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Analyzing Stock Bond Correlation In Emerging Markets
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Book Synopsis Correlations in Emerging Market Bonds by : Mr.A. Javier Hamann
Download or read book Correlations in Emerging Market Bonds written by Mr.A. Javier Hamann and published by International Monetary Fund. This book was released on 2010-01-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the comovement in emerging market bond returns and disentangles the influence of external and domestic factors. The conceptual framework, set in the context of asset allocation, allows us to describe the channels through which shocks originating in a particular emerging or mature market are transmitted across countries and markets. We show that using a simple measure of cross-country correlations together with the commonly used average correlation coefficient can be more informative during episodes of heightened market instability. Data for the period 1997-2008 are analyzed for evidence of true contagion and common external shocks.
Book Synopsis Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets by : Nasha Ananchotikul
Download or read book Portfolio Flows, Global Risk Aversion and Asset Prices in Emerging Markets written by Nasha Ananchotikul and published by International Monetary Fund. This book was released on 2014-08-19 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years, portfolio flows to emerging markets have become increasingly large and volatile. Using weekly portfolio fund flows data, the paper finds that their short-run dynamics are driven mostly by global “push” factors. To what extent do these cross-border flows and global risk aversion drive asset volatility in emerging markets? We use a Dynamic Conditional Correlation (DCC) Multivariate GARCH framework to estimate the impact of portfolio flows and the VIX index on three asset prices, namely equity returns, bond yields and exchange rates, in 17 emerging economies. The analysis shows that global risk aversion has a significant impact on the volatility of asset prices, while the magnitude of that impact correlates with country characteristics, including financial openness, the exchange rate regime, as well as macroeconomic fundamentals such as inflation and the current account balance. In line with earlier literature, portfolio flows to emerging markets are also found to affect the level of asset prices, as was the case in particular during the global financial crisis.
Book Synopsis On International Integration of Emerging Sovereign Bond Markets by : Mr.Itai Agur
Download or read book On International Integration of Emerging Sovereign Bond Markets written by Mr.Itai Agur and published by International Monetary Fund. This book was released on 2018-01-25 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper investigates the international integration of EM sovereign dollar-denominated and local-currency bond markets. Factor analysis is used to examine movements in sovereign bond yields and common sources of yield variation. The results suggest that EM dollar-denominated sovereign debt markets are highly integrated; a single common factor that is highly correlated with US and EU interest rates explains, on average, about 80 percent of the total variability in yields. EM sovereign local currency bond markets are not as internationally integrated, and three common factors explain about 74 percent of the total variability. But a factor highly correlated with US and EU interest rates still explains 63 percent of the yield variation accounted for by common factors. That said, there is some diversity among EM countries in the importance of common factors in affecting sovereign debt yields.
Book Synopsis Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations by : Dirk G. Baur
Download or read book Flights and Contagion - an Empirical Analysis of Stock-Bond Correlations written by Dirk G. Baur and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyzes the existence of flights from stocks to bonds and vice versa. We propose a definition and a test for flight-to-quality, flight-from-quality and cross-asset contagion and examine their characteristics and effects for the financial system. The empirical analysis for eight developed countries including the US, the UK, Germany and Japan shows that flights exist and are a common feature in many crises episodes. Our findings also reveal that flights are not merely country-specific events but occur simultaneously across countries. This indicates that there is a link between the occurrence of flights and cross-country contagion. Moreover, we show that flights enhance the resiliency of the financial markets by providing diversification benefits in times when they are needed most.
Book Synopsis Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements by : Abdel Razzaq Al Rababa'a
Download or read book Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements written by Abdel Razzaq Al Rababa'a and published by . This book was released on 2018 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news exhibiting a slower effect. The news effects differ when we replace the 2008 crisis with the 2001 dot-com or 2011 government debt ceiling dispute periods. Tests involving small stocks, different model specifications, volatility effects and other robustness considerations continue to support our results. These results will enhance our understanding of the links between financial markets and the macroeconomy.
Book Synopsis The Paine Webber Handbook of Stock and Bond Analysis by : Paine Webber Inc
Download or read book The Paine Webber Handbook of Stock and Bond Analysis written by Paine Webber Inc and published by McGraw-Hill Companies. This book was released on 1979 with total page 568 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Financial Market Contagion in the Asian Crisis by : Mr.Taimur Baig
Download or read book Financial Market Contagion in the Asian Crisis written by Mr.Taimur Baig and published by International Monetary Fund. This book was released on 1998-11-01 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper tests for evidence of contagion between the financial markets of Thailand, Malaysia, Indonesia, Korea, and the Philippines. Cross-country correlations among currencies and sovereign spreads are found to increase significantly during the crisis period, whereas the equity market correlations offer mixed evidence. A set of dummy variables using daily news is constructed to capture the impact of own-country and cross-border news on the markets. After controlling for own-country news and other fundamentals, the paper shows evidence of cross-border contagion in the currency and equity markets.
Book Synopsis Stock-Bond Co-Movements and Cross-Country Linkages by : Dirk G. Baur
Download or read book Stock-Bond Co-Movements and Cross-Country Linkages written by Dirk G. Baur and published by . This book was released on 2009 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study analyzes the correlation of stock and bond indices for eight developed countries. We compare a country's stock-bond linkages with cross-country linkages and find that the former exhibit a negative trend in contrast to the positive trend observed for cross-country stock market and bond market linkages. We show that the decline of the stock-bond correlation in recent years can be explained with a more frequent portfolio rebalancing of investors due to the globalization of securities markets and implied lower international diversification benefits across similar asset classes. A test for temporal commonalities of changes in cross-country and stock-bond linkages indicates that flight-to-quality from stocks to bonds and cross-country stock market contagion occurs simultaneously.
Book Synopsis Intermarket Technical Analysis by : John J. Murphy
Download or read book Intermarket Technical Analysis written by John J. Murphy and published by John Wiley & Sons. This book was released on 1991-09-03 with total page 296 pages. Available in PDF, EPUB and Kindle. Book excerpt: Trying to trade stock, bond, commodity and currency markets without intermarket awareness is like trying to drive a car without looking out the side and rear windows--very dangerous. In this guide to intermarket analysis, the author uses years of experience in technical analysis plus extensive charts to clearly demonstrate the interrelationshps that exist among the various market sectors and their importance. You'll learn how to use activity in surrounding markets in the same way that most people employ traditional technical indicators for directional clues. Shows the analyst how to focus outward, rather than inward, to provide a more rational understanding of technical forces at work in the marketplace.
Book Synopsis Determinants of Emerging Market Sovereign Bond Spreads by : Iva Petrova
Download or read book Determinants of Emerging Market Sovereign Bond Spreads written by Iva Petrova and published by International Monetary Fund. This book was released on 2010-12-01 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper analyses the determimants of emerging market sovereign bond spreads by examining the short and long-run effects of fundamental (macroeconomic) and temporary (financial market) factors on these spreads. During the current global financial and economic crisis, sovereign bond spreads widened dramatically for both developed and emerging market economies. This deterioration has widely been attributed to rapidly growing public debts and balance sheet risks. Our results indicate that in the long run, fundamentals are significant determinants of emerging market sovereign bond spreads, while in the short run, financial volatility is a more important determinant of sperads than fundamentals indicators.
Book Synopsis Financial Risk Management by : José A. Soler Ramos
Download or read book Financial Risk Management written by José A. Soler Ramos and published by IDB. This book was released on 2000 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Drawing on practical methods used by successful risk managers in emerging and developed markets throughout the world, the book provides specific guidance on establishing a modern risk management framework and developing efficient approaches to increase the profitability of risk management activities in emerging market settings."--BOOK JACKET.
Book Synopsis Intermarket Analysis by : John J. Murphy
Download or read book Intermarket Analysis written by John J. Murphy and published by John Wiley & Sons. This book was released on 2011-01-31 with total page 290 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for INTERMARKET ANALYSIS "John Murphy has done it again. He dissects the global relationships between equities, bonds, currencies, and commodities like no one else can, and lays out an irrefutable case for intermarket analysis in plain English. This book is a must-read for all serious traders." -Louis B. Mendelsohn, creator of VantagePoint Intermarket Analysis software "John Murphy's Intermarket Analysis should be on the desk of every trader and investor if they want to be positioned in the right markets at the right time." -Thom Hartle, President, Market Analytics, Inc. (www.thomhartle.com) "This book is full of valuable information. As a daily practitioner of intermarket analysis, I thought I knew most aspects of this invaluable subject, but this book gave me several new ideas. I thoroughly recommend it for beginners and professionals." -Martin Pring, President of Pring.com and editor of the Intermarket Review Newsletter "Mr. Murphy's Intermarket Analysis is truly the most efficient and unambiguous way to define economic and fundamental relationships as they unfold in the market. It cuts through all of the conflicting economic news/views expressed each day to provide a clear picture of the 'here and now' in the global marketplace." -Dennis Hynes, Managing Director, R. W. Pressprich "Master Murphy is back with the quintessential look at intermarket analysis. The complex relationships among financial instruments have never been more important, and this book brings it all into focus. This is an essential read for all investors." -Andrew Bekoff, Technical Strategist, VDM NYSE Specialists "John Murphy is a legend in technical analysis, and a master at explaining precisely how the major markets impact each other. This updated version provides even more lessons from the past, plus fresh insights on current market trends." -Price Headley, BigTrends.com, author of Big Trends in Trading
Book Synopsis An Introduction to Wavelets and Other Filtering Methods in Finance and Economics by : Ramazan Gençay
Download or read book An Introduction to Wavelets and Other Filtering Methods in Finance and Economics written by Ramazan Gençay and published by Elsevier. This book was released on 2001-10-12 with total page 383 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Wavelets and Other Filtering Methods in Finance and Economics presents a unified view of filtering techniques with a special focus on wavelet analysis in finance and economics. It emphasizes the methods and explanations of the theory that underlies them. It also concentrates on exactly what wavelet analysis (and filtering methods in general) can reveal about a time series. It offers testing issues which can be performed with wavelets in conjunction with the multi-resolution analysis. The descriptive focus of the book avoids proofs and provides easy access to a wide spectrum of parametric and nonparametric filtering methods. Examples and empirical applications will show readers the capabilities, advantages, and disadvantages of each method. - The first book to present a unified view of filtering techniques - Concentrates on exactly what wavelets analysis and filtering methods in general can reveal about a time series - Provides easy access to a wide spectrum of parametric and non-parametric filtering methods
Book Synopsis Introduction to Risk Parity and Budgeting by : Thierry Roncalli
Download or read book Introduction to Risk Parity and Budgeting written by Thierry Roncalli and published by CRC Press. This book was released on 2016-04-19 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: Although portfolio management didn't change much during the 40 years after the seminal works of Markowitz and Sharpe, the development of risk budgeting techniques marked an important milestone in the deepening of the relationship between risk and asset management. Risk parity then became a popular financial model of investment after the global fina
Book Synopsis Banks, Government Bonds, and Default by : Nicola Gennaioli
Download or read book Banks, Government Bonds, and Default written by Nicola Gennaioli and published by International Monetary Fund. This book was released on 2014-07-08 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze holdings of public bonds by over 20,000 banks in 191 countries, and the role of these bonds in 20 sovereign defaults over 1998-2012. Banks hold many public bonds (on average 9% of their assets), particularly in less financially-developed countries. During sovereign defaults, banks increase their exposure to public bonds, especially large banks and when expected bond returns are high. At the bank level, bondholdings correlate negatively with subsequent lending during sovereign defaults. This correlation is mostly due to bonds acquired in pre-default years. These findings shed light on alternative theories of the sovereign default-banking crisis nexus.
Book Synopsis Unconventional Success by : David F. Swensen
Download or read book Unconventional Success written by David F. Swensen and published by Simon and Schuster. This book was released on 2005-08-09 with total page 417 pages. Available in PDF, EPUB and Kindle. Book excerpt: The author of Pioneering Portfolio Management shows individuals how to avoid the for-profit mutual fund industry and get better returns on their money. In Unconventional Success, investment legend and bestselling author David F. Swensen offers incontrovertible evidence that the for-profit mutual fund industry consistently fails the average investor. From excessive management fees to the frequent “churning” of portfolios, the relentless pursuit of profits by mutual fund management companies harms individual clients. Perhaps most destructive of all are the hidden schemes that limit investor choice and reduce returns, including pay-to-play product-placement fees, stale-price trading scams, soft-dollar kickbacks, and 12b-1 distribution charges. Even if investors manage to emerge unscathed from an encounter with the profit-seeking mutual fund industry, individuals face the likelihood of self-inflicted pain. The common practice of selling losers and buying winners (and doing both too often) damages portfolio returns and increases tax liabilities, delivering a one-two punch to investor aspirations. In short: Nearly insurmountable hurdles confront ordinary investors. Swensen’s solution: A contrarian investment alternative that promotes well-diversified, equity-oriented, market-mimicking portfolios that reward investors who exhibit the courage to stay the course. Swensen suggests implementing his nonconformist proposal with investor-friendly, not-for-profit investment companies such as Vanguard and TIAA-CREF. By avoiding actively managed funds and employing client-oriented mutual fund managers, investors create the preconditions for investment success. Bottom line? Unconventional Success provides the guidance and financial know-how for improving the personal investor’s financial future. “Reveals why the mutual fund industry as a whole does a disservice to the individual investor.” —Booklist “What he has to say is worth listening to.” —The New York Times
Book Synopsis Portfolio and Investment Analysis with SAS by : John B. Guerard
Download or read book Portfolio and Investment Analysis with SAS written by John B. Guerard and published by SAS Institute. This book was released on 2019-04-03 with total page 277 pages. Available in PDF, EPUB and Kindle. Book excerpt: Choose statistically significant stock selection models using SAS® Portfolio and Investment Analysis with SAS®: Financial Modeling Techniques for Optimization is an introduction to using SAS to choose statistically significant stock selection models, create mean-variance efficient portfolios, and aggressively invest to maximize the geometric mean. Based on the pioneering portfolio selection techniques of Harry Markowitz and others, this book shows that maximizing the geometric mean maximizes the utility of final wealth. The authors draw on decades of experience as teachers and practitioners of financial modeling to bridge the gap between theory and application. Using real-world data, the book illustrates the concept of risk-return analysis and explains why intelligent investors prefer stocks over bonds. The authors first explain how to build expected return models based on expected earnings data, valuation ratios, and past stock price performance using PROC ROBUSTREG. They then show how to construct and manage portfolios by combining the expected return and risk models. Finally, readers learn how to perform hypothesis testing using Bayesian methods to add confidence when data mining from large financial databases.
