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Author: Duc Khuong Nguyen Publisher: ISBN: Category : Languages : en Pages :
Book Description
The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. We first estimate a bivariate GARCH-M model to obtain conditional volatility series for each market. Second, we test for significant structural breaks in the conditional volatility series to determine whether the observed break dates coincide with any of the stock market reforms. Third, the effect of liberalization policy on market volatility is formally tested using a pooled time-series cross-section estimation that includes a host of explanatory variables in addition to market reform variables. Overall, the results indicate that structural breaks in the dynamic patterns of the sample emerging market volatility do not happen together with official liberalization dates, but they coincide with ADR/Country Fund dates and with dates of large increases in the US capital flows. The pooled estimation generally supports the findings from structural break analysis. Hence, it is possible to claim that liberalization methods other than liberalization via a formal policy decree are the ones that significantly affect volatility.
Author: Duc Khuong Nguyen Publisher: ISBN: Category : Languages : en Pages :
Book Description
The main objective of this paper is to test for structural breaks and dynamic changes in emerging market volatility from January 1985 to January 2003. We typically relate these issues to stock market reforms since the latter is often considered as one of the most important forces that promote economic growth and rapid maturation of the emerging markets of the world. We first estimate a bivariate GARCH-M model to obtain conditional volatility series for each market. Second, we test for significant structural breaks in the conditional volatility series to determine whether the observed break dates coincide with any of the stock market reforms. Third, the effect of liberalization policy on market volatility is formally tested using a pooled time-series cross-section estimation that includes a host of explanatory variables in addition to market reform variables. Overall, the results indicate that structural breaks in the dynamic patterns of the sample emerging market volatility do not happen together with official liberalization dates, but they coincide with ADR/Country Fund dates and with dates of large increases in the US capital flows. The pooled estimation generally supports the findings from structural break analysis. Hence, it is possible to claim that liberalization methods other than liberalization via a formal policy decree are the ones that significantly affect volatility.
Author: Elena Andreou Publisher: ISBN: Category : Languages : en Pages : 35
Book Description
The paper evaluates the performance of several recently proposed tests for structural breaks in conditional variance dynamics of asset returns. The tests apply to the class of ARCH and SV type processes as well as data-driven volatility estimators using high-frequency data. In addition to testing for the presence of breaks, the statistics identify the number and location of multiple breaks. We study the size and power of the new tests for detecting breaks in the conditional variance under various realistic univariate heteroskedastic models, change-point hypotheses and sampling schemes. The paper concludes with an empirical analysis using data from the stock and FX markets for which we find multiple breaks associated with the Asian and Russian financial crises. These events resulted in changes in the dynamics of volatility of asset returns in the samples prior and post the breaks.
Author: Mohamed El Hedi Arouri Publisher: Springer Science & Business Media ISBN: 3790823899 Category : Business & Economics Languages : en Pages : 214
Book Description
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.
Author: Nezameddin Faghih Publisher: Springer Nature ISBN: 3030613429 Category : Business & Economics Languages : en Pages : 397
Book Description
Economic, social, political, and cultural institutions, and institutional change reflect shared journeys of humanity throughout history. This edited volume explores dynamics, trends, and implications of institutional change in emerging markets, by focusing on theories, concepts, and mechanisms of institutional development. Presenting research by eminent scholars and experts engaged in education and research, they address and discuss the most recent issues in the field, reveals new insights into the dynamics of institutional change for researchers interested in development of new theories and comparative studies, especially in the era of emerging markets. Topics range from dynamics of institutional change and development within the Group of Twenty (G20), and the European Union with an assessment of Brexit impact, to institutional quality measurement, public administration reforms, as well as emergent topics such as the effects of energy and globalization. It provides new international business theories, and sheds light on the way to global peace by producing a better understanding of the dynamics of historical change. The book is intended for a wide range of global audience, and should serve as a useful reference in education and research, offering innovative and productive discussions, as well as satisfy scholarly and intellectual interests, regarding institutional development and a broad spectrum of its interactions with functioning of markets and economies.
Author: Luísa Cagica Carvalho Publisher: Springer ISBN: 3319764004 Category : Business & Economics Languages : en Pages : 351
Book Description
Entrepreneurial ecosystems involve a complex synergy of factors, including social and structural changes that are frequently cumulative within territories, promoting the improvement of citizens’ quality of life and higher development levels. Further, dynamic territories are characterized by constant change, activity and progress. Each chapter in this volume examines a specific entrepreneurial ecosystem in an effort to describe why and how certain companies and organizations manage to overcome adversities and achieve strong performance, while others fail. Unlike the conventional focus, the volume examines microenterprises and Small and Medium Enterprises (SMEs), while also discussing selected experiences and case studies from developed and developing countries alike.
Author: Walter Krämer Publisher: Springer Science & Business Media ISBN: 3642484123 Category : Business & Economics Languages : en Pages : 134
Book Description
Econometric models are made up of assumptions which never exactly match reality. Among the most contested ones is the requirement that the coefficients of an econometric model remain stable over time. Recent years have therefore seen numerous attempts to test for it or to model possible structural change when it can no longer be ignored. This collection of papers from Empirical Economics mirrors part of this development. The point of departure of most studies in this volume is the standard linear regression model Yt = x;fJt + U (t = I, ... , 1), t where notation is obvious and where the index t emphasises the fact that structural change is mostly discussed and encountered in a time series context. It is much less of a problem for cross section data, although many tests apply there as well. The null hypothesis of most tests for structural change is that fJt = fJo for all t, i.e. that the same regression applies to all time periods in the sample and that the disturbances u are well behaved. The well known Chow test for instance assumes t that there is a single structural shift at a known point in time, i.e. that fJt = fJo (t
Author: Cheng F. Lee Publisher: Center for PBBEFR & Airiti Press ISBN: 9864371401 Category : Business & Economics Languages : en Pages :
Book Description
Advances in Investment Analysis and Portfolio Management (New Series) is an annual publication designed to disseminate developments in the area of investment analysis and portfolio management. The publication is a forum for statistical and quantitative analyses of issues in security analysis, portfolio management, options, futures, and other related issues. The objective is to promote interaction between academic research in finance, economics, and accounting and applied research in the financial community.
Author: Bhaskar Bagchi Publisher: Emerald Group Publishing ISBN: 1786355531 Category : Business & Economics Languages : en Pages : 225
Book Description
This book examines the dynamic relationship and volatility spillovers between crude oil prices, exchange rates and stock markets of emerging economies. Unfortunately very little research has been conducted to analyze the volatility spillovers and dynamic relationship between crude oil prices, exchange rates and stock markets of India.
Author: Aswini Kumar Mishra Publisher: Springer ISBN: 3319995553 Category : Business & Economics Languages : en Pages : 299
Book Description
This proceedings volume highlights important points of achieving a balanced and sustained growth path from diverse economics and finance perspectives, touching on a wide array of economic and social analyses in India. Featuring contributions presented at the 2018 International Conference on Economics and Finance (ICEF-2018) held at the Birla Institute of Technology and Science, Pilani, Goa, India, the enclosed papers explore topics such as inflation dynamics, information transmission in post-recession era, leverage effect and volatility asymmetry, structural change and economic growth and reforming tax systems, among others. The Indian economy today is remarkable and, not surprisingly, it is growing very rapidly. It has emerged as the fastest growing major economy in the world as per the Central Statistical Organization (CSO) and International Monetary Fund (IMF) and it is expected to be one of the top three economic powers of the world over the next 10 to15 years, backed by its strong democracy and partnership. At the backdrop of impressive progress of the Indian economy during the last two decades, the question that remains to be answered is does India still have a long way to go before it is functioning well as a market economy? This book critically examines the performance of the Indian economy at the national, state and sectorial levels. Featuring contributions from leading academicians, scholars and practitioners from Asia and the rest of the world, this book is an asset to students, professors, scholars, practitioners and policy makers in the areas of India economics, finance and sustainable development.
Author: Duc Khuong Nguyen
Author: Duc Khuong Nguyen
Author: Elena Andreou
Author: Mohamed El Hedi Arouri
Author: Nezameddin Faghih
Author: Luísa Cagica Carvalho
Author: Walter Krämer
Author: Dr GangineniDhanaiah
Author: Cheng F. Lee
Author: Bhaskar Bagchi
Author: Aswini Kumar Mishra