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Author : Yuna Liu
Publisher :
ISBN 13 : 9789176014592
Total Pages : pages
Book Rating : 4.0/5 (145 download)
Download or read book Essays on Stock Market Integration written by Yuna Liu and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sofia Correia Brito Ramos
Publisher :
ISBN 13 :
Total Pages : 143 pages
Book Rating : 4.:/5 (249 download)
Download or read book Essays on Stock Market Integration written by Sofia Correia Brito Ramos and published by . This book was released on 2003 with total page 143 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Tiago Rodrigues Loncan
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (141 download)
Download or read book Essays on Stock Market Openness, Cost of Capital and Investment written by Tiago Rodrigues Loncan and published by . This book was released on 2017 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis examines the effects of stock market openness on the cost of equity capital and investment. Whilst theoretical models and extant empirical evidence suggest that emerging markets integration with global markets promotes risk sharing between domestic and foreign investors, reducing the cost of capital and increasing investments, other strands of research take a more critical stance, counter-arguing that integration is rather an imperfect process, with cost of capital benefits restricted to subsets of firms only, and that agency costs and weak levels of institutional development partially or fully impede gains from integration to be channeled to real investments. Motivated by this setup, this thesis contributes to the financial integration literature,in particular to the debate on the pros and cons of financial openness.
Author : Shaista Arshad
Publisher :
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.:/5 (973 download)
Download or read book Essays on Business Cycles and Stock Markets in the OIC written by Shaista Arshad and published by . This book was released on 2016 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: Over the past decades, much research has gone into establishing a link between business cycles and stock market as stock prices correlate with future economic activity on the basis that economic growth forms the source of corporate profits paid out to stockholders. It becomes imperative to assess empirically the stock market’s efficiency, volatility and integration with other markets to determine whether it is able to withstand influxes of capital. This thesis focuses on the OIC where despite high developmental potential, OIC stock exchanges are characterized with low levels of liquidity. Understanding where the OIC member states stand with these aspects will allow for formulating policies for better wealth management and efficient investments, which in turn promotes economic development. The first essay looks into the relationship between business cycles and stock market volatility using a multi-sequential analysis. It is found that in most parts our results support the classical belief that stock market volatility is lower in good times than in bad times. The second essay endeavours to test the weak-form Efficient Market Hypothesis for OIC member states. The results indicate an overall trend of improving efficiency throughout the sample period. The final essay focuses on market integration of OIC member countries; the results show that within the OIC, only a few countries, namely Malaysia, Indonesia and Turkey display higher levels of integration with relatively small variations over time. The other countries are confined to lower levels of market integration. In light of the ineffectiveness of the OIC stock markets, the thesis introduces the use of Islamic stock markets as alternative to conventional stock markets to enhance the economic performance of member countries and the region as a whole. Furthermore, as Muslim countries, OIC member countries must strive to strengthen the Islamic fundamentals.
Author : Wei Dong
Publisher : Open Dissertation Press
ISBN 13 : 9781361322192
Total Pages : pages
Book Rating : 4.3/5 (221 download)
Download or read book Two Essays on Stock Markets written by Wei Dong and published by Open Dissertation Press. This book was released on 2017-01-26 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation, "Two Essays on Stock Markets" by Wei, Dong, 董炜, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: This thesis contains two pieces of empirical study on market efficiency. The first essay tests the semi-strong form of market efficiency in the U.S. We use sell-side analyst target prices as publically available information and test the performance of a mean-variance optimized portfolio which is based on the Treynor and Black model. We focus on constituents of S&P 500 index as our sample universe. During the period of beck-testing from 2004 to 2010, we find that the dynamically rebalanced portfolio beats the market in 6 out of 7 years and that the strategy generates significant risk-adjusted abnormal returns. In the second essay we study the post-earnings-announcement drift (PEAD) phenomenon, a well-documented market anomaly, on the French stock market. Our empirical study devises a difference-in-difference policy experiment to test if trading activities by individual investors contribute to the magnitude of PEAD. We exploit a recent policy reform on the French stock market, which significantly increased speculative trading costs of individual investors and reduced their trading activities. The impact of reform is found twice as large on individual contrarian traders than momentum traders. Using a group of unaffected stocks to control for potential non-experimental factors, we find magnitude of PEAD dropped significantly after the reform in the experimented group but not in the experimented group but not in the control group. DOI: 10.5353/th_b5066221 Subjects: Stock exchanges Efficient market theory
Author : Kessara Thanyalakpark
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (318 download)
Download or read book Essays on Market Integration & Contagion in South East Asian Markets written by Kessara Thanyalakpark and published by . This book was released on 2000 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Maurice Obstfeld
Publisher : Cambridge University Press
ISBN 13 : 9780521671798
Total Pages : 386 pages
Book Rating : 4.6/5 (717 download)
Download or read book Global Capital Markets written by Maurice Obstfeld and published by Cambridge University Press. This book was released on 2004 with total page 386 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is an economic survey of international capital mobility from the late nineteenth century to the present.
Download or read book Institutional Trading, Trading Mechanisms and Equity Market Integration: Essays on the Polish Stock Market written by and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The launch of financial reforms in Central and Eastern Europe (CEE) at the beginning of the 1990s stimulated increased interest of investors and academics in the newly-born stock markets of this region. Most of the existing studies, however, consider a group of the CEE markets, stressing their commonalities and discarding the fact that though these markets started at approximately the same time, due to the different starting conditions and reform paths, nowadays they differ considerably in terms of size and significance for domestic economies. In the present thesis, we focus on the Polish stock market, as it is considered to be an example of consistent and successful financial market reforms. There are, however, several important features pertaining to the institutional and regulation aspects of the Polish stock market that may impact formation of equity prices, which nevertheless failed to attract the interest of the researchers so far. Some of these features are common with other emerging markets, which makes the results of our study interesting to a broader international audience. This thesis consists of four separate self-contained essays. They extend four streams of the empirical literature on the developing European stock markets: investment behavior of institutional investors; impact of institutional demand on individual and aggregate stock prices; effects of trading mechanism regulation on stock return autocorrelation and volatility; predictability of stock returns due to long-run relationships between developing European and mature markets. Some of the results of the present research appear to challenge findings documented in the previous literature and question the extant policies, thus suggesting areas for future research.
Author : Sara Jane Zervos
Publisher :
ISBN 13 :
Total Pages : 234 pages
Book Rating : 4.:/5 (363 download)
Download or read book Essays on Stock Markets, Policy and Growth in Emerging Markets written by Sara Jane Zervos and published by . This book was released on 1995 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alonso E. Gomez Albert
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays in Market Integrations, and Economic Forecasting written by Alonso E. Gomez Albert and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yusuke Tateno
Publisher :
ISBN 13 :
Total Pages : 120 pages
Book Rating : 4.:/5 (826 download)
Download or read book Essays on International Comovements of Financial Markets written by Yusuke Tateno and published by . This book was released on 2011 with total page 120 pages. Available in PDF, EPUB and Kindle. Book excerpt: International portfolio diversification is beneficial only if asset returns are not significantly correlated across countries. Therefore, it is essential for investors who want to make an appropriate portfolio selection to understand the nature of asset return correlations. This thesis consists of three essays on international comovements of financial markets. The first essay analyzes the effects of heterogeneous beliefs and learning on international comovements of equity returns and portfolio rebalancing mechanism. This essay develops a continuous-time general equilibrium model in a two-asset and two-good economy with two representative agents, who differ in perceived rates of output growth and accuracy of beliefs. The equilibrium correlations of equity returns across counties and optimal portfolios are expressed in terms of the differences in beliefs. The main findings are: (1) the differences in perceived rates of output growth generate equity home or foreign bias, resulting in lower crosscountry equity return correlations; and (2) the volatilities of optimal portfolios and capital flows increase with the differences in perceived output growth and with the differences in accuracy of beliefs. The second essay studies the effects of trade costs in goods market on international comovements of equity markets and those on equity home bias. This essay develops a continuous-time general equilibrium model in a two-country, two-asset, and two-good setting where international trade of goods is costly. I solve for the optimal portfolios and the equilibrium correlations of cross-country equity returns and analyze how they change depending on the size of trade costs, the coeiffcient of risk aversion, and the elasticity of substitution between domestic and foreign goods. It is found that the cross-country equity return correlations decrease with the size of trade costs. This result is robust to different sizes of trade costs and asymmetry related to potential growth and consumer preferences. It is also found that the size of the trade costs and other parameter values determine whether trade costs would generate equity home bias or foreign bias. The third essay is devoted to an empirical analysis of the effects of financial integration on international comovements of financial markets. The essay provides a characterization of synchronization among 24 countries over the period 1980-2003. A country-pair panel instrumental variables framework is employed to explain time-varying bilateral correlations among national stock returns, by utilizing the dataset on trade costs in Fitzgerald (2008). It is found that finnancial integration driven by reduction of trade costs leads to a higher degree of synchromization across stock markets.
Author : Anders C. Johansson
Publisher : Goteborg University
ISBN 13 :
Total Pages : 180 pages
Book Rating : 4.3/5 (91 download)
Download or read book Essays in Empirical Finance written by Anders C. Johansson and published by Goteborg University. This book was released on 2007 with total page 180 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260216
Total Pages : 428 pages
Book Rating : 4.2/5 (262 download)
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.
Author : E. Dorodnykh
Publisher : Springer
ISBN 13 : 1137381701
Total Pages : 156 pages
Book Rating : 4.1/5 (373 download)
Download or read book Stock Market Integration written by E. Dorodnykh and published by Springer. This book was released on 2015-12-11 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an original approach to the determinants of stock exchange integration. With case studies of successful integration projects in Europe, North America, Latin America as well as intercontinental cross-border mergers, it provides a complete analysis of all existing integration projects between stock exchange markets.
Author : Amir Akbari
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (953 download)
Download or read book Three Essays on Empirical Asset Pricing written by Amir Akbari and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: "This thesis explores the role of borrowing frictions, exchange rate risk, and intertemporal demand in stock prices across international financial markets. Specifically, I study how global asset prices are governed, considering the constraints and incentives that investors face when making investment decisions. The first essay adds a new dimension to the research on the dynamics of global market integration, providing an explanation for reversals in market integration via funding illiquidity. I show that when funding capital dries out, investors, unable to borrow and trade freely, fail to facilitate the integration process. Therefore, international asset prices during these periods are explained more by country-specific asset pricing factors than by global asset pricing factors. The second essay explores the role of exchange rate risk and intertemporal demand in international markets. These sources of risk are linked via the interest rate channel and are both likely proxies of the state variables that affect asset prices over time. We carefully disentangle the two risk factors and study the international equity market indices with multiple risk factors in a large cross-section through time. We show that the evidence of global pricing of risk crucially hinges on pooling assets with substantial cross-sectional variation. The third essay introduces a methodological innovation to study the dynamics of the compensation for the intertemporal risk in business cycles. Specifically, we contribute to the empirical asset pricing literature by studying the relative importance of prices of intertemporal risk during recessions, recoveries, and expansions." --
Author : Aaron Paul Burt
Publisher :
ISBN 13 :
Total Pages : 153 pages
Book Rating : 4.:/5 (1 download)
Download or read book Essays on Information Diffusion and Stock Markets written by Aaron Paul Burt and published by . This book was released on 2017 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation is a compilation of three separate research studies that explore how information diffuses in financial markets. The first chapter examines how non-uniform information diffusion through distinct networks segments U.S. financial markets. Using changes in newspaper ownership networks, I document that a network link between different geographic areas leads to increased comovement of turnover and returns between stocks headquartered in those areas. Consistent with delayed content sharing within a network, the largest increase in comovement is observed using weekly data. I show that the network-driven comovement is not driven by fundamentals and is weaker for large firms with high institutional ownership and decreases over time. I also document that a network link causes price levels of linked stocks to become more similar. My findings show that segmented information networks lead to segmented financial markets with implications for market efficiency, home bias, and the effects of changes in the U.S. media landscape on financial markets. The second chapter shows that investors do not fully monitor the information about directors available in the past prices of firms within the network the directors oversee. A long-short portfolio using this information yields an annual alpha of 6.6%. This predictability is limited to when firms share a director and is not driven by industry or previously identified economic links between firms. The predictability is largest in the long end, when small firms predict big firms, and when information on shared directors is costlier to obtain. Trading by the shared directors is a key mechanism: filtering on their trades increases the annual alpha to 15%. The third chapter studies the econometric properties of a commonly used network-based measure of information diffusion between economically linked firms. Previous studies use this measure to document failures of market efficiency with price discovery requiring up to a year. The measure is constructed as the long-short alpha of portfolios formed sorting on the preceding returns of firms economically linked to portfolio firms. We show that correlated alphas between linked firms bias these measures. Existing studies have monthly biases as large as a factor of two. This bias creates predictability even after price discovery completes. Subtracting the predicted return from the sorting firms' returns removes this bias. Eliminating this bias reveals a more efficient market than previously documented: price discovery takes one month.
Author : Ahrang Lee
Publisher :
ISBN 13 :
Total Pages : 58 pages
Book Rating : 4.:/5 (813 download)
Download or read book Essays on Financial Frictions and Financial Integration written by Ahrang Lee and published by . This book was released on 2012 with total page 58 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This dissertation addresses two questions regarding international financial market integration and financial frictions. Does stock market volatility in a country raise that in other countries? To answer this question, I conduct two types of empirical exercises. I fit a simple bivariate vector augoregressions (VAR), which show a persistent positive response of domestic volatility to a shock in external volatility. In addition, I run two stage least squares on domestic volatility to resolve the problem of an endogenous explanatory variable. Disaster shocks are used as the instrument for external volatility. I find that international spillovers do occur in stock markets. In particular, one standard deviation increase in external volatility raises domestic volatility by at least 0.3 standard deviations. Moreover, I show that disaster shocks are a valid and robust instrument for volatility. To the best of my awareness, this is the first work addressing the issue of endogeneity in international stock markets with instrument variables. The second question asks if fixed costs to using financial intermediation are quantitatively important in explaining income differences across-countries. I introduce fixed costs into an entrepreneurship model with financial frictions where agents are heterogeneous in their financial assets, entrepreneurial ability and labor productivity. I find that the fraction of agents using financial intermediation substantially decreases as fixed costs increase. Fixed costs as low as 11 per cent of typical year's income lower the intermediated population from almost one to one fifth. Fixed costs also reduce accumulation of capital by 20 per cent as they restrict the intermediated population. Lastly, barriers to financial intermediation play an important role in increasing wealth inequality within an economy and across economies. The aforementioned fixed costs raise the wealth Gini index from 0.78 to 0.92 and reduce aggregate income by 10 per cent. That is, the fixed costs alone can explain 10 per cent of income difference between, for example, Belgium and Guyana.
