Temat: Frontier markets - Katalog OPAC zbiorów

Skocz do pozycji: 1.

Tytuł:: Investigating Impact of US, Europe, Frontier and BRIC Stock Markets on Indian Financial Stress Index
Autorzy:: Singh, Amanjot
Singh, Manjit
Powiązania:: https://bibliotekanauki.pl/articles/1202339.pdf
Data publikacji:: 2016
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: BRIC
financial stress
frontier markets
transmission
Opis:: The emerging markets are slowly opening up their respective financial markets to foreign investments, thereby making the latter markets more sensitive to cross-market information transmissions. There are different transmission mechanisms ranging from trade related to financial linkages. However, statistically, both price discovery and conditional volatility act as transmission mechanisms, whereby information in one stock market has an impact on another. In this regard, the present study attempts to empirically analyse the impact of global information transmissions, i.e., stock market returns and conditional volatility on overall Indian financial stress and its various sub-components by employing different econometric models comprising Johanson Cointegration, Vector Autoregression and its various counterparts, Component GARCH (1,1) model and multivariate OLS regression models ranging from October 2003 to October 2014. The study firstly constructed Indian financial stress index owing to non-existence of a standardised index. The results reported that the one month lagged returns in the BRIC stock markets have an impact on the financial stress index of India. The stress in the Indian financial system responds statistically signifi cantly to the Brazilian and Chinese market returns, with a greater degree of integration after two months. A statistically signifi cant impact of the shortrun volatility has also been observed running from the European markets to the Indian financial system contemporaneously. Furthermore, unexpected volatility in the BRIC markets also has an impact on the Indian financial stress contemporaneously as well as dynamically. The present study provides an insight to the international investors regarding the response of Indian financial system and its sub-components toward global information transmissions.
Źródło:: Journal of Banking and Financial Economics; 2016, 2(6); 23-44
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Frontier and Emerging Markets: A Perspective from Portfolio Flows and Financial Integration
Autorzy:: Abidi, Nordine
Hacibedel, Burcu
Nkusu, Mwanza
Powiązania:: https://bibliotekanauki.pl/articles/2040978.pdf
Data publikacji:: 2019-02-05
Wydawca:: Uniwersytet Warszawski. Wydawnictwo Naukowe Wydziału Zarządzania
Tematy:: Frontier Markets
Portfolio flows
Financial Integration
Balance of Payments Needs
Opis:: This paper investigates to what extent low-income developing countries (LIDCs) characterized as frontier markets (FMs) have begun to be subject to capital flows dynamics typically associated with emerging markets (EMs). Using a sample of developing countries covering the period 2000–14, we show that: (i) average annual portfolio flows to FMs as a share of gross domestic product (GDP) outstripped those to EMs by about 0.6 percentage points of GDP; (ii) during years of heightened stress in global financial markets, portfolio flows to FMs dried up like those to EMs; and that (iii) FMs have become more integrated into international financial markets. Our findings confirm that, in terms of portfolio flows, FMs have become more similar to EMs than to the rest of LIDCs and are therefore more vulnerable to swings in global financial markets conditions. Accordingly, it is important to have in place frameworks to strengthen FMs’ resilience to adverse capital flows shocks.
Źródło:: Journal of Banking and Financial Economics; 2019, 1(11); 19-45
2353-6845
Pojawia się w:: Journal of Banking and Financial Economics
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: Cross-Country Differences in Return and Volatility Metrics of World Equity Indices
Autorzy:: Sheraliev, Iskandar
Ślepaczuk, Robert
Powiązania:: https://bibliotekanauki.pl/articles/2200545.pdf
Data publikacji:: 2023-05-30
Wydawca:: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
Tematy:: Frontier markets
Emerging markets
Developed markets
Cross-country differences
Volatility
GDP per capita
Opis:: This research seeks to determine whether the cross-country differences in return and volatility metrics in various country equity indices can be explained by differences in economic development. We base the study on the MSCI IMI net income indices on two samples: a 51-country sample from the period 31 May 2002 to 28 February 2022, and a 75-country sample from the period 30 November 2010 to 28 February 2022. In this study, countries are grouped into four categories: frontier, emerging, early-developed, and developed, based on gross domestic product (GDP) per capita. The Kruskal–Wallis rank sum test is used to find cross-group differences, and the results are further analyzed with the pairwise Wilcoxon rank sum test with the Holm–Bonferroni p value adjustment method. The results are relatively unintuitive and show that there is no significant cross-group difference in daily and monthly returns. There is evidence of a considerable difference in volatility metrics, especially in the case of the emerging market group, which is significantly different from the three other groups. The results are slightly sensitive to time period change and very sensitive to changes in income categories of some countries.
Źródło:: Central European Economic Journal; 2023, 10, 57; 91-115
2543-6821
Pojawia się w:: Central European Economic Journal
Dostawca treści:: Biblioteka Nauki

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