book

Emerging Markets and the Global Economy

by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen

December 2013

Intermediate to advanced

928 pages

28h 50m

English

Academic Press

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Cover image
Title page
Table of Contents
Copyright
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
AbstractAcknowledgment1 Introduction2 Stochastic Discount Factors and Benchmark Models3 Performance Evaluation of Managed Portfolios4 Econometric Methodology and Tests5 ConclusionReferences
Chapter 2. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions’ Investment Decisions
Abstract1 Introduction2 The δ-Rating Methodology3 Rating Evaluation: Carrying Out the Methodology4 Discussion and ConclusionReferences
Chapter 3. Emerging Markets Banks Performance Evidence from China’s Banks in Hong Kong
Abstract1 Introduction2 Foreign Banks in Hong Kong3 Hypothesis Testing4 Data and Methodology5 Empirical Results6 ConclusionReferences
Chapter 4. Determinants of the Real Rate of Return: Evidence from Cross-Country Panel Data
Abstract1 Introduction2 The Data3 The Methodology4 Determinants of Asset Returns: Some Basic Results5 Determinants of Asset Returns: Some Refinements6 ConclusionsAppendix List of CountriesReferences
Chapter 5. Understanding the Relationship Between Liquidity and Inflation in the Post Crisis Period in India: from Bank Dealers’ Perspectives
Abstract1 Introduction2 The Scenario3 The Existing Literature on Economic Games4 Features of the Game in Decision Making of a Dealer in the Government Security Desk5 Forecasting Liquidity6 Decision Making of a Dealer in the Equity Desk7 ConclusionAppendixReferences
Chapter 6. Demographic Transition and Savings Behavior in Mauritius
Abstract1 Introduction2 Literature Survey3 Savings Trends4 Methodology5 Findings—Macroeconomic Modeling6 Findings—Microeconomic Modeling7 ConclusionReferences
Chapter 7. An Investigation of the Deviation from the Market Efficiency and its Implications for Capital Market Development: The DSE Evidence
AbstractAcknowledgments1 Introduction2 Background of DSE3 Testing Methodologies4 Data, Econometric Packages, and Descriptive Statistics5 Results and Analysis6 Conclusion and Policy ImplicationsReferences
Chapter 8. An Econometric Analysis of the Impact of Oil Prices on Stock Markets in Gulf Cooperation Countries
AbstractAcknowledgment1 Introduction2 GCC Stock Markets and Oil3 Transmission Channels4 Empirical Investigation5 Policy Discussion6 ConclusionAppendix 1—Individual Stationarity Tests for Series (in Logarithm)References
Chapter 9. Trading Intensity and Informed Trading in the Tunis Stock Exchange
AbstractAcknowledgments1 Introduction2 Institutional Features of the Tunis Stock Exchange3 Econometric Models4 Empirical Analysis5 ConclusionReferences
Chapter 10. Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk
AbstractAcknowledgment1 Introduction2 Literature Review3 The Role of Gas and Oil in the BRICS4 Data5 Econometric Models6 Empirical Results7 Conclusions and Future ResearchAppendixReferences
Chapter 11. Developed and Emerging Equity Market Tail Risk: Is it Constant?
AbstractAcknowledgment1 Introduction2 Testing Structural Change in Tail Behavior: Theory3 Monte Carlo Experiments4 Empirical Application5 ConclusionsAppendix A Calibration of GARCH(1, 1) ParametersAppendix B Derivations of Second Order Expansion ParametersReferences
Chapter 12. Measuring Systemic Risk in Emerging Markets Using CoVaR
AbstractAcknowledgments1 Introduction2 Review of the Literature3 Econometric Methodology4 Data and Empirical Results5 Summary and Concluding RemarksReferences
Chapter 13. An Empirical Study on Mutual Funds Performance Persistence in China
Abstract1 Introduction2 Literature Review3 Methodology4 Research Findings5 ConclusionsReferences
Chapter 14. Cultural Behavioral Finance in Emerging Markets
Abstract1 Introduction2 Culture and Financial Decision Making3 Behavioral Finance in Emerging Markets: A Cultural Perspective4 The Future of Cultural Behavioral Finance Research in Emerging MarketsReferences
Chapter 15. Early Warning System for Financial Crisis: Statistical Classification Approach
AbstractAcknowledgments1 Introduction2 Procedure Description3 Oracle Classifier4 Lag-l Forecasting Classifier5 Linking Various Classifiers6 Empirical Example and Experiment7 ConclusionReferences
Chapter 16. Comovements and Volatility Spillovers Between Oil Prices and Stock Markets: Further Evidence for Oil-Exporting and Oil-Importing Countries
Abstract1 Introduction2 Data and Methodology3 Empirical Results4 ConclusionReferences
Chapter 17. Collateral in Emerging Economies
Abstract1 Introduction2 Literature on Collateral3 Empirical Analysis4 Robustness Checks5 Policy Implication6 ConclusionsReferences
Chapter 18. Tactical Risk Analysis in Emerging Markets in the Wake of the Credit Crunch and Ensuing Sub-prime Financial Crisis
AbstractAcknowledgment1 Introduction2 Related Literature Review and Purpose of Present Study3 Methodology and Research Design4 Results and Discussion of Findings5 Discussion and ConclusionAppendix A Derivation of Liquidity-Adjusted Value-at-Risk (LVaR) Mathematical Structure During the Close-Out (Unwinding) PeriodReferences
Part 2: DYNAMIC INTERACTIONS WITH THE GLOBAL ECONOMY
Chapter 19. Volatility and Spillover Effects of Central and Eastern Europe: Impact of EU Enlargement
Abstract1 Introduction2 Literature Review3 Data and Summary Statistics4 Multivariate GARCH Models5 Empirical Results6 ConclusionReferences
Chapter 20. Price Jump Behavior During Financial Distress: Intuition, Analysis, and a Regulatory Perspective
Abstract1 Introduction2 Price Jumps and Financial Crisis3 Methodology4 Data Description5 Results6 Regulatory Consequences7 ConclusionReferences
Chapter 21. Are Emerging Markets Exposed to Contagion from the United States: Evidence from Stock and Sovereign Bond Markets
Abstract1 Introduction2 Some Theoretical Underpinnings3 Some Amplifications on Recent Crisis4 Methodology5 Data and Descriptive Statistics6 Empirical Results7 Implications and ConclusionReferences
Chapter 22. Assessing the Effects of the Global Financial Crisis on the East Asian Equity Markets
Abstract1 Introduction2 Literature Review3 Data and Methodology4 Empirical Results5 ConclusionReferences
Chapter 23. Contagion versus Interdependence: The Case of the BRIC Countries During the Subprime Crises
Abstract1 Introduction2 BRIC Countries3 A Brief Review of Literature4 The Empirical Methodology5 Empiricals Results6 Interdependence versus Contagion7 Summary and ImplicationsReferences
Chapter 24. On the Importance of Trend Gaps in Assessing Equity Market Correlations
Abstract1 Introduction2 Measuring Market Correlation3 Defining Stock Market Trends4 Data and Descriptive Statistics5 Results6 ConclusionReferences
Chapter 25. Stock Market Co-movement in ASEAN and China
Abstract1 Introduction2 Theoretical Underpinnings of Stock Market Linkages3 Existing Literature on Stock Market Linkages4 Overview of the Markets and Bilateral Trade and Investment5 Data6 Empirical Specification and Methodology7 Results8 ConclusionReferences
Chapter 26. Stock and Bond Markets Co-movements in Selected MENA Countries: A Dynamic Coherence Function Approach
Abstract1 Introduction2 Related Literature3 Empirical Analysis and Data4 Results and Discussions5 ConclusionAppendixReferences
Chapter 27. Equity Market Comovements Among Selected Emerging Countries from Long- and Short-Run Perspectives
Abstract1 Introduction2 Integration of Equity Markets3 Empirical Methods4 Data and Results5 ConclusionReferences
Chapter 28. Stock Market Volatility and Contagion Effects in the Financial Crisis: The Case of South-Eastern Europe
AbstractAcknowledgment1 Introduction2 Recent Economic Developments in the SEE Countries3 SEE Stock Market Growth and Prospects4 An Empirical Analysis of the SEE Stock Markets5 ConclusionsReferences
Chapter 29. Emerging Market Stocks in Global Portfolios: A Hedging Approach
Abstract1 Introduction2 The Available Evidence3 Methodology4 An Informal Examination of the Data5 Empirical Results6 Robustness Test 1: The Conventional Mean-Variance Approach7 Robustness Test 2: Alternative Estimates of the Hedge Ratio8 ConclusionReferences
Chapter 30. The Behavior of International Stock Market Excess Returns in an Increasingly Integrated World
Abstract1 Introduction2 Summary Statistics and Preliminary Analysis3 A Time-Varying Analysis4 ConclusionReferences
Chapter 31. Determinants of International Financial Integration of GCC Markets
Abstract1 Introduction2 Literature Review of Financial Integration3 Measures of International Financial Integration4 Analysis of Determinants of International Financial Integration in GCC5 Conclusions and Policy ImplicationsReferences
Chapter 32. Asset Return and Volatility Spillovers Between Big Commodity Producing Countries
AbstractAcknowledgment1 Introduction2 Selected Literature Review3 The Econometric Model4 Data5 Empirical Results for Returns Spillovers6 Empirical Results for Volatility Spillovers7 ConclusionsReferences
Chapter 33. Correlation and Network Structure of International Financial Markets in Times of Crisis
AbstractAcknowledgments1 Introduction2 The Data3 Random Matrix Theory4 Correlation and Volatility of the Market5 Network Structure6 ConclusionReferences
Chapter 34. Financial Development and its Effects on Economic Growth: A Dynamic Analysis
AbstractAcknowledgment1 Introduction2 Literature Review3 Empirical Analysis of the Financial Development and Economic Growth Nexus4 ConclusionsAppendixReferences
Chapter 35. Financial Market Integration of ASEAN-5 with China and India
Abstract1 Introduction2 Literature review3 Data and Methodology4 Findings5 ConclusionAppendixReferences
Index

Content preview from Emerging Markets and the Global Economy

Chapter 15

Early Warning System for Financial Crisis: Statistical Classification Approach

Young Min Kim^a, Kyong Joo Oh^a and Tae Yoon Kim^b, ^aDepartment of Information and Industrial Engineering, Yonsei University, Seoul, South Korea, ^bDepartment of Statistics, Keimyung University, Daegu, South Korea, E-mail: wealth1@yonsei.ac.kr, johanoh@yonsei.ac.kr, tykim@kmu.ac.kr

Abstract

This chapter discusses a statistical classification approach for developing a financial crisis early warning system (EWS). The main aim of this chapter is to introduce a lag- forecasting classifier constructed in accordance with the sequential works by Son et al. (2009) ...

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Emerging Markets and the Global Economy

by Mohammed Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen

Early Warning System for Financial Crisis: Statistical Classification Approach

Abstract

Become an O’Reilly member and get unlimited access to this title plus top books and audiobooks from O’Reilly and nearly 200 top publishers, thousands of courses curated by job role, 150+ live events each month,
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