Volatility And Causality In Asia Pacific Financial Markets

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Asia-Pacific Financial Markets

Author : Suk-Joong Kim
Publisher : Elsevier
ISBN 13 : 0762314710
Total Pages : 537 pages
Book Rating : 4.7/5 (623 download)

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Book Synopsis Asia-Pacific Financial Markets by : Suk-Joong Kim

Download or read book Asia-Pacific Financial Markets written by Suk-Joong Kim and published by Elsevier. This book was released on 2007-12-12 with total page 537 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume of "International Finance Review" focuses on the Asia-Pacific financial markets. A total of 22 original papers, not published elsewhere, have been selected from a competitive field. These papers utilize a variety of methods, including theoretical, empirical and qualitative to highlight a range of issues across the region. Several papers offer combinations of these different categories and among the empirical papers, there are a wide variety of datasets analyzed. While China does play a significant part in the analysis of five of the papers in this volume (this is to be expected given its importance in the region), a host of other countries are also considered. This ensures the volume is truly international in its scope. These papers each serve to contribute to the knowledge on a particular issue related to the financial markets within this region and for this volume, three main issues have been identified: integration, innovation and challenges. Articles are contributed by experts in their fields. It is truly international in scope.

Stock Market Volatility

Author : Greg N. Gregoriou
Publisher : CRC Press
ISBN 13 : 1420099558
Total Pages : 654 pages
Book Rating : 4.4/5 (2 download)

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Book Synopsis Stock Market Volatility by : Greg N. Gregoriou

Download or read book Stock Market Volatility written by Greg N. Gregoriou and published by CRC Press. This book was released on 2009-04-08 with total page 654 pages. Available in PDF, EPUB and Kindle. Book excerpt: Up-to-Date Research Sheds New Light on This Area Taking into account the ongoing worldwide financial crisis, Stock Market Volatility provides insight to better understand volatility in various stock markets. This timely volume is one of the first to draw on a range of international authorities who offer their expertise on market volatility in devel

Handbook of Quantitative Finance and Risk Management

Author : Cheng-Few Lee
Publisher : Springer Science & Business Media
ISBN 13 : 0387771174
Total Pages : 1700 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Quantitative Finance and Risk Management by : Cheng-Few Lee

Download or read book Handbook of Quantitative Finance and Risk Management written by Cheng-Few Lee and published by Springer Science & Business Media. This book was released on 2010-06-14 with total page 1700 pages. Available in PDF, EPUB and Kindle. Book excerpt: Quantitative finance is a combination of economics, accounting, statistics, econometrics, mathematics, stochastic process, and computer science and technology. Increasingly, the tools of financial analysis are being applied to assess, monitor, and mitigate risk, especially in the context of globalization, market volatility, and economic crisis. This two-volume handbook, comprised of over 100 chapters, is the most comprehensive resource in the field to date, integrating the most current theory, methodology, policy, and practical applications. Showcasing contributions from an international array of experts, the Handbook of Quantitative Finance and Risk Management is unparalleled in the breadth and depth of its coverage. Volume 1 presents an overview of quantitative finance and risk management research, covering the essential theories, policies, and empirical methodologies used in the field. Chapters provide in-depth discussion of portfolio theory and investment analysis. Volume 2 covers options and option pricing theory and risk management. Volume 3 presents a wide variety of models and analytical tools. Throughout, the handbook offers illustrative case examples, worked equations, and extensive references; additional features include chapter abstracts, keywords, and author and subject indices. From "arbitrage" to "yield spreads," the Handbook of Quantitative Finance and Risk Management will serve as an essential resource for academics, educators, students, policymakers, and practitioners.

East Asian Economic Issues

Author : Jon D. Kendall
Publisher : World Scientific
ISBN 13 : 9789810237561
Total Pages : 298 pages
Book Rating : 4.2/5 (375 download)

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Book Synopsis East Asian Economic Issues by : Jon D. Kendall

Download or read book East Asian Economic Issues written by Jon D. Kendall and published by World Scientific. This book was released on 1998 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of joint papers written by the staff and students of the Nanyang Business School in Singapore. It encompasses a broad range of interesting microeconomic and macroeconomic topics. The four sections of the book cover Singaporean microeconomic and macroeconomic issues, interdependence among Asia-Pacific economies, and other Asia-Pacific economic issues. The book embodies the highest level of technical rigor and commitment to excellence. The general public should find this book a handy, useful and informative tool for understanding the economics of East Asia. In particular, analysts and researchers in banks, securities houses, multinational corporations, government ministries and agencies, and universities will find the book indispensable for enhancing their understanding of the region's economies.

East Asian Economic Issues, Vol 4

Author : Jon D Kendall
Publisher : World Scientific
ISBN 13 : 9814495298
Total Pages : 284 pages
Book Rating : 4.8/5 (144 download)

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Book Synopsis East Asian Economic Issues, Vol 4 by : Jon D Kendall

Download or read book East Asian Economic Issues, Vol 4 written by Jon D Kendall and published by World Scientific. This book was released on 1998-12-24 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a compilation of joint papers written by the staff and students of the Nanyang Business School in Singapore. It encompasses a broad range of interesting microeconomic and macroeconomic topics. The four sections of the book cover Singaporean microeconomic and macroeconomic issues, interdependence among Asia-Pacific economies, and other Asia-Pacific economic issues. The book embodies the highest level of technical rigor and commitment to excellence.The general public should find this book a handy, useful and informative tool for understanding the economics of East Asia. In particular, analysts and researchers in banks, securities houses, multinational corporations, government ministries and agencies, and universities will find the book indispensable for enhancing their understanding of the region's economies.

Causality in Macroeconomics

Author : Kevin D. Hoover
Publisher : Cambridge University Press
ISBN 13 : 9780521002882
Total Pages : 330 pages
Book Rating : 4.0/5 (28 download)

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Book Synopsis Causality in Macroeconomics by : Kevin D. Hoover

Download or read book Causality in Macroeconomics written by Kevin D. Hoover and published by Cambridge University Press. This book was released on 2001-08-13 with total page 330 pages. Available in PDF, EPUB and Kindle. Book excerpt: First published in 2001, Causality in Macroeconomics addresses the long-standing problems of causality while taking macroeconomics seriously. The practical concerns of the macroeconomist and abstract concerns of the philosopher inform each other. Grounded in pragmatic realism, the book rejects the popular idea that macroeconomics requires microfoundations, and argues that the macroeconomy is a set of structures that are best analyzed causally. Ideas originally due to Herbert Simon and the Cowles Commission are refined and generalized to non-linear systems, particularly to the non-linear systems with cross-equation restrictions that are ubiquitous in modern macroeconomic models with rational expectations (with and without regime-switching). These ideas help to clarify philosophical as well as economic issues. The structural approach to causality is then used to evaluate more familiar approaches to causality due to Granger, LeRoy and Glymour, Spirtes, Scheines and Kelly, as well as vector autoregressions, the Lucas critique, and the exogeneity concepts of Engle, Hendry and Richard.

Price Interdependence Among Equity Markets in the Asia-Pacific Region

Author : Eduardo Roca
Publisher : Routledge
ISBN 13 : 1000160378
Total Pages : 115 pages
Book Rating : 4.0/5 (1 download)

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Book Synopsis Price Interdependence Among Equity Markets in the Asia-Pacific Region by : Eduardo Roca

Download or read book Price Interdependence Among Equity Markets in the Asia-Pacific Region written by Eduardo Roca and published by Routledge. This book was released on 2020-11-26 with total page 115 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title was first published in 2000: An investigation of the issue of financial markets interdependence or integration through the application of recently developed and powerful techniques in time series econometrics. The text provides coverage of theoretical analysis and applications in the context of the Asia-Pacific region.

Current Debates in Social Sciences InTraders 2020-3

Author : Assoc. Prof. Dr. Yurdagül MERAL
Publisher : Hiperlink eğit.ilet.yay.san.tic.ve ltd.sti.
ISBN 13 : 625728080X
Total Pages : 203 pages
Book Rating : 4.2/5 (572 download)

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Book Synopsis Current Debates in Social Sciences InTraders 2020-3 by : Assoc. Prof. Dr. Yurdagül MERAL

Download or read book Current Debates in Social Sciences InTraders 2020-3 written by Assoc. Prof. Dr. Yurdagül MERAL and published by Hiperlink eğit.ilet.yay.san.tic.ve ltd.sti.. This book was released on with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economic growth is a key issue both in economic policy making and in economic research. In eastern nations of the world, the interest in economic growth has been in the centrestage in view of the persistently high rates of unemployment and resurgence of recessionary pressures on these economies due to spillover effects from other developed economies undergoing recessionary phases. Entrepreneurial activities not only open up new doorways of income generation for individuals residing in the economy but is also looked upon now as panacea to treat unemployment by most governments, provided such ventures turn out to be revenue generating for the entrepreneur after all the risk he is willing to undertake. Entrepreneurship contributes to the development of innovative technologies, processes as well as business systems which in turn influences the prevailing market structures in the economy disrupting the competition existing in the markets. Nonetheless it bound to impact the capital formation in the economy and thus the growth of the economy. The inter relations between credit extension by commercial banks, entrepreneurship and economic growth are investigated in this paper empirically using autoregressive models.

Proceedings of IAC-MEM 2017

Author : group of authors
Publisher : Czech Institute of Academic Education z.s.
ISBN 13 : 8090623190
Total Pages : 81 pages
Book Rating : 4.0/5 (96 download)

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Book Synopsis Proceedings of IAC-MEM 2017 by : group of authors

Download or read book Proceedings of IAC-MEM 2017 written by group of authors and published by Czech Institute of Academic Education z.s.. This book was released on 2017-04-11 with total page 81 pages. Available in PDF, EPUB and Kindle. Book excerpt: International Academic Conference on Management, Economics and Marketing in Budapest, Hungary 2017 (IAC-MEM 2017), Friday - Saturday, April 14 - 15, 2017

FX Funding Risks and Exchange Rate Volatility–Korea’s Case

Author : Mr.Jack Ree
Publisher : International Monetary Fund
ISBN 13 : 1475565178
Total Pages : 29 pages
Book Rating : 4.4/5 (755 download)

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Book Synopsis FX Funding Risks and Exchange Rate Volatility–Korea’s Case by : Mr.Jack Ree

Download or read book FX Funding Risks and Exchange Rate Volatility–Korea’s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.

The Causal Relationship between the S&P 500 and the VIX Index

Author : Florian Auinger
Publisher : Springer
ISBN 13 : 3658089695
Total Pages : 102 pages
Book Rating : 4.6/5 (58 download)

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Book Synopsis The Causal Relationship between the S&P 500 and the VIX Index by : Florian Auinger

Download or read book The Causal Relationship between the S&P 500 and the VIX Index written by Florian Auinger and published by Springer. This book was released on 2015-02-13 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt: Florian Auinger highlights the core weaknesses and sources of criticism regarding the VIX Index as an indicator for the future development of financial market volatility. Furthermore, it is proven that there is no statistically significant causal relationship between the VIX and the S&P 500. As a consequence, the forecastability is not given in both directions. Obviously, there must be at least one additional variable that has a strong influence on market volatility such as emotions which, according to financial market experts, are considered to play a more and more important role in investment decisions.

Hedge Funds

Author : Andrew W. Lo
Publisher : Princeton University Press
ISBN 13 : 140083581X
Total Pages : 388 pages
Book Rating : 4.4/5 (8 download)

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Book Synopsis Hedge Funds by : Andrew W. Lo

Download or read book Hedge Funds written by Andrew W. Lo and published by Princeton University Press. This book was released on 2010-07-01 with total page 388 pages. Available in PDF, EPUB and Kindle. Book excerpt: The hedge fund industry has grown dramatically over the last two decades, with more than eight thousand funds now controlling close to two trillion dollars. Originally intended for the wealthy, these private investments have now attracted a much broader following that includes pension funds and retail investors. Because hedge funds are largely unregulated and shrouded in secrecy, they have developed a mystique and allure that can beguile even the most experienced investor. In Hedge Funds, Andrew Lo--one of the world's most respected financial economists--addresses the pressing need for a systematic framework for managing hedge fund investments. Arguing that hedge funds have very different risk and return characteristics than traditional investments, Lo constructs new tools for analyzing their dynamics, including measures of illiquidity exposure and performance smoothing, linear and nonlinear risk models that capture alternative betas, econometric models of hedge fund failure rates, and integrated investment processes for alternative investments. In a new chapter, he looks at how the strategies for and regulation of hedge funds have changed in the aftermath of the financial crisis.

Proceedings of the International Congress ‘14 (IntCongress 2014)

Author : Association of Scientists, Developers and Faculties
Publisher : Association of Scientists, Developers and Faculties
ISBN 13 : 8192974235
Total Pages : 183 pages
Book Rating : 4.1/5 (929 download)

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Book Synopsis Proceedings of the International Congress ‘14 (IntCongress 2014) by : Association of Scientists, Developers and Faculties

Download or read book Proceedings of the International Congress ‘14 (IntCongress 2014) written by Association of Scientists, Developers and Faculties and published by Association of Scientists, Developers and Faculties. This book was released on 2014-11-19 with total page 183 pages. Available in PDF, EPUB and Kindle. Book excerpt: Proceedings of the combined volumes of International Congress (IntCongress 2014) held at Holiday Inn Silom, Bangkok, Kingdom of Thailand between 19th November, 2014 and 21st November, 2014.

Causal Inference in Econometrics

Author : Van-Nam Huynh
Publisher : Springer
ISBN 13 : 3319272845
Total Pages : 626 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Causal Inference in Econometrics by : Van-Nam Huynh

Download or read book Causal Inference in Econometrics written by Van-Nam Huynh and published by Springer. This book was released on 2015-12-28 with total page 626 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is devoted to the analysis of causal inference which is one of the most difficult tasks in data analysis: when two phenomena are observed to be related, it is often difficult to decide whether one of them causally influences the other one, or whether these two phenomena have a common cause. This analysis is the main focus of this volume. To get a good understanding of the causal inference, it is important to have models of economic phenomena which are as accurate as possible. Because of this need, this volume also contains papers that use non-traditional economic models, such as fuzzy models and models obtained by using neural networks and data mining techniques. It also contains papers that apply different econometric models to analyze real-life economic dependencies.

Geopolitical Risk on Stock Returns: Evidence from Inter-Korea Geopolitics

Author : Seungho Jung
Publisher : International Monetary Fund
ISBN 13 : 1557759677
Total Pages : 36 pages
Book Rating : 4.5/5 (577 download)

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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.

Capital Markets and Investment Decision Making

Author : Raj S. Dhankar
Publisher : Springer
ISBN 13 : 813223748X
Total Pages : 357 pages
Book Rating : 4.1/5 (322 download)

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Book Synopsis Capital Markets and Investment Decision Making by : Raj S. Dhankar

Download or read book Capital Markets and Investment Decision Making written by Raj S. Dhankar and published by Springer. This book was released on 2019-04-25 with total page 357 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy. It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital markets. The book is divided into four parts: the first part examines capital-market operations, particularly clearance and settlement processes, and stock market operations. The second part then addresses the functioning of global markets and investment decisions; more specifically it explores calendar anomalies, dependencies, overreaction effect, causality effect and stock returns volatility in South Asia, U.S. and global stock markets as a whole. Part three covers issues relating to capital structure, values of firm and investment strategies. Lastly, part four discusses emerging issues in finance like behavioral finance, Islamic finance, and international financial reporting standards. The book fills the gap in the existing finance literature and helps fund managers and individual investors make more accurate investment decisions.

Mathematical Finance with Applications

Author : Wing-Keung Wong
Publisher : MDPI
ISBN 13 : 3039435736
Total Pages : 232 pages
Book Rating : 4.0/5 (394 download)

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Book Synopsis Mathematical Finance with Applications by : Wing-Keung Wong

Download or read book Mathematical Finance with Applications written by Wing-Keung Wong and published by MDPI. This book was released on 2020-12-07 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: Mathematical finance plays a vital role in many fields within finance and provides the theories and tools that have been widely used in all areas of finance. Knowledge of mathematics, probability, and statistics is essential to develop finance theories and test their validity through the analysis of empirical, real-world data. For example, mathematics, probability, and statistics could help to develop pricing models for financial assets such as equities, bonds, currencies, and derivative securities.