Similar Search Results

Linear and Nonlinear Dynamic Linkages between Emerging Market Adrs and Their Underlying Stocks

Hunter, Delroy M. - 2004

I examine the causal linkages between the returns on emerging market ADRs, their underlying stocks, and changes in the relevant exchange rate. Using a linear VAR model with a cointegration constraint and a nonlinear causality test on daily data, I provide evidence of significant linear and...

Persistent link: https://www.econbiz.de/10014069925

Income Inequality : The Aftermath of Stock Market Liberalization in Emerging Markets

Das, Mitali; Mohapatra, Sanket - 2002

Early research has documented that the large scale equity market liberalizations of the last decade led the subsequent rise in aggregate equity indices, investment booms, capital flows and economic growth. An important and unaddressed issue is the normative question of whether and how these...

Persistent link: https://www.econbiz.de/10014120173

Cointegration and Causality Among International Gold and ASEAN Emerging Stock Markets

Do, Giam Quang - 2010

This paper focuses on testing possible linkages among international gold and ASEAN emerging markets based on daily data from July 28, 2000 to March 31, 2009. The Granger causality test and the Johansen cointegration technique were applied to examine possible short-run associations and the...

Persistent link: https://www.econbiz.de/10013149278

Exogenous Shocks, Dynamic Correlations, and Portfolio Risk Management for the Asian Emerging and Other Global Developed and Emerging Stock Markets

Dong, Xiyong; Li, Changhong; Yoon, Seong-Min - 2023

This study examines the potential influence of exogenous shocks on time-varying correlations and portfolio strategies between the Asian emerging and other global stock markets including developed and other emerging markets. Using the ARMA-cDCC-FIEGARCH model with and without exogenous shocks,...

Persistent link: https://www.econbiz.de/10014351309

Nowhere Left to Hide? Stock Market Correlation, Regional Diversification, and the Case for Investing in Africa

Moss, Todd J. - 2013

index. Sub-Saharan Africa is also part of this trend, but is a notable laggard. For instance, in 2010 the correlation with … Africa). Additionally, correlations among African markets are generally very low. While there remain barriers to exploiting … this trend, Africa's integration lag may present opportunities for investors seeking regional diversification — and …

Persistent link: https://www.econbiz.de/10013085160

Market Integration and Informational Efficiency of Africa's Stock Markets

Aawaar, Godfred - 2018

also a more informationally efficient market using a panel of 11 of Africa's leading stock markets for the period 2002 …

Persistent link: https://www.econbiz.de/10012931288

A Regime Switching Skew-Normal Model of Contagion in Major African Stock Markets

Abubakar, Jamaladeen - 2020

: Nigeria, Ghana, South Africa (SA), Tunisia, and the US stock market. To achieve this, two periods were considered, that is the … in Africa and in the US economy. Following the work of Chan et al (2018), the study used Regime Switching Skew …

Persistent link: https://www.econbiz.de/10014094459

The Virtue of CalPERS' Emerging Equity Markets Principles

Huppé, Gabriel A. - 2011

This article argues that CalPERS' new principles-based approach to investing in emerging markets stands at the midpoint between its previous alpha-generation policy of complete country-level divestment and its beta enhancement associated with universal investing in its domestic and developed...

Persistent link: https://www.econbiz.de/10013117706

How Large are the Benefits of Emerging Market Equities?

Conover, C. Mitchell - 2012

We perform a comprehensive evaluation of the benefits of emerging market equities by extending previous research in four fundamental ways. The contribution of this study is that it 1) evaluates a more complete sample; 2) examines performance measures that account for asymmetric return...

Persistent link: https://www.econbiz.de/10013099150

The Impact of Foreign Direct Investment (FDI) on Stock Market Development in GCC Countries

alsamman, hazem mohamad - 2020

Despite the huge number of studies in relation to the FDI, studies on the nexus between FDI and stock market development in GCC are still limited. This paper investigates the impact of FDI on stock market development in Gulf Cooperation Council countries that have become an important economic...

Persistent link: https://www.econbiz.de/10012826053