Studies on the behavior of equity markets:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
New York [u.a.]
Garland Publ.
1998
|
| Series: | Financial sector of the American economy
|
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XV, 141 S. |
| ISBN: | 0815333293 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
List of Tables ix
Preface xiii
Chapter 1: Literature Survey 3
1.1: Financial Markets and Efficiency 3
1.1.1: Tests of Market Efficiency 5
1.1.2: Do Economic Variables Explain Stock Price
Behavior? 6
1.2: Stock Market Volatility 7
1.2.1: Why do we care about volatility? 8
1.2.2: Is volatility consistent with market efficiency? 9
1.2.3: Shiller s Variance Bounds Test 10
1.3: Relationship Between Risk and Return 12
1.4: Emerging Stock Markets 14
1.5: Internationalization of the Korean Equity Market 16
1.5.1: Foreign Investment Policy 16
1.5.2: The Final Step Towards Liberalization 17
Chapter 2: Predicting Stock Returns Using Different
Components of Output 21
2.1: Introduction 21
2.2: Data 22
2.3: Relation Between Expected Returns and Aggregate
Output 23
2.4: Decomposition of Output into Permanent and
Transitory components 27
2.4.1: Background on Decomposition 28
v
vi Contents
2.4.2: Decomposition of Output into Permanent and
Transitory Components 29
2.4.3: Expected Returns and Different Components of
Output 32
2.5: Summary and Conclusions 34
Chapter 3: Expected Stock Returns and Volatility in
Recessionary and Non Recessionary Markets 39
3.1: Introduction 39
3.2: Data 41
3.3: Relationship between Risk Premium and Volatility in
a Two Regime Market 41
3.3.1: General Framework 41
3.3.2: Risk Premium and Contemporaneous
Volatility 44
3.3.3: Risk Premium and The Predictable and
Unpredictable Components of Volatility 46
3.4: Estimates of the Market Price of Risk 49
3.4.1: Estimation Procedure 49
3.4.2: Empirical Estimates 49
3.5: Summary and Conclusions 54
Chapter 4: Stock Market Bubbles: Some Historical
Perspective 57
4.1: Introduction 57
4.2: Bull Markets In Perspective 57
4.3: A Trading Strategy Based on Stock Market Volatility 65
4.4: Bubble Size In Relation to Earnings and Dividends 67
4.5: Large Corrections 69
4.6: Stock Market Crashes in the Midst of Prosperity 70
4.7: The Possibility of Another Recession 71
4.8: Concluding Remarks 72
Chapter 5: Macroeconomic Determinants of Emerging Stock
Markets: Theory and Evidence 75
5.1: Introduction 75
5.2: Data 76
5.3: Methodology and Empirical Results 77
5.3.1: Descriptive Statistics 78
5.3.2: Pooled Regressions 80
Contents vii
5.3.3: Individual Country Results 83
5.4: Efficiency and Global Integration 95
5.5: Conclusions 99
Chapter 6: Impact of Equity Market Liberalization: Case of
Korea 101
6.1: Introduction 101
6.2: Data 102
6.3: Impact of Stock Market Opening 104
6.3.1: Descriptive Statistic 104
6.3.2: Changes in the Risk Return Relationship 112
6.3.3: Unsystematic Risk 117
6.3.4: Test for Granger Causality 119
6.3.5: Integration with Global Markets 120
6.4: Analysis of Individual Stocks 122
6.5: Conclusions 129
Bibliography 131
Index 141
List of Tables
2.1 Regression Estimates of the Relation Between Future
Stock Returns and Aggregate Output 25
2.2 Regression Estimates of the Relation Between Future
Stock Returns and the Growth Rate in Aggregate
Output 26
2.3 Univariate Regression Estimates of the Relation
Between Expected Stock Returns and the Growth
rates of Different Components of Ouput 33
3.1 This identifies the specific dates for regimes one and
two. Essentially, the columns identified as months
duration give the number of observations in each
regime. The first column provides the specific
calendar dates for both the regimes. For instance, the
period from December 1961 to June 1962 is
identified as a recessionary market period while the
period from July 1962 to January 1966 is identified as
a non recessionary market period etc. Business Cycle
Indicatior Series 19 has been used to determine the
regimes. 42
3.2 Regression Estimates of the Relation Between Excess
Stock Market Returns and Contemporaneous
Volatility for the Period 1962 1990 45
3.3 Regression Estimates of the Relation Between Excess
Stock Market Returns and the Predictable Component
of Volatility for the Period 1962 1990 47
ix
x List of Tables
3.4 Regression Estimates of the Relation Between Excess
Stock Market Returns and the Unpredictable
Component of Volatility for the Period 1962 1990 48
3.5 Estimates for the Market Price of Risk in Recessionary
and Non Recessionary Markets Using Monthly Data
for the Period 1962 1990 51
3.6 Price of Risk Estimates for Various Subperiods Using
Data for the Period 1962 1990 52
3.7 Price of Risk Estimates for Various Subperiods Using
Non Recessionary Market Data Over the Period
1962 1990 53
4.1 Declines of Three Percent or More in the S P 500
Stock Price Index After it Has Achieved a New All
Time High Since September 7, 1929. 59
4.2 The Sell and Repurchase Values for the S P
Composite Stock Price Index Associated with a
Strategy of Selling the Index after a First New
Historic High—if the Preceding Month s Dividend
Yield Was Equal to 3.0% or Less—and Repurchasing
It after the Next Cumulative Decline of Three Percent
or More. 64
4.3 The Sell and Repurchase Values for the S P
Composite Stock Price Index Associated with a
Strategy of Selling the Index after a First New
Historic High—if the Preceding End of the Quarter
P/E Ratio Was Over 20.50—and Repurchasing It
after the Next Cumulative Decline of Three Percent
or More. 68
5.1 Descriptive Statistic of Returns for the Period 1986.01
1992.12 79
5.2 Pooled Regression Results 81
5.3 Pooled Regression Results 82
5.4 Pooled Regression Results 82
5.5 Individual Country Regression Results 84
5.6 Individual Country Regression Results 86
5.7 Individual Country Regression Results 88
List of Tables xi
5.8 Autocorrelations of the First Difference of the Market
Price Index 90
5.9 Testing International CAPM Using IFCG as a Proxy for
the World Index 91
5.10 Testing International CAPM Using MSCI as a Proxy
for the World Index 93
5.11 Correlation of Monthly Returns for the Period 1986.01
1992.12 97
6.1 Foreign Investment in Korea after Equity Market
Liberalization 105
6.2 Descriptive Statistic of Variables for the Period
1986.01 1993.04 106
6.3 Descriptive Statistic of Variables Before Market
Opening 1986.01 1991.12 107
6.4 Descriptive Statistic of Variables After Market Opening
1992.01 1993.04 108
6.5 Autocorrelation of Variables for the Period 1986.01
1993.04 109
6.6 Autocorrelation of Variables Before Opening the
Market 1986.01 1991.12 110
6.7 Autocorrelation of Variables After Opening Up the
Market 1992.01 1993.04 111
6.8 Market Price of Risk 113
6.9 Systematic Risk (p) 114
6.10 Systematic Risk (/J) of Large Companies 115
6.11 Unsystematic Risk 118
6.12 Granger Causality Results 120
6.13 Correlation of Korean Stock Price Index with Global
Markets 121
6.14 Twenty Largest Korean Companies Listed in IFC
Index 123
6.15 17 Medium Size Korean Companies Listed in IFC
Index 125
6.16 Twenty Smallest Korean Companies Listed in IFC
Index 126
6.17 The liberalization of the Emerging Markets 128
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| id | DE-604.BV012767208 |
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| indexdate | 2024-07-09T18:33:18Z |
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| isbn | 0815333293 |
| language | English |
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| physical | XV, 141 S. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
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| publisher | Garland Publ. |
| record_format | marc |
| series2 | Financial sector of the American economy |
| spelling | Marathe, Achla Verfasser aut Studies on the behavior of equity markets Achla Marathe New York [u.a.] Garland Publ. 1998 XV, 141 S. txt rdacontent n rdamedia nc rdacarrier Financial sector of the American economy Bourse ram Indices boursiers ram Stock exchanges Stock price forecasting Aktienkursprognose (DE-588)4122774-8 gnd rswk-swf Aktienkursprognose (DE-588)4122774-8 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008681532&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Marathe, Achla Studies on the behavior of equity markets Bourse ram Indices boursiers ram Stock exchanges Stock price forecasting Aktienkursprognose (DE-588)4122774-8 gnd |
| subject_GND | (DE-588)4122774-8 |
| title | Studies on the behavior of equity markets |
| title_auth | Studies on the behavior of equity markets |
| title_exact_search | Studies on the behavior of equity markets |
| title_full | Studies on the behavior of equity markets Achla Marathe |
| title_fullStr | Studies on the behavior of equity markets Achla Marathe |
| title_full_unstemmed | Studies on the behavior of equity markets Achla Marathe |
| title_short | Studies on the behavior of equity markets |
| title_sort | studies on the behavior of equity markets |
| topic | Bourse ram Indices boursiers ram Stock exchanges Stock price forecasting Aktienkursprognose (DE-588)4122774-8 gnd |
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