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What Determines Stock Market Behavior in Russia and Other Emerging Countries?
Korhonen, Iikka - 2019
countries in 2004. Key words: Russian stock market, oil, financial market integration, stock market returns, news, emerging …
Persistent link: https://www.econbiz.de/10012903501
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Emerging Government Bond Market Timing
Duyvesteyn, Johan G. - 2019
Excess bond returns in developed markets are predictable using factors like bond momentum, equity momentum and term … spread. We show the same factors can also predict emerging government bond returns of debt issued in local currency. An … local currency debt returns are positively correlated with U.S. treasury returns and have near-zero correlation with U …
Persistent link: https://www.econbiz.de/10012905412
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The Reaction of Emerging Market Credit Default Swap Spreads to Sovereign Credit Rating Changes
Ismailescu, Iuliana - 2019
This paper examines the impact of sovereign credit rating change announcements on the CDS spreads of the event countries, and their spillover effects on other emerging economies' CDS premiums. In contrast to previous work, we find that positive events have a more consistent impact on sovereign...
Persistent link: https://www.econbiz.de/10012906174
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Are Foreigners the Vectors of Contagion? A Study of Six Emerging Markets
Agudelo, Diego A. - 2018
probability of a coincidence of daily negative returns in both the S&P500 and the local index, in excess of what can be explained …
Persistent link: https://www.econbiz.de/10012906916
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Mutual Fund Performance in Emerging Markets : Thailand
Parker, Derrick - 2018
Persistent link: https://www.econbiz.de/10012907806
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Market Efficiency in the Emerging Securitized Real Estate Markets
Schindler, Felix - 2018
analysis of excess returns following from technical trading rules …
Persistent link: https://www.econbiz.de/10012940622
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A Comprehensive Test of the Fama-French Five-Factor Model in Emerging Markets
Foye, James - 2017
market equity returns than the three-factor model. Using an extensive sample of 18 countries from three different regions … description of equity returns in the region …
Persistent link: https://www.econbiz.de/10012945845
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Are Reversals Predictable in Emerging Stock Markets? The Role of Market States and Global Factors
Demirer, Riza - 2017
This paper examines the time-series predictability of reversals in an emerging stock market, Borsa Istanbul. We find that the state of the market has significant predictive power over payoffs to the contrarian strategy. The profitability of the contrarian strategy is primarily driven by...
Persistent link: https://www.econbiz.de/10012945885
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Impact of COVID-19 on Emerging Markets
El-Khatib, Rwan - 2020
volatility levels, and widening the premiums on sovereign credit default swaps. However, such upheavals did not yet reach the …
Persistent link: https://www.econbiz.de/10012824104
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There Is No smoke without the Fire - The Effect of Government Interventions in the Emerging Countries
Hryckiewicz, Aneta - 2017
We examine the shock of the global crisis on interbank markets in emerging countries and attempt to assess the impact of macroeconomic and financial sector policy announcements on spread changes in six Central and Eastern European (CEE) countries. We find that interbank markets in emerging...
Persistent link: https://www.econbiz.de/10012969466