Emerging Markets and the Global Economy

A Handbook

1st Edition - December 12, 2013
Editors: Mohammed El Hedi Arouri, Sabri Boubaker, Duc Khuong Nguyen
Language: English
Hardback ISBN:
9 7 8 - 0 - 1 2 - 4 1 1 5 4 9 - 1
eBook ISBN:
9 7 8 - 0 - 1 2 - 4 1 1 5 6 3 - 7

Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically prone to policy shocks. Despite the large bod… Read more

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Emerging Markets and the Global Economy investigates analytical techniques suited to emerging market economies, which are typically 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 measure them imprecisely.

Describing 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. Usually attractive for investors because of the superior growth they can deliver, emerging markets can have a low correlation with developed markets. This collection advances your knowledge about their inherent characteristics.

Foreword by Ali M. Kutan

Cover image
Title page
Table of Contents
Emerging Markets and the Global Economy
Emerging Markets and the Global Economy
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
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 δ-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 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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Emerging Markets and the Global Economy

A Handbook

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Mohammed El Hedi Arouri

Sabri Boubaker

Duc Khuong Nguyen