Does Emerging Market Exchange Risk Affect Global Equity Prices?

2006 ◽  
Vol 41 (3) ◽  
pp. 511-540 ◽  
Author(s):  
Francesca Carrieri ◽  
Vihang Errunza ◽  
Basma Majerbi
Keyword(s):  
Emerging Markets ◽  
Emerging Market ◽  
Equity Returns ◽  
Market Exchange ◽  
Currency Risk ◽  
Equity Prices ◽  
Political Risks ◽  
Exchange Risk ◽  
Local Risk ◽  
Empirical Tests

AbstractThis paper conducts empirical tests in a conditional setting for 10 developed and 12 emerging markets to determine whether emerging market currency risk is priced and if it spills over into developed market assets. Our empirical model is based on real exchange rate measures and it allows currency risk to compete with broader economic and political risks. We find that emerging market currency risk is priced separately from other local risk factors and that it represents a significant component of equity returns in both developed and emerging markets. We also find that the spillover impact is heightened during emerging market crisis episodes and affects the expected compensation for global risks.

Does Emerging Market Exchange Risk Affect Global Equity Prices?

2004 ◽  
Author(s):  
Francesca Carrieri ◽  
Vihang R. Errunza ◽  
Basma Majerbi
Keyword(s):  
Emerging Market ◽  
Market Exchange ◽  
Equity Prices ◽  
Exchange Risk

Characterizing World Market Integration through Time

2007 ◽  
Vol 42 (4) ◽  
pp. 915-940 ◽  
Author(s):  
Francesca Carrieri ◽  
Vihang Errunza ◽  
Ked Hogan
Keyword(s):  
Emerging Markets ◽  
Time Variation ◽  
Market Integration ◽  
Emerging Market ◽  
World Market ◽  
Market Returns ◽  
Portfolio Flows ◽  
Asset Pricing Models ◽  
Local Risk ◽  
Financial Market Development

AbstractInternational asset pricing models suggest that barriers to portfolio flows and availability of market substitutes affect the degree and time variation of world market integration. We use GARCH-in-mean methodology to assess the evolution in market integration for eight emerging markets over the period 1977–2000. Our results suggest that while local risk is still a relevant factor in explaining time variation of emerging market returns, none of the countries appear to be completely segmented. We find that there are substantial crossmarket differences in the degree of integration. The evolution toward more integrated financial markets is apparent although at times we do observe reversals. In addition, we provide clear evidence on the impropriety of directly using correlations of market-wide index returns as a measure of market integration. Finally, financial market development and financial liberalization policies play important roles in integrating emerging markets.

Equity Prices, Monetary Policy, And Economic Activities In Emerging Market Economies: The Case Of South Africa

2012 ◽  
Vol 28 (6) ◽  
pp. 1217 ◽  
Author(s):  
Lumengo Bonga-Bonga
Keyword(s):  
South Africa ◽  
Monetary Policy ◽  
Emerging Markets ◽  
Emerging Market ◽  
Labour Productivity ◽  
Emerging Market Economies ◽  
Font Size ◽  
Economic Activities ◽  
Equity Prices ◽  
Market Economies

<span style="font-family: Times New Roman; font-size: small;"> </span><p style="margin: 0in 0.5in 0pt; text-align: justify; mso-pagination: none;" class="MsoNormal"><span style="font-family: Times New Roman;"><span style="color: black; font-size: 10pt; mso-themecolor: text1;">This paper investigates the possible influence equity price shocks have on economic activities and inflation in emerging market economies such as South Africa. Moreover, the paper discusses the role monetary policy action should play in preventing or reducing the disruptive effects of equity market volatility in emerging markets. It uses the structural vector error correction (SVEC) model to identify the different shocks and obtain the impulse response functions in a case study of South Africa. The paper finds that positive shocks to equity prices negatively affect expected inflation in the first two quarters before the effect becomes positive. This finding indicates that initially </span><span lang="EN-ZA" style="color: black; font-size: 10pt; mso-themecolor: text1; mso-ansi-language: EN-ZA;">high stock market valuations raise the expectation of high capital and labour productivity by investors. Later on, the possibility of high stock prices increasing economic activity creates an expectation of high inflation rates in the future. From this finding, the paper concludes that the monetary authority in emerging markets in general and South Africa in particular should include equity prices in its reaction function. </span></span></p><span style="font-family: Times New Roman; font-size: small;"> </span>

Commodities in International and Emerging Markets

2018 ◽  
Author(s):  
Kamal Smimou
Keyword(s):  
Business Cycle ◽  
Emerging Markets ◽  
Emerging Market ◽  
Trading Strategies ◽  
Emerging Nations ◽  
Economic Significance ◽  
Portfolio Strategy ◽  
Bond Portfolio ◽  
The Business Cycle ◽  
Global Investors

This chapter seeks to elucidate the relations of U.S.-listed global commodity futures, the business cycle, and stocks and bonds of emerging markets. It shows that global investors poised to benefit from investing in emerging market securities can concurrently learn from and better understand the dynamic intermarket relations when establishing such trading strategies. Investment in emerging markets can enhance the performance and sturdiness of an equity or bond portfolio strategy. Evidence lends support to the conjecture that a subtle contemporaneous and occasionally trailing effect exerted by the movement of global commodities on the business cycle exists. Global commodities also affect equity and bond market dynamics. The evidence also reveals differences in terms of economic significance and magnitude among selected emerging nations and across various commodities.

Consumer Behavior in Emerging Markets

2018 ◽  
pp. 218-240 ◽  
Author(s):  
Raquel Castaño ◽  
David Flores
Keyword(s):  
Consumer Behavior ◽  
Emerging Markets ◽  
Emerging Market ◽  
High Income ◽  
Future Research ◽  
Psychological Processes ◽  
Developed Markets ◽  
Contextual Characteristics ◽  
Initial Framework

Emerging markets are substantially different from markets in high-income, industrialized societies. While many aspects of consumer behavior are the result of inherent psychological processes and are, thus, generalizable across countries and cultures, the specific contextual characteristics of emerging markets can significantly influence other aspects of consumer behavior. In this chapter, we explore the behavior of emerging market consumers. This chapter reviews the existing literature and proposes an initial framework delineating the main differences between emerging markets and developed markets consumers that describe how consumers in these societies recognize a need for, select, evaluate, buy, and use products. The chapter discusses the issues and contributions of the research on emerging consumers and presents implications of extant research for international managers. Finally, the chapter elaborates on an agenda for future research in this area.

Financialization and state capitalism in Hungary after the Global Financial Crisis

2021 ◽  
pp. 102452942110032
Author(s):  
David Karas
Keyword(s):  
Financial Crisis ◽  
Global Financial Crisis ◽  
Emerging Market ◽  
Active Role ◽  
The State ◽  
State Capitalism ◽  
Political Risks ◽  
Role Of The State ◽  
Advanced Economies ◽  
The Global Financial Crisis

Whereas the active role of the state in steering financialization is consensual in advanced economies, the financialization of emerging market economies is usually examined through the prism of dependency: this downplays the domestic political functions of financialization and the agency of the state. With the consolidation of state capitalist regimes in the semi-periphery after the Global Financial Crisis, different interpretations emerged – some linking state capitalism with de-financialization, others with coercive projects deepening it. Preferring a more granular and multi-dimensional approach, I analyse how different facets of financialization might represent political risks or opportunities for state capitalist projects: Based on the Hungarian example, I first explain how the constitution of a ‘financial vertical’ after 2010 inaugurated a new mode of statecraft. Second, I show how the financial vertical enabled rentier bargains between state and society after 2015 by deepening the financialization of social policy and housing in response to a looming crisis of competitiveness.

Earnings management and ownership structure in emerging market

2017 ◽  
Vol 43 (10) ◽  
pp. 1117-1136 ◽  
Author(s):  
Naima Lassoued ◽  
Mouna Ben Rejeb Attia ◽  
Houda Sassi
Keyword(s):  
Emerging Markets ◽  
Earnings Management ◽  
Ownership Structure ◽  
Audit Quality ◽  
Emerging Market ◽  
Middle Eastern ◽  
Convincing Evidence ◽  
Loan Loss ◽  
African Countries ◽  
Content Type

Purpose The purpose of this paper is to investigate whether ownership structure affects earnings management in the banking industry of emerging markets. Design/methodology/approach The empirical study is conducted using a sample of 134 banks from 12 Middle Eastern and North African countries. Econometrically speaking, the study used a panel data regression analysis. Findings The authors found convincing evidence that banks with more concentrated ownership use discretionary loan loss provisions to manage their earnings. The authors also found that state and institutional owners encourage earnings management, while family owners reduce this practice. Practical implications The findings would be valuable for investors since they should take into account ownership structure in order to reach a better investment decision. Moreover, regulatory reforms in emerging markets should push for more transparency about ownership structure, high levels of supervision, and external audit quality. Originality/value This study presents international evidence on the prominent role of owners in earnings management in emerging markets with weak shareholder rights protection.

Measuring the service gaps in the roles of quantity surveyors in the emerging market

2016 ◽  
Vol 23 (5) ◽  
pp. 1111-1131 ◽  
Author(s):  
AbdulLateef Olanrewaju
Keyword(s):  
Emerging Markets ◽  
Construction Industry ◽  
Design Methodology ◽  
Emerging Market ◽  
Supply And Demand ◽  
The Other ◽  
Primary Data ◽  
Content Type ◽  
Practical Implications ◽  
Survey Questionnaires

Purpose – The opportunities that the emerging markets present to the players in the construction industry means that the players need to expand on the scope and size of their responsibilities and duties to the stakeholders. Each of the professionals now demands more specialised and sophisticated services from one another. The other players in the construction industry now require more emerging responsibilities and duties from the quantity surveyors. The purpose of this paper is to examine the roles that “modern” quantity surveyors play by measuring the gaps that exist in the services that the quantity surveyors provide. Design/methodology/approach – Primary data are collected through survey questionnaires. In total, 23 roles played by modern quantity surveyors are identified and addressed to the respondents to rank the rate at which quantity surveyors provide these “emerging” services. The collected data were analysed statistically. Findings – The results of the findings led to the conclusion that the quantity surveyors were not meeting the expectations of other players. Therefore, for competitiveness, quantity surveyors need to better meet demand expectations. Research limitations/implications – This findings of this research are constrained to the services or functions that the quantity provide in the construction industry. Practical implications – This knowledge is valuable to academic institutions that offer quantity surveying programmes, to practicing quantity surveyors, governments, and other players in the construction industry. It will allow quantity surveyors to reconcile supply and demand expectations. Originality/value – There is no known conclusive empirical study on services offered by quantity surveyors in any emerging markets. Therefore, the findings offer a fresh understanding on the services of quantity surveyors not only in Nigeria but elsewhere. While some of the services are common, others are peculiar to emerging markets.

Intellectual capital and bank productivity in emerging markets: evidence from Ghana

2016 ◽  
Vol 54 (3) ◽  
Author(s):  
Abdul Latif Alhassan ◽  
Nicholas Asare
Keyword(s):  
Regression Analysis ◽  
Emerging Markets ◽  
Intellectual Capital ◽  
Productivity Growth ◽  
Design Methodology ◽  
Emerging Market ◽  
Value Added ◽  
Malmquist Productivity Index ◽  
Productivity Index ◽  
Practical Implications

Purpose This paper examines the effect of intellectual capital on bank productivity in an emerging market in Africa. Design/methodology/approach The Malmquist Productivity Index is employed to estimate productivity growth of 18 banks in Ghana from 2003 to 2011 while the Value Added Intellectual Coefficient is used to measure bank intellectual capital performance. The panel-corrected standard errors estimation technique is used to estimate a panel regression model with Malmquist Productivity Index as the dependent variable. Bank market concentration and bank size are controlled for in the regression analysis. Findings We find productivity growth to be largely driven by efficiency changes compared to technological changes. The results from the regression analysis indicate that Value Added Intellectual Coefficient has a positive effect on the productivity of banks in Ghana. We also find human capital efficiency and capital employed efficiency as the components of Value Added Intellectual Coefficient that drive productivity growth in the banking industry. Bank size and industry concentration are also identified as significant drivers of productivity in the market. Practical implications The study’s findings support investments in intellectual capital as a means of improving the performance of banks in emerging markets Originality/value To the best of our knowledge, this is the first study to empirically examine the relationship between intellectual capital and productivity in an emerging banking market in Africa.

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