(Ebook) Emerging Markets Performance Analysis and Innovation Chapman and Hall Crc Finance 1st Edition by Greg N Gregoriou 1439804486 9781439804483

(Ebook) Emerging Markets Performance Analysis and Innovation Chapman and Hall Crc Finance 1st Edition by Greg N Gregoriou 1439804486 9781439804483

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ISBN 10: 1439804486 
ISBN 13: 9781439804483
Author: Greg N Gregoriou

Emerging Markets Performance Analysis and Innovation Chapman and Hall Crc Finance 1st Table of contents:

Chapter 1 Growth Prospects of New and Old Emerging Markets
1.1 Introduction
1.2 Emerging Markets Boom
1.3 What Next?
1.4 Growth Prospects of the Existing Emerging Stock Markets
1.5 Conclusion
Acknowledgment
References
Chapter 2 Are Emerging Stock Markets Less Efficient? A Survey of Empirical Literature
2.1 Introduction
2.2 How To Measure the Degree of Informational Efficiency?
2.2.1 Market Model R-Square Statistic
2.2.2 Private Information Trading Measure
2.2.3 Price Delay Measure
2.2.4 Autocorrelation-Based Measures
2.2.5 Rolling Test Statistics
2.3 Are Emerging Stock Markets Less Efficient?
2.3.1 Morck et al. (2000)
2.3.2 Jin and Myers (2006)
2.3.3 Fernandes and Ferreira (2008a)
2.3.4 Fernandes and Ferreira (2008b)
2.3.5 Griffin et al. (2007)
2.3.6 Lim and Brooks (2008)
2.3.7 World Bank FSDI Project
2.4 Conclusion
References
Chapter 3 How “Normal” Are Emerging Market Returns?
3.1 Introduction
3.2 Distribution of Financial Asset Returns
3.3 Emerging Market Return Distributions
3.4 Conclusion
References
Chapter 4 Emerging Markets Exposure: Equities or Hedge Funds?
4.1 Introduction
4.2 Data and Methodology
4.3 Descriptive Statistics
4.4 Portfolio Optimization
4.5 Asset Classes in Periods of Extreme Return Movements
4.6 Conclusion
References
Chapter 5 Equity Returns in Emerging Markets: Prospects for the BRICs
5.1 Introduction
5.2 Background
5.3 Analytical Approach
5.4 Estimation Results
5.4.1 Qualitative Assessment
5.4.2 Predictive Capability
5.4.3 Structural Stability
5.5 Future of Bric Equity Returns
5.6 Conclusion
References
Chapter 6 Indices and Price Book, Price Earnings, and Dividend Yield Ratios in Emerging Financial Markets
6.1 Introduction
6.2 Literature Review
6.3 Data and Methodology
6.4 Empirical Findings
6.4.1 Results of the Multivariate Regression
6.4.2 Results of the Univariate Regressions
6.4.3 Comparison for Different Levels of P/B, P/E, and Dividend Yield Ratios
6.5 Conclusion
Acknowledgments
References
Chapter 7 World Price of Covariance Risk with Respect to Emerging Markets
7.1 Introduction
7.2 Literature Review
7.2.1 Conditional CAPM
7.3 Methodology
7.3.1 Econometric Model
7.3.2 Price of Covariance Risk in Emerging Markets
7.3.3 Instrumental Variables
7.3.4 Description of Data Sources
7.3.4.1 Measure of the Return Index
7.3.4.2 Conditional CAPM
7.4 Results
7.4.1 Statistical Description
7.4.2 What Are the Return and Risk Characteristics of These Markets?
7.4.3 How Do These Markets Correlate with Each Other and the Major World Markets?
7.4.4 Predictability of Expected Returns Using World Factors
7.4.5 Predictability of Returns Using Common and Local Instrumental Variables
7.4.6 Conditional Asset Pricing with Time-Varying Moments
7.5 Conclusion
References
Chapter 8 Do Jumps Matter in Emerging Market Portfolio Strategies?
8.1 Introduction
8.2 Optimal Portfolio Choice Under Undiversifiable Jumps
8.2.1 Benchmark: Pure-diffusion Processes
8.2.2 Jump-Diffusion Processes
8.2.3 Portfolio Problem
8.3 Data
8.4 Method of Moment Estimates
8.4.1 Methodology
8.4.2 Estimation Results
8.5 Optimal Asset Allocation
8.5.1 Simulation Results: Do Jumps Matter?
8.5.2 Recursive Results: Should Jumps Have Mattered?
8.6 Conclusion
Acknowledgment
References
Chapter 9 Overreaction Hypothesis in Emerging Balkan Stock Markets
9.1 Introduction
9.2 Literature Review
9.3 Balkan Economies and Stock Markets
9.4 Data
9.5 Methodological Issues
9.5.1 Dimson’s Approach
9.5.2 ANST-GARCH Model
9.6 Empirical Evidence
9.7 Conclusion
Acknowledgment
References
Chapter 10 Does Currency Risk Depress the Flow of Trade? Evidence from the European Union and Transition Countries
10.1 Introduction
10.2 Model Specification and Implementation
10.3 Results and Discussion
10.4 Conclusion
References
Chapter 11 Stock Market Volatility of European Emerging Markets as Signals to Macroeconomic Activities
11.1 Introduction
11.1.1 Stock Market Volatility and Main Macroeconomic Variables
11.1.2 GARCH Framework for Modeling Conditional Volatility
11.2 Data and Empirical Model
11.3 Results
11.4 Conclusion
References
Chapter 12 Profitability of the Contrarian Strategy and the Overreaction Effect on the Istanbul Stock Exchange
12.1 Introduction
12.2 Contrarian Portfolios and the Overreaction Hypothesis
12.3 Data and Methodology
12.4 Empirical Findings
12.4.1 winner–loser Portfolios
12.4.2 Effect of Size and Price on Winner and Loser Stock Returns
12.5 Conclusions
References
Chapter 13 What Determines Going Public in Latin America?
13.1 Introduction
13.2 Advantages and Disadvantages of Going Public
13.3 Pattern of Initial Public Offerings in Latin America*
13.4 Previous Empirical Evidence
13.5 Methodology, Variables, and Model
13.6 Results
13.7 Conclusions
References
Chapter 14 Preholiday Effect and Stock Returns in Mexican Financial Markets
14.1 Introduction
14.2 Preholiday Effect in Stock Markets
14.2.1 Existence of the Preholiday Effect over Time
14.2.2 International Preholiday Effect
14.3 Empirical Analysis
14.3.1 Hypothesis, Data, and Methodology
14.3.2 Results
14.4 Conclusion
References
Chapter 15 Business-Cycle and Exchange-Rate Fluctuations in Emerging Market Economies in Asia, Latin America, and Central and Eastern Europe
15.1 Introduction
15.2 Methodology
15.2.1 Choice of Variables and Sign Restrictions
15.2.2 Vector Autoregressive Model Setup
15.3 Data Description
15.4 Empirical Results
15.4.1 Impulse Responses
15.4.2 Variance Decomposition Results
15.5 Conclusions
Acknowledgment
References
Chapter 16 Institutional Factors behind Capital Structure: Evidence from Chilean Firms
16.1 Introduction
16.2 Econometric Model
16.2.1 Random-Effect Model*
16.2.2 Specification Tests
16.3 Estimation Results
16.4 Tax and Monetary Policy Issues
16.4.1 Corporate and Personal Taxes in Chile
16.4.2 Monetary Policy and Firm Financing
16.5 Conclusions
Acknowledgment
References
Chapter 17 Private Equity in the MENA Region: An Exploratory Analysis
17.1 Introduction
17.2 Emerging Markets Characteristics and Private Equity Development
17.3 Local Investor’S Perceptions
17.3.1 Data
17.3.2 Results
17.4 Attractiveness Indices
17.4.1 Data
17.4.2 Methodology
17.4.3 Results
17.5 Conclusions
References
Chapter 18 Examining the Implications of Linear and Nonlinear Dependencies on Efficiency and Conditional Volatility of MENA Markets: The Case of Egypt and Tunisia
18.1 Introduction
18.2 Implication of Nonlinearity Dynamics for the Financial Field
18.3 Data Description and Summary Statistics
18.4 Methodology
18.4.1 Test for Random Walk Hypothesis
18.4.2 Tests for Nonlinear Serial Dependence
18.4.3 Testing for Stationarity
18.5 Results
18.6 Conclusion
References
Chapter 19 Study of Market Integration, Share Price Responses, and Global Portfolio Investments in the MENA Region
19.1 Introduction
19.2 Financial and Economic Characteristics of Mena Stock Markets
19.3 Dynamic Model of International Stock Market Linkages
19.4 Data and Statistical Properties
19.5 Empirical Results
19.5.1 Estimation Results of the Dcc-Garch Model
19.5.2 Conditional Volatilities and Time-Varying Patterns of Comovements
19.5.3 Perspective of Structural Changes
19.6 Conclusion
References
Chapter 20 Empirical Analysis of Herding Behavior in Asian Stock Markets
20.1 Introduction
20.2 Literature Review
20.3 Data
20.4 Empirical Evidence
20.4.1 Preliminary Result
20.4.2 Empirical Refinement
20.5 Return Dispersion and Risk
20.6 Conclusions
References
Chapter 21 Institutions and Investment Activities in the Venture Capital Industry: Evidence from China, Hong Kong, and India
21.1 Introduction
21.2 Theoretical Framework
21.3 Vc Development Background and Government Roles
21.4 Hypotheses and Methodology
21.4.1 Hypotheses
21.5 Empirical Results
21.5.1 Regions: China, India, and Hong Kong
21.5.2 Types of VC Firms
21.5.3 Reliance on Social Networks
21.5.4 Government Financial Incentives and Industries of Ventures
21.5.5 Multinomial Logit Regression Results
21.6 Conclusions
References
Chapter 22 Rating Skewness Spillovers in Equity and Currency Markets: Evidence from the Pacific Rim
22.1 Introduction
22.2 Data Description
22.3 Empirical Modeling
22.3.1 Vector Auto Regression Analyses
22.3.2 Panel Regression Analyses
22.4 Empirical Findings*
22.4.1 Vector Auto Regression Results
22.4.2 Panel Regression Results
22.4.3 Rating Spillover Effects on Realized Skewness
22.5 Conclusion
References
Chapter 23 Dealing with East Asian Equity Market Contagion: Some Policy Implications
23.1 Introduction
23.2 Econometric Methodology and Data
23.2.1 Model
23.2.2 Testing for Shift Contagion
23.2.3 Testing for Pure Contagion
23.3 Data
23.4 Empirical Results
23.4.1 Taiwan and Indonesia
23.4.2 Malaysia
23.4.3 Japan, Singapore, Korea, and the Philippines
23.4.4 Thailand
23.5 Formulating Policy
23.6 Conclusions
Acknowledgments
References
Chapter 24 Response of Indian Equities to U.S. Stock Market Movements of the Prior Trading Day
24.1 Introduction
24.2 Indian Securities Markets and Related Data
24.3 Interconnections Between Indian and U.S. Stock Markets
24.3.1 Level of Market Integration over the Years
24.3.2 Daily Volatility Spillovers (Squared Returns VAR)
24.3.3 Daily Price Connections (Returns VAR)
24.4 Nature of Indian Responses To U.S. Stock Price Movements
24.4.1 Asymmetric Responses
24.4.2 Promptness of Indian Responses to U.S. Market Movements
24.5 Liquidity-Related Factors
24.5.1 Response to U.S. Market Movements and Trading Activity
24.5.2 Response to U.S. Market Movements and Transaction Size
24.6 Conclusion
References
Chapter 25 Asset Pricing with Higher-Order Co-Moments and Alternative Factor Models: The Case of an Emerging Market
25.1 Introduction and Review of the Literature
25.2 Framework for Estimation and Inference on Higher-Order Co-Moments Model
25.3 Data
25.3.1 Description of the Data
25.3.2 Formation of Portfolios
25.3.3 Construction of Fama-French Factors
25.4 Empirical Analysis of Pricing Models with Higher-Order Co-Moments
25.5 Comparison with Three Factor Fama-French Model
25.5.1 Risk Exposure of Higher-Order Co-Moments and Fama-French Factors
25.5.2 Risk Premia of Higher-Order Co-Moments and Fama-French Factors
25.6 Conclusion
Acknowledgment
References
Chapter 26 Market Risk Management for Emerging Markets: Evidence from the Russian Stock Market
26.1 Introduction
26.2 Multivariate Modeling
26.2.1 Copula Modeling
26.2.2 Unified Approach
26.2.3 Some Extensions: Student’s t Marginals and Dynamic Copulas
26.3 Empirical Analysis
26.3.1 Model Specifications and Case Studies
26.3.2 VaR Estimation
26.3.3 VaR Evaluation
26.3.4 VaR Out-of-Sample Results
26.4 Conclusions
References
Chapter 27 Microstructure of the Bid–Ask Spreads of Russian Sovereign Bonds (1996–2000): Spreads as Indicators of Liquidity
27.1 Introduction
27.2 Description of the Dataset
27.3 Predictable Component of the Spreads
27.4 Separation of Trade Execution, Information Asymmetry, and Inventory Maintenance Components of the Bid-Ask Spreads
27.5 Information Content of the Informed Trading Series
27.6 Discussion
Acknowledgments
References
Chapter 28 Reaction of Fixed- Income Security Investors to Extreme Events: Evidence from Emerging Markets
28.1 Introduction
28.2 Data, Methodology, and Hypotheses
28.3 Results
28.4 Are the Subsequent Abnormal Returns Related To the Event Day Shock?
28.5 Conclusion
References
Chapter 29 Market Liquidity and Investor Sentiment: Evidence from International Closed- End Funds
29.1 Introduction
29.2 Data and Method of Analysis
29.3 Empirical Results
29.3.1 Sentiment–Discount Relationship: CEF Portfolios
29.3.2 Sentiment–Discount Relationship: Individual CEFs
29.3.3 Sentiment–Discount Relationship: Single-Country Funds We perform additional tests for the sentiment-discount relationship in Table 29.8 by examining single-country funds separately. Our sample of international equity funds consist of both single-country and multicountry CEFs. Previous research, including those of Klibanoff et al. (1998) and Hardouvelis et al. (1994), suggests that single-country fund discounts behave differently from their multicountry counterparts. For instance, fund prices are more sensitive to fundamentals in weeks when there is a front page article in the New York Times regarding the fund’s home country (Klibanoff et al., 1998).
29.4 Conclusions
References
Chapter 30 Closed-End Funds in Emerging Markets
30.1 Introduction
30.2 Previous Research
30.3 Design of This Study
30.4 Results
30.5 Conclusions
References
Chapter 31 Financial Distress and Emerging Markets
31.1 Introduction
31.2 Reform of Bankruptcy and Insolvency Statutes
31.2.1 Latin America
31.2.2 Asia
31.3 Cross-Border Insolvency Innovations
31.4 Sovereign Financial Distress
31.5 Conclusion
References
Chapter 32 State of Corporate Governance in Ukraine
32.1 Introduction
32.2 Literature Review
32.3 Corporate Governance in Ukraine
32.3.1 Disclosure and Transparency
32.3.2 Responsibilities of the Board
32.3.3 Shareholder Rights
32.3.4 Equitable Treatment of Shareholders
32.3.5 Role of Shareholders in Corporate Governance
32.4 Recommendations
References
Chapter 33 Accounting and Auditing Aspects of Corporate Governance in Emerging Economies
33.1 Introduction
33.2 Methodology
33.3 Findings
33.3.1 Timely and Accurate Disclosure of All Material Matters
33.3.2 Standards of Preparation, Audit, and Disclosure of Information
33.3.3 Independent Audit
33.3.4 Fair, Timely, and Cost-Effective Access to Information
33.4 Rankings
References
World Bank Reports
Chapter 34 Emerging Market Firms and Bonding Benefits
34.1 Introduction
34.2 Literature and Hypotheses
34.2.1 To Bond or Not to Bond
34.2.2 Legal Origin
34.2.3 Entry Methods and Protection Levels
34.3 Data and Sample Description
34.3.1 Data
34.3.2 Descriptive Statistics
34.4 Results
34.4.1 Subsequent Capital Raisings
34.4.2 Legal Origin and Subsequent Capital Raisings
34.4.3 Entry Method Protection and Subsequent Capital Raisings
34.4.4 Entry Method Protection and Legal Origin
34.5 Summary and Conclusions
References
Chapter 35 Corruption and Public Governance: Evidence from Vietnam
35.1 Introduction
35.2 Data
35.3 Methodology
35.4 Variation of Corruption Across Firms
35.5 Variation of Corruption Across Provinces
35.6 Impact of Provincial Public Governance on Corruption in Vietnam
35.7 Conclusions
References
Chapter 36 Empirical Test of New Theory of Economic Reform Using Indonesia as a Case Study (1988-2003)
36.1 Aims and Objectives
36.2 New Theory of Economic Reform
36.3 Need for Empirical Testing
36.4 Methodology and Results
36.5 Conclusion
References
Chapter 37 Ownership Structure and Firm Value: Evidence from the Turkish Financial Crisis
37.1 Introduction
37.2 Background
37.2.1 Ownership Structure
37.2.2 Legal Environment and Economy
37.3 Data and Methodology
37.4 Empirical Results
37.5 Conclusions
References
Chapter 38 Nonlinear Synthesis Approach Establishing a Banking or Financial Distress Early Warning System against Corruption
38.1 Introduction
38.2 Literature Review
38.3 Research Design and Statistical Method
38.3.1 Logistic Regression
38.3.2 Neural Network
38.3.3 Two-Stage Model of LR and NN
38.3.4 Variables Definition
38.3.5 Research Period, Sample, and Data Source
38.4 Empirical Results
38.4.1 Statistics Summary
38.4.2 Collinearity Diagnosis
38.4.3 Results of LR
38.4.4 Results of NN
38.4.5 Results of Two-Stage Synthesis Model
38.4.6 Comparing the Accuracy of Five Models
38.5 Conclusions
References
Chapter 39 Corporate Governance in Emerging Markets: An Overview
39.1 Introduction
39.2 Corporate Governance Mechanism in Emerging Markets
39.2.1 Board of Directors
39.2.2 Ownership Structure
39.2.3 Legal and Regulatory Structure
39.2.4 Competitive Markets
39.3 Corporate Governance in Turkey, China, and Russia
39.3.1 Corporate Governance in Turkey
39.3.2 Corporate Governance in China
39.3.3 Corporate Governance in Russia
39.4 Conclusion
References
Chapter 40 Government Corruption and Transactional Impediments in Emerging Markets
40.1 Introduction
40.2 Data Sources and Methods
40.3 Preliminary Results
40.4 Detailed Analysis
40.5 Discussion

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