Read Books Online and Download eBooks, EPub, PDF, Mobi, Kindle, Text Full Free.
Download Essays On Transmission Of Information Across International Equity Markets full books in PDF, epub, and Kindle. Read online Essays On Transmission Of Information Across International Equity Markets ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author : Jon Wongswan Tang
Publisher :
ISBN 13 :
Total Pages : 238 pages
Book Rating : 4.:/5 (57 download)
Download or read book Essays on Transmission of Information Across International Equity Markets written by Jon Wongswan Tang and published by . This book was released on 2002 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Evan Warshaw
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (14 download)
Download or read book Essays on the Transmission of Risk and Volatility Across International Financial Markets written by Evan Warshaw and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jon Wongswan
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Transmission of Information Across International Equity Markets written by Jon Wongswan and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This article provides evidence of information transmission from the United States and Japan to Korean and Thai equity markets. Information is defined as important macroeconomic announcements in the United States, Japan, Korea, and Thailand. Using high-frequency intraday data, I find a large and significant association between developed-economy macroeconomic announcements and emerging-economy equity volatility and trading volume at short time horizons. Previous studies' findings of at most weak evidence of transmission from developed to emerging economies may be due to their use of lower frequency data and their focus on developed-economy financial market innovations as a proxy for information. (JEL E44, G14, G15).
Author : Carolina Salva
Publisher :
ISBN 13 :
Total Pages : 178 pages
Book Rating : 4.:/5 (515 download)
Download or read book Essays on International Equity Markets written by Carolina Salva and published by . This book was released on 2001 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Joon Woo Bae
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (133 download)
Download or read book THREE ESSAYS ON INTERNATIONAL ASSET PRICING. written by Joon Woo Bae and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The common thread running through my research is to explore the asset price dynamics across countries and across asset classes. In the first chapter of this thesis, I apply Newton's law of universal gravitation to investigate the determinants of the bilateral relationships in returns. Examining the gravity effect in a large set of countries, I find that the size of economies and geographical distance are significant determinants of the contemporaneous as well as the lead-lag correlation patterns observed in stock returns across countries. In addition, decomposing stock market returns into cash-flow and discount-rate news shows that the international transmission of country specific news is more pronounced through discount-rate news, and that the size of economies and geographical distance are significant determinants for both components of returns. In the second chapter, based on a joint work with Redouane Elkamhi and Mikhail Simutin, we propose a diversification approach that exploits the global connectedness of developed countries to gain exposure to emerging countries' overall economies rather than their shallow equity markets. In doing so, we demonstrate that developed markets still offer substantial diversification benefits beyond those available through equity indices, contrary to a large body of literature claiming that the benefits of international diversification via developed markets have dramatically declined. Our results also suggest that relying on equity indices to assess diversification benefits understates diversification gains. The third chapter explores the potential risk of investing in global markets. Specifically, my co-author Redouane Elkamhi and I study the two widely-known speculation strategies in the FX market, carry and momentum trades, and provide a risk-based explanation for the excess returns. We construct a common factor that drives correlation across international equity markets and show that the cross-sectional variations in the average excess returns across carry and momentum portfolios can be explained by different sensitivities to our correlation factor. By using a factor constructed from the equity market to explain abnormal return in the FX market, these findings shed light on the important linkage across the two markets through equity correlations as a main instrument of the aggregate risk.
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 : James Clifford Hackard
Publisher :
ISBN 13 :
Total Pages : 268 pages
Book Rating : 4.:/5 (788 download)
Download or read book Three Essays on Information Transmission in Financial Markets written by James Clifford Hackard and published by . This book was released on 2006 with total page 268 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Christoph Maximilian Schiller
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Essays on Information Transmission in Firm Networks and Financial Market Implications written by Christoph Maximilian Schiller and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three chapters on firm-level production networks, information production and dissemination, and their impact on corporate policies and investment decisions. Chapter 1 provides an introduction of the essays and summarizes their main findings. Chapter 2 examines the role of international supply-chain relationships for the transmission of corporate Environmental and Social (E) policies, and the resulting impact on real E outcomes and firm performance. E policies propagate from customers to suppliers, especially when customers have higher bargaining power and suppliers are in countries with lower ESG standards. This transmission mechanism matters: suppliers subsequently reduce their toxic emissions, litigation and reputation risk decreases, and financial performance improves. Chapter 3 develops a measure for the speed of information diffusion along supply-chains and documents a causal relationship between the attention of key market participants, i.e. dual-covering analysts and cross-holding institutional investors, and the speed measure. The speed of information diffusion plays an important role for feedback effects from stock prices to corporate investments: supplier managers rely more on information in customer (supplier) stock prices when the speed of information diffusion along the supply chain is slower (faster). Consequently, the diffusion speed affects the coordination of relationship-specific investments between customers and suppliers and future operating performance of suppliers. Chapter 4 shows that international supply-chain links are an important channel for the propagation of financial contagion around the world. Following large country-level shocks, such as market-index jumps or natural disasters, dynamic conditional correlation (DCC) between U.S. suppliers and their foreign customers increases significantly, beyond country-level and industry effects. Consistent with a credit-chain mechanism, the effect is asymmetric for positive and negative shocks, more pronounced for supply-chain pairs with a closer relationship, higher leverage, lower cash holdings and firm profitability, and increases with the costs of bankruptcy resolution in the customers countries.
Author : Amat Borisovich Adarov
Publisher :
ISBN 13 : 9781267286802
Total Pages : 256 pages
Book Rating : 4.2/5 (868 download)
Download or read book Essays on International Trade and Finance written by Amat Borisovich Adarov and published by . This book was released on 2012 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The dissertation consists of three papers exploring the macroeconomic implications of heterogeneity of countries in financial development, economic interconnectedness via trade and financial linkages. Chapter 1 examines whether countries which are more centrally located in the global trade network have more synchronized stock markets. Global trade data is used to construct a novel measure of random walk betweenness centrality (RWBC), measuring the extent to which a country lies on random pathways in-between other countries and is therefore likely to be a conduit in the transmission of a shock across global markets. Based on a panel dataset of 58 countries over the period 1990--2000, the study finds that higher centrality of a country in the world trade network is indeed associated with greater stock market synchronicity, ceteris paribus. Chapter 2 uses aggregate macroeconomic experiences of 118 countries over the period 1994--2008 to establish benchmark relationships between macroeconomic fundamentals and levels of financial development of the banking sector, equity markets, and private bond markets. The analysis quantifies the extent to which de-facto financial development of emerging market economies (EMEs) deviates from the levels predicted by their macroeconomic stance. While financial markets in Latin American EMEs are found to be well aligned with their macroeconomic fundamentals, Asian EMEs exceed their reference levels, and European EMEs are found to be systematically financially underdeveloped. No support is found for the argument that these misalignments are caused by heterogeneity in institutional development. Finally, chapter 3 studies the properties and evolution of the product space---a network of relatedness between products. We use bilateral trade data for 187 countries to construct the product space and export specialization of individual countries over the period 1965--2000. The study shows that the product space changed significantly during the 20th century and represents a highly uneven core-periphery structure. The highly interconnected core consists of three industries---chemicals, industrial machinery, and crude materials, each forming around 20% of all linkages. Product synergies that these "commanding heights" industries yield are strategically important for industrialization policies. Regression analysis confirms that specialization in these industries is associated with higher real income levels.
Author :
Publisher :
ISBN 13 :
Total Pages : 554 pages
Book Rating : 4.F/5 ( download)
Download or read book Dissertation Abstracts International written by and published by . This book was released on 2007 with total page 554 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Samuel Ogiemwonyi Imarhiagbe
Publisher :
ISBN 13 :
Total Pages : 182 pages
Book Rating : 4.:/5 (392 download)
Download or read book An Empirical Investigation of Information Transmission Between Advanced and Emerging Equity Markets and Implication for International Deversification written by Samuel Ogiemwonyi Imarhiagbe and published by . This book was released on 1997 with total page 182 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Katja Ida Maria Gisler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (973 download)
Download or read book Essays on the Economic Relevance of Volatility Spillovers written by Katja Ida Maria Gisler and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter focuses on the relevance of covariances in the transmission mechanism of variance spillovers across the US stock, US bond and gold markets. For that purpose, we perform a comparative spillover analysis between a model that considers covariances and a model that considers only variances. Our results emphasise the importance of covariances in the transmission mechanism. Including covariances leads to an overall increase of the spillover level and detects the beginnings of the financial crisis and of the US debt-ceiling crisis earlier than the spillover measure that considers only variances. The second chapter evaluates the role of the United States as a source of important spillover information in forecasting realised volatility for a large cross-section of international equity markets. For this purpose, we extend the heterogeneous autoregressive (HAR) model of realised volatility of Corsi (2009) by including US equity volatility information. More precisely, we augment the standard HAR model by US realised volatility and VIX HAR components, and compare it to the original HAR model across 17 international equity markets. Our in-sample and out-of-sample findings show that the US equity market volatility information is statistically significant and sizeable economically across all equity markets that we consider. The last chapter introduces a new system-wide network-based risk factor into the empirical asset pricing literature and examines its pricing ability for carry trade returns in currency markets. I find that system-wide volatility connectedness risk carries a significant and negative risk premium. That is, I show that low interest rate currencies are positively related to system-wide volatility connectedness risk, while high interest rate currencies display a negative correlation. Low interest rate currencies thus serve as a hedge during unexpectedly high system-wide volatility connectedness episodes, typical.
Author : Jongrim Ha
Publisher :
ISBN 13 :
Total Pages : 414 pages
Book Rating : 4.:/5 (1 download)
Download or read book Essays on Financial Integration, Financial Market Dependence, and Monetary Policy Transmission written by Jongrim Ha and published by . This book was released on 2016 with total page 414 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation offers three essays addressing critical topics in financial market dependence and monetary policy transmission in an era of financial integration: 1) the domestic effects of monetary policy (MP) shocks on market interest rates in small open economies, 2) international transmission of U.S. MP shocks to other open financial markets, and 3) volatility spillovers among financial markets in emerging market (EM) economies. The first chapter investigates the nature of monetary policy transmission in selected small open economies and the U.S. by estimating structural vector autoregressive (SVAR) models using the external instrument identification method. Differing from related studies on U.S. monetary policy, which mostly employ high-frequency futures rates to identify monetary policy shocks, the study proposes and tests alternative sets of external instruments for the focal open economies that do not yet have well-established futures markets in MP instruments. The second chapter focuses on the international transmission of U.S. monetary shocks into a variety of financial markets in open economies. I again exploit the external instrument approach to identify the impact of U.S. and domestic MP shocks in a SVAR system. Utilizing the identified shocks for the event study analysis and the local projection estimation, I further test non-linear features of such transmission. Empirical results from the first and second chapters provide a variety of meaningful insights. The results show that foreign exchange rates respond to monetary shocks flexibly, i.e., without generating puzzles raised by earlier studies and that the shocks strongly propagate into other types of open financial markets as well. The studies also confirm the significant transmission of domestic monetary shocks in open economies, but U.S. shocks appear to exhibit greater and more persistent influences over domestic asset prices than domestic shocks. Besides, the international propagation of U.S. shocks also demonstrate non-linear features. The third chapter investigates the occurrence of dependency between foreign exchange markets and stock markets in EM countries by testing volatility spillovers of asset returns. I modify the classical BEKK GARCH (1,1) model to study the dynamics and origins of volatility spillovers. The empirical results are threefold. First, volatility spillovers between financial markets are significant in most EM countries. Second, such spillovers are found to be contingent on the sample period and market conditions, a result that is generally consistent with findings in the literature on time-varying, asymmetric, and contagion-shift spillovers. Finally, the results suggest that, under normal conditions, the relevant spillovers are explained mostly by comovement from common information about fundamentals; during crises, however, while common information plays a role, market contagion also becomes an important source of spillovers.
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 : Martha Cruz Zuniga
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (154 download)
Download or read book Three Essays on International Transmission and Monetary Policy in Emerging Countries written by Martha Cruz Zuniga and published by . This book was released on 2006 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation investigates two aspects of foreign shocks that affect emerging countries: U.S. monetary shocks and workers' remittances. My attention in particular centers on the macroeconomic impact of these foreign shocks. More specifically, in the first essay (Chapter 2) I analyze the international transmission of U.S. monetary policy to emerging economies distinguishing between a direct transmission process and an augmented international transmission. In the augmented transmission mechanism, U.S. shocks may impact leading countries in different regions, and those countries' reactions then affect smaller countries. In the second essay (Chapter 3) I investigate the effects of monetary policy on stock market returns of emerging countries, distinguishing between the impact of domestic monetary policy and the impact of U.S. monetary actions, the latter is designed to capture the international transmission to stock markets. Finally, in the last essay (Chapter 4), I evaluate the impact of workers' remittances on money in developing countries under a framework where the monetary approach to the balance of payments and currency substitution are used. The empirical analysis in Chapters 2 and 3 is conducted using a sample of countries from Asia and Latin America. Results are extracted from impulse responses derived from vector error correction (VEC) models. The estimation in Chapter 4 relies on panel data and three-stage least squares regressions for a sample of Latin American countries with strong remittance presence. The results presented in this dissertation indicate that emerging economies are impacted by U.S. monetary actions and by workers' remittances. Emerging economies seem to benefit from contractionary monetary policy actions originated in the United States because output in emerging economies shows a positive response. In addition, some evidence of the significance of U.S. monetary actions on stock markets in emerging economies is found. In these countries, stock markets receive a significant influence from domestic and foreign monetary policy actions. In particular, increases in interest rates, which correspond to contractionary monetary policy, reduce stock market returns. With respect to workers' remittances, they exert a negative impact on the money demand in developing economies, which suggests that remittances can be a factor that may accelerate the currency substitution process in these countries.
Author :
Publisher :
ISBN 13 :
Total Pages : 776 pages
Book Rating : 4.3/5 (91 download)
Download or read book American Doctoral Dissertations written by and published by . This book was released on 2002 with total page 776 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Craig Scott Wo
Publisher :
ISBN 13 :
Total Pages : 304 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on International Equity Markets written by Craig Scott Wo and published by . This book was released on 1998 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:
