 with total page 361 pages. Available in PDF, EPUB and Kindle. Book excerpt: This edited collection assesses the level of financial integration in the European Union (EU) and the differences across the countries and segments of the EU financial system. Progress in financial integration is key to the EU’s economic growth and competitiveness and although it has advanced substantially, the process is still far from completion. This book focuses on the pace of financial integration in the EU with special emphasis on the new EU Member States and investigates their progress in comparison with ‘old’ EU countries. The book is the first of its kind to include and evaluate the effects of the global financial crisis on the process of EU financial integration. In particular, the book’s contributors address the issue of whether a high degree of financial integration contributed to the intensification of the financial crisis, or whether a low level of integration prevented countries and financial industries from some of the negative effects of the crisis. Although most of the chapters apply contemporary econometric tools, the technical part is always reduced to indispensable minimum and the emphasis is given to economic interpretation of the results. The book aims to offer an up to date and insightful examination of the process of financial integration in the EU today.
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
Download or read book Annual World Bank Conference on Development Economics 1998 written by Boris Pleskovic and published by World Bank Publications. This book was released on 1999 with total page 428 pages. Available in PDF, EPUB and Kindle. Book excerpt: The 1998 Annual World Bank Conference on Development Economics, the tenth anniversary, was held at the Bank on April 20-21, 1998. The discussions focused on four areas of inquiry:1) the role of geography in countries'success, 2) the role of effective competition and regulatory policies, 3) the causes of financial crises and ways to prevent them, and 4) the effects of ethnic diversity on democracy and growth. The welcoming address by World Bank President James D. Wolfensohn, the opening remarks by chief Economist Joseph Stiglitz, and the tenth anniversary address by the International Monetary Fund Deputy Managing Director Stanley Fischer all focused both on the role of the conference and on the changing perspectives for development.
Download or read book What Drives Portfolio Investments of German Banks in Emerging Capital Markets written by Christian Wildmann and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Global Stock Market Integration written by Sabur Mollah and published by Springer. This book was released on 2016-02-10 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Download or read book International Market Correlation and Volatility written by Bruno H. Solnik and published by . This book was released on 1996 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Financial Market Integration written by Stanley R. Stansell and published by Wiley-Blackwell. This book was released on 1993-01-01 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: The rapid growth of international financial markets and their increasing integration has created a unique set of problems in the understanding of international finance. This important new book surveys the many aspects of financial market integration. The markets examined range from those of developed countries such as the US, Japan, and European countries to less developed countries. A section on the emerging markets in the CIS and Baltic States has also been included. Areas covered include capital market segmentation, an examination of the US, Hong Kong, and Singapore markets, the foreign and domestic balance sheet strategies of US banks, international financial market integration and commercial banks, the European monetary system, international integration of the CIS and Baltic States emanating from the USSR, an overview of Japanese finance, international transmission of stock market movements, and international capital markets. International Financial Market Integration is a comprehensive and valuable reference for academics, graduate students, and researchers in international finance.
Download or read book Regional Integration in Europe and Latin America written by Pierre van der Haegen and published by Routledge. This book was released on 2019-10-28 with total page 561 pages. Available in PDF, EPUB and Kindle. Book excerpt: Originally published in 2004. This comprehensive collection provides an innovative analysis and a comparison between economic and financial integration in Europe and Latin America, addressed from a global, regional and country-specific perspective. It constitutes a valuable overview focusing on three topics: regional integration and monetary cooperation in Europe and Latin America, exchange rate strategies and financial sector structure. The collection is the outcome of a Workshop and high-level Seminar organized by the Banco de España and the European Central Bank that brought together senior European and Latin American central bankers, as well as senior representatives from international institutions. The 31 contributors presented high quality papers, allowing the reader to take advantage of a rigorous economic analysis that uses first-hand information and draws useful lessons for the future.
