Download or read book Asymmetry in Asia Pacific Stock Markets written by Nupur Gupta and published by . This book was released on 2013 with total page 10 pages. Available in PDF, EPUB and Kindle. Book excerpt: There is a continuous debate whether stock market returns are symmetric or asymmetric in nature. This paper aims at doing a comparative study of India with five other Asian countries: Japan, Indonesia, Malaysia, Korea and Hong Kong in terms of stock market returns and asymmetry of these returns. These countries are advancing in technology, hot spot for tourists and are low cost manufacturing hubs. This paper finds that, amongst the Asian Pacific economies for the period between 1997-2009 India, Korea and Hong Kong have shown a definite relationship between the stock market returns and asymmetry of these returns. Malaysia and Indonesia have shown weak relationship between stock market returns and asymmetry of these returns while Japan has shown no relationship between stock market returns and asymmetry of these returns in the short as well as long term.

Download or read book Asymmetric Volatility Risk and Return Tradeoff in Asian Pacific Stock Markets written by Usman Bashir and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book International Spillovers and Volatility Asymmetries written by Kee-hong Bae and published by . This book was released on 1993 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Correlation Analysis of Asian Stock Markets written by Jae-Kwang Hwang and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the stock market linkages within the Asia-Pacific region and between Asian markets and the US market from January 2000 to June 2010 employing dynamic conditional correlation GARCH model. Our results show that there exist very high correlations among the stock markets during the 2008 financial crisis. Therefore, consistent with the finding in literature, there are no diversification benefits during the financial crisis. However, our results show that there are still substantial opportunities for global investors to improve the risk-return performance between China and other markets during the sample period. In addition, we find evidence that the US market significantly affects the stock markets in Asia-Pacific region. Using T-GARCH model, there is a strong evidence of an asymmetric effect on conditional variance except stock markets in China and Malaysia.

Download or read book Correlation Dynamics between Asia Pacific EU and US Stock Returns written by Stuart Hyde and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates the correlation dynamics in the equity markets of 13 Asia-Pacific countries, Europe and the US using the asymmetric dynamic conditional correlation GARCH model (AG-DCC-GARCH) introduced by Cappiello, Engle and Sheppard (2006). We find significant variation in correlation between markets through time. Stocks exhibit asymmetries in conditional correlations in addition to conditional volatility. Yet asymmetry is less apparent in less integrated markets. The Asian crisis acts as a structural break, with correlations increasing markedly between crisis countries during this period though the bear market in the early 2000s is a more significant event for correlations with developed markets. Our findings also provide further evidence consistent with increasing global market integration. The documented asymmetries and correlation dynamics have important implications for international portfolio diversification and asset allocation.

Download or read book Asia Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.

Download or read book Price Interdependence Among Equity Markets in the Asia Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-26 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.

Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.

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 Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.

Download or read book Studies in Accounting and Finance written by Arun Kumar Basu and published by Pearson Education India. This book was released on 2013-08 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Studies On Financial Markets In East Asia written by Masayuki Susai and published by World Scientific. This book was released on 2011-01-31 with total page 189 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will be an important addition to the limited number of books that discuss finance and accounting issues in East Asian countries. While presenting recent empirical studies on finance and accounting in East Asian economies, it also reveals the underlying reasons for remarkable economic growth and emerging performance of the financial markets in the East Asian countries. It introduces newly developed financial products, institutions, governance mechanism, banking policy changes and their implications in the East Asian economies, and discusses the way forward for these economies with recommendations for policy implications. It also contains suggestions for other developing countries trying to achieve rapid growth.

Download or read book Geopolitical Risk on Stock Returns Evidence from Inter Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.

Download or read book The Dynamics of Asian Financial Integration written by Michael Devereux and published by Taylor & Francis. This book was released on 2011-05-03 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt: The ongoing global financial crisis has manifested a remarkable degree of global financial integration—and its implications—for emerging Asian financial markets. The current crisis will not and should not deter the progress that the region has made toward financial openness and integration. However, events like this clearly demonstrate that financial liberalization and integration is not without risks. Hence, emerging Asian economies' growing financial ties have motivated us to look closer at the repercussions of increased financial integration and evaluate the benefits of risk sharing and better access to international capital markets against the costs of cross-border financial contagion. The crisis also presents a timely opportunity for the region’s policy makers to rethink their strategies for financial deregulation and liberalization and to reconsider a next step to integrate emerging East Asia’s financial markets further. However, doing so requires deeper understanding of financial market integration. While much has been said in both academic and policy circles about financial globalization and regional financial integration as separate areas of study, existing research has been relatively silent on the dynamics between these two distinctive forces. The book addresses this gap in financial literature and assesses financial integration in emerging East Asia at both regional and global levels. The publication studies the factors driving the progress of regional financial integration in relation to financial globalization and identifies the relevant policy challenges facing emerging market economies in the region. Chapters look into three broad aspects of regional and global financial market integration: (i) measurement of regional and global financial integration, (ii) understanding dynamics of regional financial integration versus global financial integration, and (iii) welfare implications from regional financial market integration amid financial globalization. Against this context, academics, policy makers, and other readers will appreciate the rigorous research contribution provided by the book.

Download or read book Machine Learning for Econometrics and Related Topics written by Vladik Kreinovich and published by Springer Nature. This book was released on with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Recent Developments in Asian Economics written by William A. Barnett and published by Emerald Group Publishing. This book was released on 2021-03-01 with total page 604 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent Developments in Asian Economics is a crucial resource of current, cutting-edge research for any scholar of international finance and economics. Chapters cover a wide range of topics, such as social welfare systems, organizational culture, sustainability, the impact of economic policy uncertainty, and more.

Download or read book The Economics of Russia s War in Ukraine written by Nataliya Struk and published by Taylor & Francis. This book was released on 2024-08-08 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Economics of Russia’s War in Ukraine provides a thorough analysis of the Russo-Ukrainian war, tracing its historical roots and exploring its multifaceted dimensions. This book emphasizes economic, geopolitical, and humanitarian impacts, highlighting Ukraine’s resilience amid challenges. At the same time, this study examines the EU’s dynamic responses to economic crises and energy transition, the consequences of the war on global trade dynamics, and the significant influence of geopolitical events on financial markets. It underscores the EU’s commitment to aiding Ukraine, enhancing its security, and increasing defence spending in response to evolving geopolitical complexities. The impact of the invasion on financial markets and the vulnerabilities of the banking sector are closely examined, highlighting the complex relationship between geopolitics and the global economy. Findings suggest that the priorities for the post-war reconstruction of Ukraine include addressing human capital and demographics, employment opportunities, environmental protection, infrastructure and housing reconstruction, security and mine clearance, waste recycling, agriculture and food security, digital transformation, social protection and healthcare, and education and research. This book therefore argues that a comprehensive, integrated approach with international support is crucial for Ukraine’s recovery and sustainable economic growth. The Economics of Russia’s War in Ukraine will be useful for scholars, students, professionals, policy makers, all interested in economics, international relations, security, and global studies, as well as all those wishing to have a thorough and clear understanding of the backdrop of Russia’s invasion of Ukraine in February 2022 and its influence on Europe.