Cross-national Stock Market Interdependence
Author | : Gyorgy Konda |
Publisher | : |
Total Pages | : 74 |
Release | : 1997 |
Genre | : |
ISBN | : |
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Author | : Gyorgy Konda |
Publisher | : |
Total Pages | : 74 |
Release | : 1997 |
Genre | : |
ISBN | : |
Author | : J. D. Byers |
Publisher | : |
Total Pages | : |
Release | : 1992 |
Genre | : |
ISBN | : |
Author | : Kristin Forbes |
Publisher | : |
Total Pages | : 54 |
Release | : 1999 |
Genre | : Contagion (Social psychology) |
ISBN | : |
This paper examines stock market co-movements. It begins with a discussion of several conceptual issues involved in measuring these movements and how to test for contagion. Standard tests examine if cross-market correlation in stock market returns increase during a period of crisis. The measure of cross-market correlations central to this standard analysis, however, is biased. The unadjusted correlation coefficient is conditional on market movements over the time period under consideration, so that during a period of turmoil when stock market volatility increases, standard estimates of cross-market correlations will be biased upward. It is straightforward to adjust the correlation coefficient to correct for this bias. The remainder of the paper applies these concepts to test for stock market contagion during the 1997 East Asian crises, the 1994 Mexican peso collapse, and the 1987 U.S. stock market crash. In each of these cases, tests based on the unadjusted correlation coefficients find evidence of contagion in several countries, while tests based on the adjusted coefficients find virtually no contagion. This suggests that high market co-movements during these periods were a continuation of strong cross-market linkages. In other words, during these three crises there was no contagion, only interdependence.
Author | : J. D. Byers |
Publisher | : |
Total Pages | : |
Release | : 1992 |
Genre | : Economics |
ISBN | : |
Author | : Ritankitashree Pathak |
Publisher | : Faculty of Commerce Banaras Hindu University |
Total Pages | : 0 |
Release | : 2022-09-02 |
Genre | : Business & Economics |
ISBN | : 9787333240730 |
Stock market interdependence can be understood as the process through which markets become closely integrated with its neighboring markets or the markets of the rest of the world without any administrative or economic barriers. This implies free flow of capital from one market to the other leading to better allocation of capital, development of markets, risk diversification as well as the development of financially unstable and less developed markets. It has been defined by different researchers differently. Classical ideology connote that markets are integrated because 'The Law of One Price' holds good i.e. the returns on assets are identical irrespective of the domicile of the investor or the issuer (Pagano, 2007). Market interdependence imply that markets are integrated when participants face single set of rules and have equal access to all financial instruments and services thereon and are treated as equal while being active in the market (Fakhr & Tayabi, 2009). It is stated as a process by which segmented markets get unified and the participants enjoy same access across markets (Jain & Bhanumurthy, 2005).
Author | : Eduardo Roca |
Publisher | : Routledge |
Total Pages | : 115 |
Release | : 2020-11-26 |
Genre | : Social Science |
ISBN | : 1000160378 |
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.
Author | : Daniel W. Drezner |
Publisher | : |
Total Pages | : 0 |
Release | : 2021 |
Genre | : Political Science |
ISBN | : 9780815738374 |
How globalized information networks can be used for strategic advantage Until recently, globalization was viewed, on balance, as an inherently good thing that would benefit people and societies nearly everywhere. Now there is growing concern that some countries will use their position in globalized networks to gain undue influence over other societies through their dominance of information and financial networks, a concept known as "weaponized interdependence." In exploring the conditions under which China, Russia, and the United States might be expected to weaponize control of information and manipulate the global economy, the contributors to this volume challenge scholars and practitioners to think differently about foreign economic policy, national security, and statecraft for the twenty-first century. The book addresses such questions as: What areas of the global economy are most vulnerable to unilateral control of information and financial networks? How sustainable is the use of weaponized interdependence? What are the possible responses from targeted actors? And how sustainable is the open global economy if weaponized interdependence becomes a default tool for managing international relations?
Author | : David A. Baldwin |
Publisher | : Princeton University Press |
Total Pages | : 508 |
Release | : 2020-09-22 |
Genre | : BUSINESS & ECONOMICS |
ISBN | : 0691204438 |
Introduction -- Techniques of statecraft -- What is economic statecraft? -- Thinking about economic statecraft -- Economic statecraft in international thought -- Bargaining with economic statecraft -- National power and economic statecraft -- "Classic cases" reconsidered -- Foreign trade -- Foreign aid -- The legality and morality of economic statecraft -- Conclusion -- Afterword : economic statecraft : continuity and change / Ethan B. Kapstein.
Author | : Cheng Few Lee |
Publisher | : World Scientific |
Total Pages | : 5053 |
Release | : 2020-07-30 |
Genre | : Business & Economics |
ISBN | : 9811202400 |
This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Author | : Bruno H. Solnik |
Publisher | : |
Total Pages | : 12 |
Release | : 1996 |
Genre | : |
ISBN | : 9782854185713 |