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This paper investigates whether privatisation in emerging economies has a significant indirect effect on local stock market development through the resolution of political risk. We argue that a sustained privatisation programme represents a major political test which gradually resolves...
Persistent link: https://www.econbiz.de/10011608502
This paper provides an empirical assessment of interdependence and contagion across three asset classes (bonds, stocks …. For emerging economies, these within-market effects mostly apply to the equity market. Contagion effects within-market are … most notable in Latin America and Emerging Asia for equities. Cross-market contagion is identified from global bonds to …
Persistent link: https://www.econbiz.de/10013100396
Persistent link: https://www.econbiz.de/10001580233
This paper examines key determinants of the distance between the sovereign's credit rating and the ratings of sub-sovereign foreign currency bonds, such as bond issuers' type, debt characteristics, and global and country's economic conditions. Using a comprehensive international bond-level...
Persistent link: https://www.econbiz.de/10012971168
High book-to-market stocks earn higher average returns than low book-to-market stocks. This result has been verified using stock returns from the U.S., developed, and emerging markets. Why B/M explains expected returns is still an open question. In this paper, we use stock returns representing...
Persistent link: https://www.econbiz.de/10012947289
This paper explores the effects of fiscal transparency on the borrowing costs of 33 emerging and developing economies (EMs), and on foreign demand for their sovereign debt. Using multiple indicators, including a constructed one based on the published data in the IMF's Government Finance...
Persistent link: https://www.econbiz.de/10012910360
We are the first to investigate the cross-section of stock returns in the new emerging equity markets, the so-called frontier emerging markets. Our unique survivorship-bias free data set consists of more than 1,400 stocks over the period 1997 to 2008 and covers 24 of the most liquid frontier...
Persistent link: https://www.econbiz.de/10013116149
important contagion channel through which crises in emerging market economies can affect mature markets. Forecast error variance …
Persistent link: https://www.econbiz.de/10013156817
The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper...
Persistent link: https://www.econbiz.de/10013085983
The unprecedented collapse of international interbank borrowing was a prominent feature of the global financial crisis that started in August 2007. This paper focuses on the drivers of the retrenchment from 32 advanced and emerging banking systems. Using novel risk-weighted indexes the paper...
Persistent link: https://www.econbiz.de/10013088307