Global stock markets and portfolio management:
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
Basingstoke [u.a.]
Palgrave Macmillan
2006
|
| Ausgabe: | 1. publ. |
| Schriftenreihe: | Centre for the Study of Emerging Markets series
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | Includes bibliographical references and index |
| Beschreibung: | XIII, 123 S. |
| ISBN: | 9781403991553 1403991553 |
Internformat
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| 250 | |a 1. publ. | ||
| 264 | 1 | |a Basingstoke [u.a.] |b Palgrave Macmillan |c 2006 | |
| 300 | |a XIII, 123 S. | ||
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| 490 | 0 | |a Centre for the Study of Emerging Markets series | |
| 500 | |a Includes bibliographical references and index | ||
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| 650 | 7 | |a Effectenhandel |2 gtt | |
| 650 | 7 | |a Portfolio-analyse |2 gtt | |
| 650 | 4 | |a Entwicklungsländer | |
| 650 | 4 | |a Ökonometrisches Modell | |
| 650 | 4 | |a Stock exchanges |x Econometric models |v Case studies | |
| 650 | 4 | |a Portfolio management |x Econometric models |v Case studies | |
| 650 | 4 | |a Capital movements |z Developing countries |x Econometric models | |
| 650 | 4 | |a Investments |z Developing countries |x Econometric models | |
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Datensatz im Suchindex
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|---|---|
| adam_text | Contents
List of Figures and Tables vii
Preface ix
Acknowledgements xi
Notes on the Contributors xiii
1 Introduction 1
Sima Motamen Samadian
2 The Dynamics of Emerging Markets Hedge Funds
Exposures during the Asian Currency Crisis of 1997 5
Guillaume Monarcha
3 The Adjustments of Stock Prices to Information on
Inflation: Evidence from MENA Countries 23
Samer A.M. Al Rjoub
4 Portfolio Management and Financial Market Integration
of Emerging MENA Stock Markets 37
Simon Neaime
5 Oil Price Shocks and Emerging Stock Markets:
A Generalized VAR Approach 55
Aktham Maghyereh
6 Reactions to Regulatory Changes and Policy Adjustments
in an Emerging Stock Market: China 69
fing Kong and Ding Lu
7 Technical Trading Strategies and Market Efficiency 91
Robert Slepaczuk
Index 121
V
List of Figures and Tables
Figures
2.1 Asian markets Performance around the Asian
currency crisis 14
2.2 Mean estimated exposure to Asian equities 14
2.3 Mean estimated exposure to Latin American equities 16
2.4 Mean estimated exposure to Eastern European equities 17
5.1 Time paths generalized impulse response to a one
Standard error shock in the crude oil market 63
6.1 Size and timings of the detected return outliers 80
6.2 Regulatory event days and GARCH model residual
and conditional Standard deviation 82
Tables
2.1 Summary statistics of emerging markets hedge funds
estimated exposures 10
2.2 Coefficients statistics 10
2A Hedge funds exposures 20
3.1 Selection of a model using Ljung Box Q statistics 28
3.2 News effect of inflation 30
3.3 Diagnostic statistics of the residuals from EGARCH
estimation 31
3.4 Diagnostic statistics of the residuals from TARCH
estimation 32
4.1 Measures of stock market developments, 1994 2002 42
4.2 Descriptive statistics for market returns, 1994 2002 44
4.3 Market efficiency tests 45
4.4 Cointegration tests, MENA GCC stock markets 47
4.5 Cointegration tests, MENA stock markets 47
4.6 Cointegration tests, GCC stock markets and world
markets 48
4.7 Cointegration tests, non GCC MENA stock markets
and world markets 49
vii
viii List ofFigures and Tables
4.8 Summary of pairwise Granger causality patterns 50
5.1 Unit root test statistics 61
5.2 Generalized decomposition of forecast error in
emerging stock markets in response to shocks in
the crude oil market 62
6.1 Descriptive statistics of market returns, 1995 2003 75
6.2 Correlation matrix of market returns, 1995 2003 75
6.3 Classification of causes of return outliers, 1995 2003 77
6.4 Sample variance for index returns, 1995 2003 78
6.5 Estimation results of the GARCH (1, 1) M model
(without dummies) 81
6.6 Estimation results of the GARCH (1, 1) M model
(with dummy) 85
7.1 List of futures contracts and specification of tested data 111
7.2 FW20 results, percentage daily rate of return 112
7.3 FW20 results, percentage weekly rate of return 113
|
| adam_txt |
Contents
List of Figures and Tables vii
Preface ix
Acknowledgements xi
Notes on the Contributors xiii
1 Introduction 1
Sima Motamen Samadian
2 The Dynamics of Emerging Markets Hedge Funds
Exposures during the Asian Currency Crisis of 1997 5
Guillaume Monarcha
3 The Adjustments of Stock Prices to Information on
Inflation: Evidence from MENA Countries 23
Samer A.M. Al Rjoub
4 Portfolio Management and Financial Market Integration
of Emerging MENA Stock Markets 37
Simon Neaime
5 Oil Price Shocks and Emerging Stock Markets:
A Generalized VAR Approach 55
Aktham Maghyereh
6 Reactions to Regulatory Changes and Policy Adjustments
in an Emerging Stock Market: China 69
fing Kong and Ding Lu
7 Technical Trading Strategies and Market Efficiency 91
Robert Slepaczuk
Index 121
V
List of Figures and Tables
Figures
2.1 Asian markets' Performance around the Asian
currency crisis 14
2.2 Mean estimated exposure to Asian equities 14
2.3 Mean estimated exposure to Latin American equities 16
2.4 Mean estimated exposure to Eastern European equities 17
5.1 Time paths generalized impulse response to a one
Standard error shock in the crude oil market 63
6.1 Size and timings of the detected return outliers 80
6.2 Regulatory event days and GARCH model residual
and conditional Standard deviation 82
Tables
2.1 Summary statistics of emerging markets hedge funds
estimated exposures 10
2.2 Coefficients statistics 10
2A Hedge funds exposures 20
3.1 Selection of a model using Ljung Box Q statistics 28
3.2 News effect of inflation 30
3.3 Diagnostic statistics of the residuals from EGARCH
estimation 31
3.4 Diagnostic statistics of the residuals from TARCH
estimation 32
4.1 Measures of stock market developments, 1994 2002 42
4.2 Descriptive statistics for market returns, 1994 2002 44
4.3 Market efficiency tests 45
4.4 Cointegration tests, MENA GCC stock markets 47
4.5 Cointegration tests, MENA stock markets 47
4.6 Cointegration tests, GCC stock markets and world
markets 48
4.7 Cointegration tests, non GCC MENA stock markets
and world markets 49
vii
viii List ofFigures and Tables
4.8 Summary of pairwise Granger causality patterns 50
5.1 Unit root test statistics 61
5.2 Generalized decomposition of forecast error in
emerging stock markets in response to shocks in
the crude oil market 62
6.1 Descriptive statistics of market returns, 1995 2003 75
6.2 Correlation matrix of market returns, 1995 2003 75
6.3 Classification of 'causes' of return outliers, 1995 2003 77
6.4 Sample variance for index returns, 1995 2003 78
6.5 Estimation results of the GARCH (1, 1) M model
(without dummies) 81
6.6 Estimation results of the GARCH (1, 1) M model
(with dummy) 85
7.1 List of futures contracts and specification of tested data 111
7.2 FW20 results, percentage daily rate of return 112
7.3 FW20 results, percentage weekly rate of return 113 |
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| index_date | 2024-07-02T14:21:27Z |
| indexdate | 2024-07-09T20:37:38Z |
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| spelling | Global stock markets and portfolio management edited by Sima Motamen-Samadian 1. publ. Basingstoke [u.a.] Palgrave Macmillan 2006 XIII, 123 S. txt rdacontent n rdamedia nc rdacarrier Centre for the Study of Emerging Markets series Includes bibliographical references and index Econometrische modellen gtt Effectenhandel gtt Portfolio-analyse gtt Entwicklungsländer Ökonometrisches Modell Stock exchanges Econometric models Case studies Portfolio management Econometric models Case studies Capital movements Developing countries Econometric models Investments Developing countries Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd rswk-swf Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Internationaler Aktienmarkt (DE-588)4257200-9 gnd rswk-swf (DE-588)4522595-3 Fallstudiensammlung gnd-content Internationaler Aktienmarkt (DE-588)4257200-9 s Ökonometrisches Modell (DE-588)4043212-9 s DE-604 Portfoliomanagement (DE-588)4115601-8 s Motamen-Samadian, Sima Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014734406&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Global stock markets and portfolio management Econometrische modellen gtt Effectenhandel gtt Portfolio-analyse gtt Entwicklungsländer Ökonometrisches Modell Stock exchanges Econometric models Case studies Portfolio management Econometric models Case studies Capital movements Developing countries Econometric models Investments Developing countries Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd |
| subject_GND | (DE-588)4043212-9 (DE-588)4115601-8 (DE-588)4257200-9 (DE-588)4522595-3 |
| title | Global stock markets and portfolio management |
| title_auth | Global stock markets and portfolio management |
| title_exact_search | Global stock markets and portfolio management |
| title_exact_search_txtP | Global stock markets and portfolio management |
| title_full | Global stock markets and portfolio management edited by Sima Motamen-Samadian |
| title_fullStr | Global stock markets and portfolio management edited by Sima Motamen-Samadian |
| title_full_unstemmed | Global stock markets and portfolio management edited by Sima Motamen-Samadian |
| title_short | Global stock markets and portfolio management |
| title_sort | global stock markets and portfolio management |
| topic | Econometrische modellen gtt Effectenhandel gtt Portfolio-analyse gtt Entwicklungsländer Ökonometrisches Modell Stock exchanges Econometric models Case studies Portfolio management Econometric models Case studies Capital movements Developing countries Econometric models Investments Developing countries Econometric models Ökonometrisches Modell (DE-588)4043212-9 gnd Portfoliomanagement (DE-588)4115601-8 gnd Internationaler Aktienmarkt (DE-588)4257200-9 gnd |
| topic_facet | Econometrische modellen Effectenhandel Portfolio-analyse Entwicklungsländer Ökonometrisches Modell Stock exchanges Econometric models Case studies Portfolio management Econometric models Case studies Capital movements Developing countries Econometric models Investments Developing countries Econometric models Portfoliomanagement Internationaler Aktienmarkt Fallstudiensammlung |
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