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The Dynamics of Emerging Stock Markets Empirical Assessments and Implications

:	Mohamed El Hedi Arouri, Fredj Jawadi, Duc Khuong Nguyen
:	The Dynamics of Emerging Stock Markets Empirical Assessments and Implications
:	Physica-Verlag
:	9783790823899
:	1
:	CHF 85.30
:

:	Betriebswirtschaft
:	English

:	205
:	Wasserzeichen
:	PC/MAC/eReader/Tablet
:	PDF

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.

	189769_1_En_BookFrontmatter_OnlinePDF	1
	189769_1_En_1_Chapter_OnlinePDF	13
	Chapter 1: Emerging Markets: Overview and Performance Analysis	13
	Basics of Emerging Markets	13
	The Concept of Emerging Markets	14
	Dispersions Among Emerging Markets	15
	Capital Markets	17
	Emerging Markets´ Access to External Financing	18
	Bond MarketsBond markets	19
	Syndicated Loan Markets	20
	Stock Markets	21
	Risk and Return Characteristics of Emerging Stock Markets	23
	Risk and Returns	24
	Correlation	26
	The Process of Market Integration and Risk-return Tradeoff	28
	The Case of Complete Integration	28
	The Case of Partial Market Integration	29
	Specific Risks	30
	Political Risk	30
	Liquidity Risk	31
	Currency Risk	31
	Investing in Emerging Markets: Why and How?	32
	Advantages of Emerging Markets	32
	Risk Diversification Benefits	32
	A More Maturing Asset Class in Emerging Markets	34
	Accessibility to Foreign Investors	34
	Market Entry Methods	35
	The Future of Emerging Market Investments	36
	Summary	38
	References	39
	189769_1_En_2_Chapter_OnlinePDF	40
	Chapter 2: Dynamic Process of Financial Reforms	40
	Oil Shocks and Economic Recession in the 1970s	40
	Financial Liberalization as a Solution to Economic Development	41
	Liberalization Methods and Indicators	42
	Official Versus Effective Liberalizations	42
	Liberalization Indicators	43
	Foreign Capital Flows	43
	American Depositary ReceiptsAmerican Depositary Receipts (ADRs)	46
	Closed-End Country Funds	48
	Dynamics of Liberalization Process	50
	The Gradual Process of Financial Liberalization	50
	The Intensity of Liberalization	51
	Challenges in Measuring Liberalization Effects	54
	Financial Impacts of Liberalization	55
	Cost of Capital	56
	Observed Volatility	58
	Unconditional Cross-Market Correlation	61
	Stock Market Development	64
	Summary	64
	References	65
	189769_1_En_3_Chapter_OnlinePDF	66
	Chapter 3: Asset Pricing Models	66
	Introduction	66
	The Capital Asset Pricing Model	67
	Theoretical Framework of the Model	67
	The Portfolio Theory	67
	The Market Model	68
	The CAPM	69
	Hypotheses	69
	Derivation of the Model	69
	Systematic Risk Versus Specific Risk	71
	Extensions of the Original Model	71
	Empirical Tests of the CAPM	73
	Arbitrage Pricing Theory	75
	Theoretical Framework of the Model	75
	Model Hypotheses	76
	The Arbitrage Portfolio	77
	Derivation of the Valuation Relationship	77
	APT and CAPM	78
	Extensions of the APT: Towards the Equilibrium APT	79
	Empirical Tests of the APT	79
	Particularities of Asset Pricing in Emerging Markets	80
	Summary	81
	References	82
	189769_1_En_4_Chapter_OnlinePDF	83
	Chapter 4: Threshold Stock Price Adjustments	83
	Introduction	83
	Economic Justifications of Nonlinearity in Stock Price Dynamics	84
	Market Microstructure Approach	84
	Behavioral Finance Approach	85
	Nonlinearity and Emerging Stock Markets	86
	Threshold Econometric Modeling	88
	Brief Presentation of Threshold Models	88
	Mixing Tests	90
	Empirical Results and Discussions	91
	Data and Preliminary Tests	91
	Mixing Test Results	92
	Estimation of ESTECMs	92
	Essays in Nonlinear Modeling of Oil and Stock Market Linkages	95
	Summary	98
	References	99
	189769_1_En_5_Chapter_OnlinePDF	100
	Chapter 5: Evolving Stock Market Efficiency	100
	Theory of Stock Market Efficiency	100
	The Concept	101
	Consequences of the Market Efficiency	102
	Three Forms of Informational Efficiency	104
	Empirical Evidence	105
	Anomalies to Market Efficiency	106
	Informational Efficiency in Emerging Stock Markets	107
	Challenges to Market Efficiency	108
	Usual Tests and Evidence on Market Efficiency	110
	Autocorrelation Tests	110
	Run Tests	110
	Random Walk Tests	111
	Financial Liberalization and Market Efficiency	112
	Structural Reforms and Hypothesis of Evolving Efficiency	114
	Rationale of the Evolving Efficiency	114
	Econometric Specification	115
	Weak Form Efficiency and Transaction Costs	117
	Results and Discussions	118
	Summary Statistics	118
	The Evidence of Time-Varying Predictability	119
	Argentina	121
	Brazil	122
	Malaysia	122
	Mexico	123
	Thailand	123
	The Effect of Financial Liberalization	124
	Implications of the Results	128
	Summary	128
	References	128
	189769_1_En_6_Chapter_OnlinePDF	131
	Chapter 6: Stock Market Volatility	131
	Introduction	131
	Financial Risk and Its Assessment	132
	Empirical Approach	132
	Probabilistic Approach	133
	Behavior and Sources of Emerging Market Volatility	134
	Time-Varying Volatility Models	135
	Linear ARCH Models	136
	Nonlinear ARCH Models	138
	EGARCH Models	138
	TGARCH Models	138
	ARCH-M Models	139
	Volatility Modeling and Tests	140
	ARCH Test	140
	Estimation Procedure	140
	Empi