Emerging Markets and the Global Economy

Emerging Markets and the Global Economy

Last edition Elsevier Contributors to this collection investigate analytical techniques suited to emerging market economies, which typically possess environments prone to policy shocks. Despite the large body of emerging market finance literature, their underlying dynamics and interactions with other economies remain challenging and mysterious because standard financial models imprecisely measure them. Seeking to describe the linkages between emerging and developed markets, this collection systematically explores several crucial issues in asset valuation and risk management. Contributors present new theoretical constructions and empirical methods for handling cross-country volatility and sudden regime shifts. Often attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances our knowledge about their inherent characteristics.

Last Edition

ISBN 13: 9780124115491

Imprint: Elsevier

Language: English

Authors: Mohammed El Hedi Arouri

Pub Date: 12/2013

Pages: 928

Illus: Illustrated

Weight: 1,850.000 grams

Size: h 191 X 235 mm

Product Type: Hardcover

List Price
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  • • Concentrates on post-crisis roles of emerging markets in the global economy
  • • Reports on key theoretical and technical developments in emerging financial markets
  • • Forecasts future developments in linkages among developed and emerging economies
  • Mohammed El Hedi Arouri, Professor of Finance at the University of Auvergne. ; Sabri Boubaker, Associate Professor of Finance, Champagne School of Management and Duc Khuong Nguyen, IPAG Business School, Paris, France
  • Foreword Acknowledgments About the Editors List of Contributors Author Biographies
  • Part 1: COUNTRY-SPECIFIC EXPERIENCES
  • Chapter 1. Robust Measures of Hybrid Emerging Market Mutual Funds Performance
  • Abstract Acknowledgment 1 Introduction 2 Stochastic Discount Factors and Benchmark Models 3 Performance Evaluation of Managed Portfolios 4 Econometric Methodology and Tests 5 Conclusion References
  • Chapter 2. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions’ Investment Decisions
  • Abstract 1 Introduction 2 The ?-Rating Methodology 3 Rating Evaluation: Carrying Out the Methodology 4 Discussion and Conclusion References
  • Chapter 3. Emerging Markets Banks Performance Evidence from China’s Banks in Hong Kong
  • Abstract 1 Introduction 2 Foreign Banks in Hong Kong 3 Hypothesis Testing 4 Data and Methodology 5 Empirical Results 6 Conclusion References
  • Chapter 4. Determinants of the Real Rate of Return: Evidence from Cross-Country Panel Data
  • Abstract 1 Introduction 2 The Data 3 The Methodology 4 Determinants of Asset Returns: Some Basic Results 5 Determinants of Asset Returns: Some Refinements 6 Conclusions Appendix List of Countries References
  • Chapter 5. Understanding the Relationship Between Liquidity and Inflation in the Post Crisis Period in India: from Bank Dealers’ Perspectives
  • Abstract 1 Introduction 2 The Scenario 3 The Existing Literature on Economic Games 4 Features of the Game in Decision Making of a Dealer in the Government Security Desk 5 Forecasting Liquidity 6 Decision Making of a Dealer in the Equity Desk 7 Conclusion Appendix References
  • Chapter 6. Demographic Transition and Savings Behavior in Mauritius
  • Abstract 1 Introduction 2 Literature Survey 3 Savings Trends 4 Methodology 5 Findings—Macroeconomic Modeling 6 Findings—Microeconomic Modeling 7 Conclusion References
  • Chapter 7. An Investigation of the Deviation from the Market Efficiency and its Implications for Capital Market Development: The DSE Evidence
  • Abstract Acknowledgments 1 Introduction 2 Background of DSE 3 Testing Methodologies 4 Data, Econometric Packages, and Descriptive Statistics 5 Results and Analysis 6 Conclusion and Policy Implications References
  • Chapter 8. An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Cooperation Countries
  • Abstract Acknowledgment 1 Introduction 2 GCC Stock Markets and Oil 3 Transmission Channels 4 Empirical Investigation 5 Policy Discussion 6 Conclusion Appendix 1—Individual Stationarity Tests for Series (in Logarithm) References
  • Chapter 9. Trading Intensity and Informed Trading in the Tunis Stock Exchange
  • Abstract Acknowledgments 1 Introduction 2 Institutional Features of the Tunis Stock Exchange 3 Econometric Models 4 Empirical Analysis 5 Conclusion References
  • Chapter 10. Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk
  • Abstract Acknowledgment 1 Introduction 2 Literature Review 3 The Role of Gas and Oil in the BRICS 4 Data 5 Econometric Models 6 Empirical Results 7 Conclusions and Future Research Appendix References
  • Chapter 11. Developed and Emerging Equity Market Tail Risk: Is it Constant?
  • Abstract Acknowledgment 1 Introduction 2 Testing Structural Change in Tail Behavior: Theory 3 Monte Carlo Experiments 4 Empirical Application 5 Conclusions
  • Appendix A Calibration of GARCH(1, 1) Parameters Appendix B Derivations of Second Order Expansion Parameters References
  • Chapter 12. Measuring Systemic Risk in Emerging Markets Using CoVaR
  • Abstract Acknowledgments 1 Introduction 2 Review of the Literature 3 Econometric Methodology 4 Data and Empirical Results 5 Summary and Concluding Remarks References
  • Chapter 13. An Empirical Study on Mutual Funds Performance Persistence in China
  • Abstract 1 Introduction 2 Literature Review 3 Methodology 4 Research Findings 5 Conclusions References
  • Chapter 14. Cultural Behavioral Finance in Emerging Markets
  • Abstract 1 Introduction 2 Culture and Financial Decision Making 3 Behavioral Finance in Emerging Markets: A Cultural Perspective 4 The Future of Cultural Behavioral Finance Research in Emerging Markets References
  • Chapter 15. Early Warning System for Financial Crisis: Statistical Classification Approach
  • Abstract Acknowledgments 1 Introduction 2 Procedure Description 3 Oracle Classifier 4 Lag-l Forecasting Classifier 5 Linking Various Classifiers 6 Empirical Example and Experiment 7 Conclusion References
  • Chapter 16. Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries
  • Abstract 1 Introduction 2 Data and Methodology 3 Empirical Results 4 Conclusion References
  • Chapter 17. Collateral in Emerging Economies
  • Abstract 1 Introduction 2 Literature on Collateral 3 Empirical Analysis 4 Robustness Checks 5 Policy Implication 6 Conclusions References
  • Chapter 18. Tactical Risk Analysis in Emerging Markets in the Wake of the Credit Crunch and Ensuing Sub-prime Financial Crisis
  • Abstract Acknowledgment 1 Introduction 2 Related Literature Review and Purpose of Present Study 3 Methodology and Research Design 4 Results and Discussion of Findings 5 Discussion and Conclusion Appendix A Derivation of Liquidity-Adjusted Value-at-Risk (LVaR) Mathematical Structure During the Close-Out (Unwinding) Period References
  • Part 2: DYNAMIC INTERACTIONS WITH THE GLOBAL ECONOMY
  • Chapter 19. Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement
  • Abstract 1 Introduction 2 Literature Review 3 Data and Summary Statistics 4 Multivariate GARCH Models 5 Empirical Results 6 Conclusion References
  • Chapter 20. Price Jump Behavior During Financial Distress: Intuition, Analysis, and a Regulatory Perspective
  • Abstract 1 Introduction 2 Price Jumps and Financial Crisis 3 Methodology 4 Data Description 5 Results 6 Regulatory Consequences 7 Conclusion References
  • Chapter 21. Are Emerging Markets Exposed to Contagion from the United States: Evidence from Stock and Sovereign Bond Markets
  • Abstract 1 Introduction 2 Some Theoretical Underpinnings 3 Some Amplifications on Recent Crisis 4 Methodology 5 Data and Descriptive Statistics 6 Empirical Results 7 Implications and Conclusion References
  • Chapter 22. Assessing the Effects of the Global Financial Crisis on the East Asian Equity Markets
  • Abstract 1 Introduction 2 Literature Review 3 Data and Methodology 4 Empirical Results 5 Conclusion References
  • Chapter 23. Contagion versus Interdependence: The Case of the BRIC Countries During the Subprime Crises
  • Abstract 1 Introduction 2 BRIC Countries 3 A Brief Review of Literature 4 The Empirical Methodology 5 Empiricals Results 6 Interdependence versus Contagion 7 Summary and Implications References
  • Chapter 24. On the Importance of Trend Gaps in Assessing Equity Market Correlations
  • Abstract 1 Introduction 2 Measuring Market Correlation 3 Defining Stock Market Trends 4 Data and Descriptive Statistics 5 Results 6 Conclusion References
  • Chapter 25. Stock Market Co-movement in ASEAN and China
  • Abstract 1 Introduction 2 Theoretical Underpinnings of Stock Market Linkages 3 Existing Literature on Stock Market Linkages 4 Overview of the Markets and Bilateral Trade and Investment 5 Data 6 Empirical Specification and Methodology 7 Results 8 Conclusion References
  • Chapter 26. Stock and Bond Markets Co-movements in Selected MENA Countries: A Dynamic Coherence Function Approach
  • Abstract 1 Introduction 2 Related Literature 3 Empirical Analysis and Data 4 Results and Discussions 5 Conclusion Appendix References
  • Chapter 27. Equity Market Comovements Among Selected Emerging Countries from Long- and Short-Run Perspectives
  • Abstract 1 Introduction 2 Integration of Equity Markets 3 Empirical Methods 4 Data and Results 5 Conclusion References
  • Chapter 28. Stock Market Volatility and Contagion Effects in the Financial Crisis: The Case of South-Eastern Europe
  • Abstract Acknowledgment 1 Introduction 2 Recent Economic Developments in the SEE Countries 3 SEE Stock Market Growth and Prospects 4 An Empirical Analysis of the SEE Stock Markets 5 Conclusions References
  • Chapter 29. Emerging Market Stocks in Global Portfolios: A Hedging Approach
  • Abstract 1 Introduction 2 The Available Evidence 3 Methodology 4 An Informal Examination of the Data 5 Empirical Results 6 Robustness Test 1: The Conventional Mean-Variance Approach 7 Robustness Test 2: Alternative Estimates of the Hedge Ratio 8 Conclusion References
  • Chapter 30. The Behavior of International Stock Market Excess Returns in an Increasingly Integrated World
  • Abstract 1 Introduction 2 Summary Statistics and Preliminary Analysis 3 A Time-Varying Analysis 4 Conclusion References
  • Chapter 31. Determinants of International Financial Integration of GCC Markets
  • Abstract 1 Introduction 2 Literature Review of Financial Integration 3 Measures of International Financial Integration 4 Analysis of Determinants of International Financial Integration in GCC 5 Conclusions and Policy Implications References
  • Chapter 32. Asset Return and Volatility Spillovers Between Big Commodity Producing Countries
  • Abstract Acknowledgment 1 Introduction 2 Selected Literature Review 3 The Econometric Model 4 Data 5 Empirical Results for Returns Spillovers 6 Empirical Results for Volatility Spillovers 7 Conclusions References
  • Chapter 33. Correlation and Network Structure of International Financial Markets in Times of Crisis
  • Abstract Acknowledgments 1 Introduction 2 The Data 3 Random Matrix Theory 4 Correlation and Volatility of the Market 5 Network Structure 6 Conclusion References
  • Chapter 34. Financial Development and its Effects on Economic Growth: A Dynamic Analysis
  • Abstract Acknowledgment 1 Introduction 2 Literature Review 3 Empirical Analysis of the Financial Development and Economic Growth Nexus 4 Conclusions Appendix References
  • Chapter 35. Financial Market Integration of ASEAN-5 with China and India
  • Abstract 1 Introduction 2 Literature review 3 Data and Methodology 4 Findings 5 Conclusion
  • Appendix References Index
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