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Extreme Risk In Asian Equity Markets
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Book Synopsis Extreme Risk in Asian Equity Markets by : John Cotter
Download or read book Extreme Risk in Asian Equity Markets written by John Cotter and published by . This book was released on 2007 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: Extreme price movements associated with tail returns are catastrophic for all investors and it is necessary to make accurate predictions of the severity of these events. Choosing a time frame associated with large financial booms and crises this paper investigates the tail behaviour of Asian equity market returns and quantifies two risk measures, quantiles and average losses, along with their associated average waiting periods. Extreme value theory using the Peaks over Threshold method generates the risk measures where tail returns are modelled with a fat-tailed Generalised Pareto Distribution. We find that lower tail risk measures are more severe than upper tail realisations at the lowest probability levels. Moreover, the Kuala Lumpar Composite exhibits the largest risk measures.
Book Synopsis Value-at-Risk and Extreme Returns in Asian Stock Markets by : Andre Carvalhal
Download or read book Value-at-Risk and Extreme Returns in Asian Stock Markets written by Andre Carvalhal and published by . This book was released on 2009 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this paper is to use the extreme value theory to analyze ten Asian stock markets, identifying which type of extreme value asymptotic distribution better fits historical extreme market events. Understanding the influence of extreme market events is of great importance for risk managers. Our empirical tests indicate that the return distributions are not characterized by normality and that the minima and the maxima of the return series may be satisfactorily modeled within an extreme value framework. The average waiting time for an index to present a daily return below/above a specific threshold is generally larger for Asian major markets than for Asian emerging markets. We also compute VaR estimates using extreme value theory and compare the results with the empirical and normal VaR estimates. The results suggest that the extreme value method of estimating VaR is a more conservative approach to determining capital requirements than traditional methods.
Book Synopsis Risk and Return in Asian Emerging Markets by : N. Cakici
Download or read book Risk and Return in Asian Emerging Markets written by N. Cakici and published by Springer. This book was released on 2014-08-13 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk and Return in Asian Emerging Markets offers readers a firm insight into the risk and return characteristics of leading Asian emerging market participants by comparing and contrasting behavioral model variables with predictive forecasting methods.
Book Synopsis Extreme-Downside-Risk Spillover from the United States and Japan to Asian-Pacific Stock Markets by : Lu Liu
Download or read book Extreme-Downside-Risk Spillover from the United States and Japan to Asian-Pacific Stock Markets written by Lu Liu and published by . This book was released on 2018 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a probit approach to measure and forecast extreme downside risks in Asian Pacific markets given information on extreme negative shocks in the U.S. and Japanese markets. The extreme downside risk of a market is measured as the occurrence of market returns falling below left-tail Value at Risk in a Markov switching framework. The empirical findings are consistent with the following notions. First, extreme downside movements of the S&P 500 and Nikkei 225 are significantly predictive for extreme downside movements in all of the investigated Asian-Pacific markets. Second, the majority of Asian-Pacific markets become more sensitive to the Japan's extreme negative shocks when the Japanese market switches into turbulent periods, whereas the U.S. spillover effect is enhanced only on Taiwan during the U.S. turbulent periods. Third, mainland China is overall the least affected by the extreme negative shocks in the United States and Japan, while Australia is the most sensitive to the United States and Singapore is the most vulnerable to Japan.
Book Synopsis Asian Equity Markets: Growth, Opportunities, and Challenges by : Hiroko Oura
Download or read book Asian Equity Markets: Growth, Opportunities, and Challenges written by Hiroko Oura and published by INTERNATIONAL MONETARY FUND. This book was released on 2006-12-01 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional financial integration, capital account liberalization, and structural improvements to markets. The development of equity markets provides a more diversified set of channels for financial intermediation to support growth, thus bolstering medium-term financial stability. At the same time, as highlighted by the May-June 2006 market corrections, the increasing role of stock markets potentially changes the nature of macroeconomic and financial stability risks, as well as the policy requirements for dealing with these risks.
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.
Author :Herald van der Linde Publisher :Marshall Cavendish International Asia Pte Ltd ISBN 13 :9815009524 Total Pages :274 pages Book Rating :4.8/5 (15 download)
Book Synopsis Asia’s Stock Markets from the Ground Up by : Herald van der Linde
Download or read book Asia’s Stock Markets from the Ground Up written by Herald van der Linde and published by Marshall Cavendish International Asia Pte Ltd. This book was released on 2021-10-15 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: A summary of how stock markets work for those looking to invest. This book is a practical guide to Asia’s stock markets for a general audience. It is for people who do not know much about financial markets but, for whatever reason, would like to learn more. They could be seasoned expatriate pilots, academics and other professionals, newcomers in the region as well as students or young men and women about to start in the finance industry. The idea is to cut through the alphabet soup of industry jargon to provide a clear understanding of how these markets work, how they differ from each other in size and depth, what unique features each stock market has and what drives all the different sectors in these markets – consumers, the internet, banks and technology. The book includes helpful history lessons and personal anecdotes drawn from the author’s 30 years in the world of Asian investments.
Book Synopsis Assessing Tail-Related Risks in Asian Equity Markets by : Xiaoming Li
Download or read book Assessing Tail-Related Risks in Asian Equity Markets written by Xiaoming Li and published by . This book was released on 2007 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt: In assessing tail-related risks in Asian equity markets, we blend the GPD model with the GARCH one. This approach enables us to reveal that innovations after volatility filtering may still remain heavy-tailed or involve tail-related risk that cannot be captured by the GARCH-type model alone. Our results indicate that, at high quantiles, VaRs based on the GPD approach are greater than those based on the normal distribution. We also report the GPD-based unconditional and conditional expected shortfalls that may contain rich information about the potential losses (gains) beyond VaR for the markets under investigation.
Book Synopsis Asian Capital Market Development and Integration by : Asian Development Bank
Download or read book Asian Capital Market Development and Integration written by Asian Development Bank and published by Oxford University Press, USA. This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: The fiscal crisis in Europe continues to cast a shadow on the global economic outlook, and the securities issued by the United States and European nations are losing their status as traditional safe assets and reserve value. As a result, investors and governments are looking to diversify their investment portfolio with emerging markets, particularly Asian bonds. Such renewed interest has led to excessive capital inflows, making the region increasingly vulnerable to external shocks. However, on the other hand, it leads to abundant liquidity in the capital markets, which reduces financing costs and expands investment opportunities. This book analyses this dilemma and proposes that development of local bond markets and achieving greater market depth and interconnectedness is the best bet to prevent the reoccurrence of a currency crisis like 1997. It thus, assesses the progress achieved thus far in capital market integration in Asia, and compares it with its global peers. The study also assesses the degree to which volatility in equity and bond market returns, driven by financial turmoil originating at both the regional and global levels, spills over into emerging Asia domestic equity and bond markets. The results of this analysis indicate that such spill-over significantly impacts both domestic equity and bond markets in the region. This finding suggests that on-going regional capital market integration initiatives should take into account the risk of contagion that regional financial integration presents, and introduce measures for mitigating such risk as a means of ensuring financial stability in the region.
Book Synopsis Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market by : Gilbert Nartea
Download or read book Do Extreme Returns Matter in Emerging Markets? Evidence from the Chinese Stock Market written by Gilbert Nartea and published by . This book was released on 2017 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Recent evidence in the U.S. and Europe indicates that stocks with high maximum daily returns in the previous month, perform poorly in the current month. We investigate the presence of a similar effect in the emerging Chinese stock markets with portfolio-level analysis and firm-level Fama-MacBeth cross-sectional regressions. We find evidence of a MAX effect similar to the U.S. and European markets though the effect appears stronger for longer holding periods. Contrary to U.S. and European evidence, the MAX effect in China does not weaken much less reverse the anomalous IV effect. Both the MAX and IV effects appear to independently coexist in the Chinese stock markets. Interpreted together with the strong evidence of risk-seeking behaviour among Chinese investors, our results are consistent with the suggestion that the negative MAX effect is driven by investor preference for stocks with lottery-like features.
Book Synopsis Empirical Asset Pricing by : Turan G. Bali
Download or read book Empirical Asset Pricing written by Turan G. Bali and published by John Wiley & Sons. This book was released on 2016-02-26 with total page 512 pages. Available in PDF, EPUB and Kindle. Book excerpt: “Bali, Engle, and Murray have produced a highly accessible introduction to the techniques and evidence of modern empirical asset pricing. This book should be read and absorbed by every serious student of the field, academic and professional.” Eugene Fama, Robert R. McCormick Distinguished Service Professor of Finance, University of Chicago and 2013 Nobel Laureate in Economic Sciences “The empirical analysis of the cross-section of stock returns is a monumental achievement of half a century of finance research. Both the established facts and the methods used to discover them have subtle complexities that can mislead casual observers and novice researchers. Bali, Engle, and Murray’s clear and careful guide to these issues provides a firm foundation for future discoveries.” John Campbell, Morton L. and Carole S. Olshan Professor of Economics, Harvard University “Bali, Engle, and Murray provide clear and accessible descriptions of many of the most important empirical techniques and results in asset pricing.” Kenneth R. French, Roth Family Distinguished Professor of Finance, Tuck School of Business, Dartmouth College “This exciting new book presents a thorough review of what we know about the cross-section of stock returns. Given its comprehensive nature, systematic approach, and easy-to-understand language, the book is a valuable resource for any introductory PhD class in empirical asset pricing.” Lubos Pastor, Charles P. McQuaid Professor of Finance, University of Chicago Empirical Asset Pricing: The Cross Section of Stock Returns is a comprehensive overview of the most important findings of empirical asset pricing research. The book begins with thorough expositions of the most prevalent econometric techniques with in-depth discussions of the implementation and interpretation of results illustrated through detailed examples. The second half of the book applies these techniques to demonstrate the most salient patterns observed in stock returns. The phenomena documented form the basis for a range of investment strategies as well as the foundations of contemporary empirical asset pricing research. Empirical Asset Pricing: The Cross Section of Stock Returns also includes: Discussions on the driving forces behind the patterns observed in the stock market An extensive set of results that serve as a reference for practitioners and academics alike Numerous references to both contemporary and foundational research articles Empirical Asset Pricing: The Cross Section of Stock Returns is an ideal textbook for graduate-level courses in asset pricing and portfolio management. The book is also an indispensable reference for researchers and practitioners in finance and economics. Turan G. Bali, PhD, is the Robert Parker Chair Professor of Finance in the McDonough School of Business at Georgetown University. The recipient of the 2014 Jack Treynor prize, he is the coauthor of Mathematical Methods for Finance: Tools for Asset and Risk Management, also published by Wiley. Robert F. Engle, PhD, is the Michael Armellino Professor of Finance in the Stern School of Business at New York University. He is the 2003 Nobel Laureate in Economic Sciences, Director of the New York University Stern Volatility Institute, and co-founding President of the Society for Financial Econometrics. Scott Murray, PhD, is an Assistant Professor in the Department of Finance in the J. Mack Robinson College of Business at Georgia State University. He is the recipient of the 2014 Jack Treynor prize.
Book Synopsis Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics by : Seungho Jung
Download or read book Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics written by Seungho Jung and published by International Monetary Fund. This book was released on 2021-10-22 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed using automated keyword searches in South Korean media. The GPRNK index, designed to capture both upside and downside risk, corroborates that geopolitical risk sharply increases with the occurrence of nuclear tests, missile launches, or military confrontations, and decreases significantly around the times of summit meetings or multilateral talks. Using firm-level data, we find that heightened geopolitical risk reduces stock returns, and that the reductions in stock returns are greater especially for large firms, firms with a higher share of domestic investors, and for firms with a higher ratio of fixed assets to total assets. These results suggest that international portfolio diversification and investment irreversibility are important channels through which geopolitical risk affects stock returns.
Book Synopsis Revisiting Risk-Weighted Assets by : Vanessa Le Leslé
Download or read book Revisiting Risk-Weighted Assets written by Vanessa Le Leslé and published by International Monetary Fund. This book was released on 2012-03-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we provide an overview of the concerns surrounding the variations in the calculation of risk-weighted assets (RWAs) across banks and jurisdictions and how this might undermine the Basel III capital adequacy framework. We discuss the key drivers behind the differences in these calculations, drawing upon a sample of systemically important banks from Europe, North America, and Asia Pacific. We then discuss a range of policy options that could be explored to fix the actual and perceived problems with RWAs, and improve the use of risk-sensitive capital ratios.
Book Synopsis Why Stock Markets Crash by : Didier Sornette
Download or read book Why Stock Markets Crash written by Didier Sornette and published by Princeton University Press. This book was released on 2017-03-21 with total page 449 pages. Available in PDF, EPUB and Kindle. Book excerpt: The scientific study of complex systems has transformed a wide range of disciplines in recent years, enabling researchers in both the natural and social sciences to model and predict phenomena as diverse as earthquakes, global warming, demographic patterns, financial crises, and the failure of materials. In this book, Didier Sornette boldly applies his varied experience in these areas to propose a simple, powerful, and general theory of how, why, and when stock markets crash. Most attempts to explain market failures seek to pinpoint triggering mechanisms that occur hours, days, or weeks before the collapse. Sornette proposes a radically different view: the underlying cause can be sought months and even years before the abrupt, catastrophic event in the build-up of cooperative speculation, which often translates into an accelerating rise of the market price, otherwise known as a "bubble." Anchoring his sophisticated, step-by-step analysis in leading-edge physical and statistical modeling techniques, he unearths remarkable insights and some predictions--among them, that the "end of the growth era" will occur around 2050. Sornette probes major historical precedents, from the decades-long "tulip mania" in the Netherlands that wilted suddenly in 1637 to the South Sea Bubble that ended with the first huge market crash in England in 1720, to the Great Crash of October 1929 and Black Monday in 1987, to cite just a few. He concludes that most explanations other than cooperative self-organization fail to account for the subtle bubbles by which the markets lay the groundwork for catastrophe. Any investor or investment professional who seeks a genuine understanding of looming financial disasters should read this book. Physicists, geologists, biologists, economists, and others will welcome Why Stock Markets Crash as a highly original "scientific tale," as Sornette aptly puts it, of the exciting and sometimes fearsome--but no longer quite so unfathomable--world of stock markets.
Book Synopsis Managing Elevated Risk by : Iwan J. Azis
Download or read book Managing Elevated Risk written by Iwan J. Azis and published by Springer. This book was released on 2014-12-11 with total page 129 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses the risks and opportunities that arise in Emerging Asia given the context of a new environment in global liquidity and capital flows. It elaborates on the need to ensure financial and overall economic stability in the region through improved financial regulation and other policy measures to minimize the emergent risks. "Managing Elevated Risk: Global Liquidity, Capital Flows, and Macroprudential Policy—An Asian Perspective" also explores the range of policy options that may be deployed to address the impact of global liquidity on domestic financial and socio-economic conditions including income inequality. The book is primarily aimed at policy makers, financial market regulators and supervisory agencies to help them improve national regulatory systems and to promote harmonization of national regulations and practices in line with global standards. Scholars and researchers will also gain important information and knowledge about the overall impacts of changing global liquidity from the book.
Download or read book Asian Equity Markets written by and published by . This book was released on 2006 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asian equity markets have grown significantly in size since the early 1990s, driven by strong international investor inflows, growing regional financial integration, capital account liberalization, and structural improvements to markets. The development of equity markets provides a more diversified set of channels for financial intermediation to support growth, thus bolstering medium-term financial stability. At the same time, as highlighted by the May-June 2006 market corrections, the increasing role of stock markets potentially changes the nature of macroeconomic and financial stability risks, as well as the policy requirements for dealing with these risks
Book Synopsis Financial and Macroeconomic Connectedness by : Francis X. Diebold
Download or read book Financial and Macroeconomic Connectedness written by Francis X. Diebold and published by Oxford University Press. This book was released on 2015-02-03 with total page 285 pages. Available in PDF, EPUB and Kindle. Book excerpt: Connections among different assets, asset classes, portfolios, and the stocks of individual institutions are critical in examining financial markets. Interest in financial markets implies interest in underlying macroeconomic fundamentals. In Financial and Macroeconomic Connectedness, Frank Diebold and Kamil Yilmaz propose a simple framework for defining, measuring, and monitoring connectedness, which is central to finance and macroeconomics. These measures of connectedness are theoretically rigorous yet empirically relevant. The approach to connectedness proposed by the authors is intimately related to the familiar econometric notion of variance decomposition. The full set of variance decompositions from vector auto-regressions produces the core of the 'connectedness table.' The connectedness table makes clear how one can begin with the most disaggregated pair-wise directional connectedness measures and aggregate them in various ways to obtain total connectedness measures. The authors also show that variance decompositions define weighted, directed networks, so that these proposed connectedness measures are intimately related to key measures of connectedness used in the network literature. After describing their methods in the first part of the book, the authors proceed to characterize daily return and volatility connectedness across major asset (stock, bond, foreign exchange and commodity) markets as well as the financial institutions within the U.S. and across countries since late 1990s. These specific measures of volatility connectedness show that stock markets played a critical role in spreading the volatility shocks from the U.S. to other countries. Furthermore, while the return connectedness across stock markets increased gradually over time the volatility connectedness measures were subject to significant jumps during major crisis events. This book examines not only financial connectedness, but also real fundamental connectedness. In particular, the authors show that global business cycle connectedness is economically significant and time-varying, that the U.S. has disproportionately high connectedness to others, and that pairwise country connectedness is inversely related to bilateral trade surpluses.
