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Stock Market Liberalization And Informational Efficiency In Emerging Markets
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Book Synopsis Stock Market Liberalization and Informational Efficiency in Emerging Markets by : Duc Khuong Nguyen
Download or read book Stock Market Liberalization and Informational Efficiency in Emerging Markets written by Duc Khuong Nguyen and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: On testing the impact of stock market liberalization on weak form market efficiency in emerging market countries, previous studies often provide divergent results. This paper revisits this empirical literature by using a time-varying parameter model which enables us to handle the gradual effects induced by stock market liberalization on informational efficiency. The model also corrects for both the serial correlation in return structure and volatility risk premium of local markets. First, we show that while some markets tend to converge to more efficient markets in the aftermath of stock market liberalization, others moved away from efficient state. For markets which were already efficient before financial liberalization implementations, the informational efficiency appears to be more apparent in recent years. Second, although we document significant effects of stock market liberalization on efficiency after controlling for economic and political perspectives, the direction of effects remains inconclusive because empirical results tend to be country-specific. Finally, it is worth noting that conditional stock market volatility has no significant impact on the expected returns.
Author :Mohamed El Hedi Arouri Publisher :Springer Science & Business Media ISBN 13 :3790823899 Total Pages :214 pages Book Rating :4.7/5 (98 download)
Book Synopsis The Dynamics of Emerging Stock Markets by : Mohamed El Hedi Arouri
Download or read book The Dynamics of Emerging Stock Markets written by Mohamed El Hedi Arouri and published by Springer Science & Business Media. This book was released on 2009-12-24 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis The Impact of Stock Market Liberalization on the Efficiency of Emerging Stock Markets by : Sonali Jain-Chandra
Download or read book The Impact of Stock Market Liberalization on the Efficiency of Emerging Stock Markets written by Sonali Jain-Chandra and published by . This book was released on 2002 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: During the last two decades, many emerging markets have embarked on a course of economic reform, including stock market liberalization. This paper addresses the question of whether these markets have become more informationally efficient in the years following liberalization. We find that emerging stock markets become more efficient following liberalization. Additionally, using a panel data set on sixteen liberalizing countries and various measures of liquidity, we show that liberalization leads to enhanced liquidity after controlling for size and other factors. Furthermore, this paper addresses the question whether the increase in efficiency could be the result of an increase in liquidity. This paper concludes that an increase in liquidity leads to a decrease in market inefficiency. This confirms the intuition that enhanced liquidity might render emerging stock markets more efficient.
Book Synopsis Informational Efficiency in Developing Equity Markets by : Mr.Paul Cashin
Download or read book Informational Efficiency in Developing Equity Markets written by Mr.Paul Cashin and published by International Monetary Fund. This book was released on 1995-06-01 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986–93. The analysis is carried out in two steps. The parameters of agents’ dynamic consumption and investment decisions are first estimated, and then the implied equity market price, based on market fundamentals, is compared with the actual evolution of equity market prices. While the informational efficiency of each of the three markets is found to be deficient, the causes of market inefficiency are varied. For Jordan it appears that a large negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it is likely that institutional and legal rigidities in equity and banking markets resulted in these markets being illiquid, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial markets occurred.
Book Synopsis Informational Efficiency in Developing Equity Markets by : Paul Anthony Cashin
Download or read book Informational Efficiency in Developing Equity Markets written by Paul Anthony Cashin and published by . This book was released on 2006 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt: The issue of informational efficiency in the evolution of asset prices is examined using data on equity markets in Jordan, Turkey and Pakistan over the period 1986-93. The analysis is carried out in two steps. The parameters of agents` dynamic consumption and investment decisions are first estimated, and then the implied equity market price, based on market fundamentals, is compared with the actual evolution of equity market prices. While the informational efficiency of each of the three markets is found to be deficient, the causes of market inefficiency are varied. For Jordan it appears that a large negative shock to economic activity in the late 1980s caused agents to discount market fundamentals. For Turkey and Pakistan it is likely that institutional and legal rigidities in equity and banking markets resulted in these markets being illiquid, although this lack of market depth did reduce in severity for Turkey over the sample period, as liberalization of financial markets occurred.
Author :Gourishankar S. Hiremath Publisher :Springer Science & Business Media ISBN 13 :8132215907 Total Pages :135 pages Book Rating :4.1/5 (322 download)
Book Synopsis Indian Stock Market by : Gourishankar S. Hiremath
Download or read book Indian Stock Market written by Gourishankar S. Hiremath and published by Springer Science & Business Media. This book was released on 2013-10-28 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt: India is one of the major emerging economies of the world and has witnessed tremendous economic growth over the last decades. The reforms in the financial sector were introduced to infuse energy and vibrancy into the process of economic growth. The Indian stock market now has the largest number of listed companies in the world. The phenomenal growth of the Indian equity market and its growing importance in the economy is indicated by the extent of market capitalization and the increasing integration of the Indian economy with the global economy. Various schools of thought explain the behaviour of stock returns. The Efficient Market Theory is the most important theory of the School of Neoclassical Finance based on rational expectation and no-trade argument. The book investigates the growth and efficiency of the Indian stock market in the theoretical framework of the Efficiency Market Hypothesis (EMH). The main objective of the present study is to examine the returns behaviour in the Indian equity market in the changed market environment. A detailed and rigorous analysis, made with the help of the sophisticated time series econometric models, is one of the key elements of this volume. The analysis empirically tests the random walk hypothesis and focuses on issues like nonlinear dynamics, structural breaks and long memory. It uses new and disaggregated data on recent reforms and changes in the market microstructure. The data on various indices including sectoral indices help in measuring the relative efficiency of the market and understanding how liquidity and market capitalization affect the efficiency of the market.
Book Synopsis Emerging Capital Markets and Globalization by : Augusto de la Torre
Download or read book Emerging Capital Markets and Globalization written by Augusto de la Torre and published by World Bank Publications. This book was released on 2006-10-20 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
Book Synopsis Information Efficiency and Anomalies in Asian Equity Markets by : Qaiser Munir
Download or read book Information Efficiency and Anomalies in Asian Equity Markets written by Qaiser Munir and published by Taylor & Francis. This book was released on 2016-10-04 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient market hypothesis (EMH) maintains that all relevant information is fully and immediately reflected in stock prices and that investors will obtain an equilibrium rate of return. The EMH has far reaching implications for capital allocation, stock price prediction, and the effectiveness of specific trading strategies. Equity market anomalies reflect that the market is inefficient and hence, contradicts the EMH. This book gathers both theoretical and practical perspectives, by including research issues, methodological approaches, practical case studies, uses of new policy and other points of view related to equity market efficiency to help address the future challenges facing the global equity markets and economies. Information Efficiency and Anomalies in Asian Equity Markets: Theories and evidence is an insightful resource that will be useful for students, academics and professionals alike.
Book Synopsis Institutional Reform in Emerging Securities Markets by : Robert Pardy
Download or read book Institutional Reform in Emerging Securities Markets written by Robert Pardy and published by . This book was released on 1992 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Developing a securities market is a long-term, multifaceted task that requires extensive institutional development, for which there are few shortcuts. And many of the changes required have both positive and negative ramifications in other parts of the financial system and the economy.
Book Synopsis Trade Openness and the Weak-Form Efficiency of Emerging Stock Markets by : Kian-Ping Lim
Download or read book Trade Openness and the Weak-Form Efficiency of Emerging Stock Markets written by Kian-Ping Lim and published by . This book was released on 2008 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92] develop a theoretical model that predicts financial opening without trade reform does not lead to higher weak-form efficiency. The present paper brings their proposition to the data of 23 emerging stock markets. In general, the key results from fixed effects panel regressions support their prediction that trade liberalization, rather than financial openness, matters the most for informational efficiency. However, our empirical findings are not consistent with their postulated mechanisms through which it occurs. Firstly, it is not the official removal of non-tariff barriers that leads to higher stock price informativeness. What really matters for stock market investors is the actual level of economy integration in the reforming country with the world. Secondly, it is not the actual gain in productive efficiency in the real sector that leads to higher weak-form market efficiency. Instead, stock prices incorporate information about the expected gain from trade openness, such as higher future profitability or greater future productivity growth.
Book Synopsis Financial Management from an Emerging Market Perspective by : Soner Gokten
Download or read book Financial Management from an Emerging Market Perspective written by Soner Gokten and published by BoD – Books on Demand. This book was released on 2018-01-17 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt: One of the main reasons to name this book as Financial Management from an Emerging Market Perspective is to show the main differences of financial theory and practice in emerging markets other than the developed ones. Our many years of learning, teaching, and consulting experience have taught us that the theory of finance differs in developed and emerging markets. It is a well-known fact that emerging markets do not always share the same financial management problems with the developed ones. This book intends to show these differences, which could be traced to several characteristics unique to emerging markets, and these unique characteristics could generate a different view of finance theory in a different manner. As a consequence, different financial decisions, arrangements, institutions, and practices may evolve in emerging markets over time. The purpose of this book is to provide practitioners and academicians with a working knowledge of the different financial management applications and their use in an emerging market setting. Six main topics regarding the financial management applications in emerging markets are covered, and the context of these topics are "Capital Structure," "Market Efficiency and Market Models," "Merger and Acquisitions and Corporate Governance," "Working Capital Management," "Financial Economics and Digital Currency," and "Real Estate and Health Finance."
Book Synopsis Stock Markets in Developing Countries by : Mansoor Dailami
Download or read book Stock Markets in Developing Countries written by Mansoor Dailami and published by World Bank Publications. This book was released on 1990 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt: With foreign capital funds dwindling, governments in many developing countries-- with increased Bank support-- are looking to develop capital markets to provide risk capital for the corporate sector. But first, some basic issues must be empirically explored.
Book Synopsis An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices by : Matthew R. Morey
Download or read book An Empirical Examination of Financial Liberalization and the Efficiency of Emerging Market Stock Prices written by Matthew R. Morey and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The efficient markets hypothesis in finance suggests that as equity markets are liberalized and made more open to the public, equity prices should reflect the increased availability of information and be more efficiently priced. In this paper, we examine whether emerging market equity prices have become more efficient after financial liberalization. Using two sets of financial liberalization dates, a battery of econometric tests, and data from sixteen countries and three composite portfolios, we find that in spite of theory suggesting the opposite, liberalization does not seem to have improved the efficiency of emerging markets. In fact, most of our statistical tests indicate that the markets were already efficient before the actual liberalization.
Book Synopsis An Empirical Analysis of the Weak-form Efficiency of Stock Markets by :
Download or read book An Empirical Analysis of the Weak-form Efficiency of Stock Markets written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The main objective of this thesis is to show that additional insights, beyond the verdict of market efficiency/inefficiency, can be obtained from those existing statistical tests of the weak-form efficient markets hypothesis (EMH). As an introduction, Chapter 1 provides the background and outline of this thesis. Chapter 2 then surveys the relevant literature and discusses the motivations behind the development of the three key research questions addressed in Chapter 3 through 5, respectively. Chapter 3 examines the association between trade liberalization and the weak-form efficiency of stock market, motivated by the production-based asset pricing model of Basu and Morey [Trade opening and the behavior of emerging stock market prices, Journal of Economic Integration 20(1), 2005, 68-92]. Using data from 23 developing countries over the sample period of 1992-2006, we find that a greater level of de facto trade openness is associated with a higher degree of informational efficiency in these emerging stock markets, even after controlling for trading volume and market return volatility. Further analyses find no significant association between the extent of financial openness and the degree of informational efficiency. While Chapter 3 provides novel evidence on the association between trade openness and stock market efficiency, our empirical work can also be viewed as addressing the issue of whether the existing theoretical determinants (i.e. trading volume, return volatility, trade liberalization and financial openness) are capable of explaining the variations of index return autocorrelations across countries and over time. Chapter 4 employs the rolling bicorrelation test to measure the degree of nonlinear departures from a random walk for aggregate stock price indices of 50 countries over the common sample period of 1995-2005. We find that stock markets in economies with low per capita GDP in general experience more frequent price deviations than those in the high incom.
Book Synopsis Domestic Capital Market Reform and Access to Global Finance by : Peter Blair Henry
Download or read book Domestic Capital Market Reform and Access to Global Finance written by Peter Blair Henry and published by . This book was released on 2003 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Contrary to the predictions of standard economic theory, capital market liberalization has been a mixed blessing for many countries. Liberalization of debt inflows exposes economies to the risk of crises stemming from sudden changes in investor sentiment. Equity market liberalizations, on the other hand, have promoted growth in almost every liberalizing country. Yet equity market liberalizations have not had as strong an effect as might be expected. To convince outsiders to invest, countries must put in place laws and supporting institutions to protect the rights of minority shareholders. Countries with such protections tend to have larger, more efficient, and more stable stock markets than those that do not"--NBER website
Book Synopsis Information Efficiency in Financial and Betting Markets by : Leighton Vaughan Williams
Download or read book Information Efficiency in Financial and Betting Markets written by Leighton Vaughan Williams and published by Cambridge University Press. This book was released on 2005-09-29 with total page 412 pages. Available in PDF, EPUB and Kindle. Book excerpt: The degree to which markets incorporate information is one of the most important questions facing economists today. This book provides a fascinating study of the existence and extent of information efficiency in financial markets, with a special focus on betting markets. Betting markets are selected for study because they incorporate features highly appropriate to a study of information efficiency, in particular the fact that each bet has a well-defined end point at which its value becomes certain. Using international examples, this book reviews and analyses the issue of information efficiency in both financial and betting markets. Part I is an extensive survey of the existing literature, while Part II presents a range of readings by leading academics. Insights gained from the book will interest students of financial economics, financial market analysts, mathematicians and statisticians, and all those with a special interest in finance or gambling.
Book Synopsis The Role of Information on Stock Market by : Mustafa Khalid
Download or read book The Role of Information on Stock Market written by Mustafa Khalid and published by LAP Lambert Academic Publishing. This book was released on 2015-05-22 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The function of an efficient stock market is to process information, and thereby guide capital towards its best economic use. If stock price movements in emerging economies are mainly due to either politically driven shifts in property rights or noise trading. The invisible hand in stock market allocates capital poorly, thereby retarding economic growth..Modern finance theory emphasis the role information in asset markets.Karachi stock exchange (KSE) has been termed as one of the best performing emerging market during 1990. However, like many other emerging markets KSE is considered as shallow market, plays limited role to raise the funds and a fairly volatile market. The market has experienced the booms and bursts of comparatively shorter time duration. To play a required role in mobilization of capital in the economy, many steps were taken to open the market to foreign investors as well as to attract the local players. The institutional development and reforms resulted in more disclosure of information through frequent issue of quarterly and annual report, announcement of dividends, annual general meeting and issue the daily quotation.
