Download or read book Co Movements in International Equity Markets written by Salim M. Darbar and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the co-movements of equity returns in four major international markets by characterizing the time-varying cross-country covariances and correlations. Using a generalized positive definite multivariate GARCH model, we find that the Japanese and U.S. stock markets have significant transitory covariance, but zero permanent covariance. The other pairs of markets examined display significant permanent and transitory covariance. We also find that, while conditional correlations between returns are generally small, they change considerably over time. An event analysis suggests that basing diversification strategies on these conditional correlations is potentially beneficial.
Download or read book Co movements of International Equity Markets written by Xiang Wu and published by . This book was released on 1999 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Capital Flows written by Martin Feldstein and published by University of Chicago Press. This book was released on 2007-12-01 with total page 500 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent changes in technology, along with the opening up of many regions previously closed to investment, have led to explosive growth in the international movement of capital. Flows from foreign direct investment and debt and equity financing can bring countries substantial gains by augmenting local savings and by improving technology and incentives. Investing companies acquire market access, lower cost inputs, and opportunities for profitable introductions of production methods in the countries where they invest. But, as was underscored recently by the economic and financial crises in several Asian countries, capital flows can also bring risks. Although there is no simple explanation of the currency crisis in Asia, it is clear that fixed exchange rates and chronic deficits increased the likelihood of a breakdown. Similarly, during the 1970s, the United States and other industrial countries loaned OPEC surpluses to borrowers in Latin America. But when the U.S. Federal Reserve raised interest rates to control soaring inflation, the result was a widespread debt moratorium in Latin America as many countries throughout the region struggled to pay the high interest on their foreign loans. International Capital Flows contains recent work by eminent scholars and practitioners on the experience of capital flows to Latin America, Asia, and eastern Europe. These papers discuss the role of banks, equity markets, and foreign direct investment in international capital flows, and the risks that investors and others face with these transactions. By focusing on capital flows' productivity and determinants, and the policy issues they raise, this collection is a valuable resource for economists, policymakers, and financial market participants.
Download or read book Equity Markets in Action written by Robert A. Schwartz and published by John Wiley & Sons. This book was released on 2004-10-06 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: An in-depth look at the nature of market making and exchanges From theory to practicalities, this is a comprehensive, up-to-date handbook and reference on how markets work and the nuances of trading. It includes a CD with an interactive trading simulation. Robert A. Schwartz, PhD (New York, NY), is Marvin M. Speiser Professor of Finance and University Distinguished Professor in the Zicklin School of Business, Baruch College, CUNY. Reto Francioni, PhD (Zurich, Switzerland), is President and Chairman of the Board of SWX, the Swiss Stock Exchange, and former co-CEO of Consors Discount Broker AG, Nuremberg.
Download or read book Time varying Co movements in International Equity and Currency Markets written by Neil Manning and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International equity market co movements written by Manuela Croci and published by . This book was released on 2003 with total page 147 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Empirical Analysis of International Equity Market Co movements written by Manuela Croci and published by . This book was released on 2003 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Stock Co movement in Global Equity Markets written by Ana Corral Ibáñez and published by . This book was released on 2017 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Comovements of Major International Equity Markets written by O. Maurice Joy and published by . This book was released on 1976 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Coordinated Portfolio investment Survey written by International Monetary Fund and published by International Monetary Fund. This book was released on 1997-01-01 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents a coordinated portfolio investment survey guide provided to assist national compilers in the conduct of the Coordinated Portfolio Investment Survey, conducted under the auspices of the IMF with reference to the year-end 1997. The guide covers a variety of conceptual issues that a country must address when conducting a survey. It also covers the practical issues associated with preparing for a national survey. These include setting a timetable, taking account of the legal and confidentiality issues raised, developing a mailing list, and maintaining quality control checks.
Download or read book International Stock Market Co Movements and Politics Related Risks written by Giovanni Pagliardi and published by . This book was released on 2019 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate the determinants of international stock market co-movements, shedding light on the relevance of politics-related factors. We propose a new characterization for the link connecting politics and financial markets, disentangling two different components: political risk and economic policy risk. We uncover the surprisingly low correlation between the two variables, and show they are priced differently by the market. We implement a pairs trading strategy, in the spirit of Gatev et al. (2006), which loads on international stock market co-movements. Exclusively relying on hard macro-data proves not to be sufficient to explain the statistically significant and economically large returns generated by the strategy. We show how to increase the abnormal returns (alphas) generated by the strategy by exploiting shorter-time co-movements. We document the utmost relevance of political risk, which explains and predicts returns driven by both short-term and long-run correlations. Our analysis also unveils the relevance of confidence factors, especially foreign investors' confidence, which should therefore be accounted for when assessing the co-variation of international stock market prices.
Download or read book Co Movements Between Germany and International Stock Markets written by Gazi Salah Uddin and published by . This book was released on 2013 with total page 23 pages. Available in PDF, EPUB and Kindle. Book excerpt: The analysis of co-movements of stock market returns is a fundamental issue in finance. The aim of this paper is to examine the co-movement between Germany and major International Stock Markets in the time-frequency space. Our sample period goes from 01 June 1992 to 26 March 2013 and includes the financial crisis that erupted in US financial institutions in the summer of 2007 and spread beyond the US to other developed economies in the first half of 2008. We use DCC-GARCH and wavelet-based measures of co-movements which make it possible to find a balance between the time and frequency domain features of the data. The results suggest that the difference in the co-movement dynamics could be the result of the different natures of the financial crises or a change in regime. The finding of this paper has relevant policy implications in asset allocation and risk management in designing international portfolios for investment decisions.
Download or read book Comovements and Correlations in International Stock Markets written by Rita L. D'Ecclesia and published by . This book was released on 2008 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interrelationship between international stock markets is becoming a key issue in international portfolio managment and risk measurement. The dynamics of security returns and their risk characteristics have a crucial role in the financial market's therory. Recent empirical studies have tested market efficiency measuring the degree of integration of international financial markets. These studies have shown that international markets react quickly to news but they are volatile and difficult to predict and with a changing correlation structure of security returns among countries.In this paper we analyze the nature of the relationship between the major international stock markets in Canada, Japan, U.K. and the U.S., using the common trends and common cycles approach. We investigate the presence of co-movements trying to detect a long-term stationary component, the common trend, and a short term stationary cyclical component, among international stock markets. The implications on international portfolio management are alos discussed.
Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Download or read book Correlation and Volatility Asymmetries in International Equity Markets written by CFA O'Toole (Randy) and published by . This book was released on 2013 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: The co-movement of international equity markets in different return environments is examined using estimates of realized correlation and volatility. Using a simple ordinary least squares (OLS) regression framework, correlations are shown to be similarly elevated in periods characterized by extreme returns in both up and down markets, which contradicts a body of extant research that finds correlations increase in down markets but not in up markets. In contrast, volatility is much greater in down markets than in up markets. This suggests that it is not a lack of diversification that matters for comparative performance in bear markets, but rather the relative magnitude of negative returns typically experienced during such periods.
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 Co Movement Between South Asian and Developed Equity Markets written by Searat Ali and published by LAP Lambert Academic Publishing. This book was released on 2012 with total page 132 pages. Available in PDF, EPUB and Kindle. Book excerpt: Increased globalization among economies of the world and crisis events has brought amplified interest of academics and investors to the subject of co-movement among the stock markets of the globe. Owing to amplified connection among developed markets, the attraction of South Asian markets as an avenue for potential diversification has augmented considerably. As Investors from developed markets are looking to invest in emerging South Asian markets so there is a need to investigate the linkage between Developed and South Asian markets. This book incorporates the crisis events such as such Asian financial Crisis, US 9/11 Incident and US Global financial crisis and investigates the level of comovement between developed and South Asian markets. Is there a weak integration among South Asian and developed markets? Do South Asian markets provide better chances of international portfolio diversification as compare to developed markets? What effect these crisis have on the level of comovement among South Asian and Developed equity markets? This book is useful to get the answer of these questions.
