Frontier Equity Markets: A Primer on the Next Generation of Emerging Markets

2010 ◽  
Vol 13 (3) ◽  
pp. 50-58 ◽  
Author(s):  
Clifford Quisenberry ◽  
Benjamin Griffith
Keyword(s):  
Emerging Markets ◽  
Equity Markets ◽  
Next Generation

scholarly journals Correlation, Contagion, and Asian Evidence

2006 ◽  
Vol 5 (2) ◽  
pp. 32-72 ◽  
Author(s):  
Mardi Dungey ◽  
Renée Fry ◽  
Vance L. Martin
Keyword(s):  
Emerging Markets ◽  
Financial Market ◽  
Financial Crises ◽  
Correlation Coefficients ◽  
Equity Markets ◽  
Empirical Literature ◽  
Bond Markets ◽  
Developed Markets ◽  
Market Contagion ◽  
Trade And Financial Linkages

This paper examines the empirical literature on financial market contagion in Asia during the 1997–98 financial crises with respect to existing tests of contagion. Empirical evidence shows that contagion affects both developed and emerging markets and does not seem to vary with the relative fundamental economic health or trade and financial linkages of the Asian economies. Contagion occurs across both asset types and geographical borders and tends to have larger effects in equity markets than in currency and bond markets. There is evidence to support the hypothesis that contagion is regional and transmitted through developed markets. A discussion of the behavior of correlation coefficients in the presence of contagion and financial crises suggests that they are not a reliable metric for detecting contagion.

Frontier and Developing Asia: The Next Generation of Emerging Markets

2015 ◽  
Vol 32 (3) ◽  
pp. 417-418
Author(s):  
Alfred Schipke ◽  
Jayarethanam Pillai ◽  
Keyword(s):  
Emerging Markets ◽  
Next Generation

Equities and Commodities Comovements: Evidence from Emerging Markets

2018 ◽  
Vol 18 (3) ◽  
pp. 20170075 ◽  
Author(s):  
Maria E. de Boyrie ◽  
Ivelina Pavlova
Keyword(s):  
Emerging Markets ◽  
Latin American ◽  
Explanatory Power ◽  
Precious Metals ◽  
Equity Markets ◽  
Investment Strategy ◽  
Volatility Spillovers ◽  
Developed Markets ◽  
Financial Portfolios ◽  
Index Investment

The financialization of commodities and their inclusion in financial portfolios as part of an investment strategy may result in higher correlations and volatility spillovers between commodity and equity markets. In this paper, we estimate the correlation between equity markets and commodities using the dynamic conditional correlation (DCC) model, while emphasizing the differences between emerging and developed markets co-movements with commodities. The results reveal that certain emerging markets, especially those in Asia, show a much lower level of co-movement with commodities than developed markets do, while Latin American equities exhibit a higher level of integration with commodities. Furthermore, it is found that both agricultural and precious metals commodities offer better diversification possibilities in the less developed markets. We also find that increases in the CBOE Volatility Index (VIX) are related to higher agriculture commodities-equities correlations, while commodity net index investment has limited explanatory power in our study.

scholarly journals Weak Form Efficiency In Indian Stock Markets

2011 ◽  
Vol 6 (3) ◽  
Author(s):  
Rakesh Gupta ◽  
Parikshit K. Basu
Keyword(s):  
Random Walk ◽  
Emerging Markets ◽  
Market Efficiency ◽  
Equity Markets ◽  
Weak Form ◽  
Random Walk Model ◽  
Important Concept ◽  
Random Walk Hypothesis ◽  
International Boundaries ◽  
Weak Form Efficiency

Hypothesis of Market Efficiency is an important concept for the investors who wish to hold internationally diversified portfolios. With increased movement of investments across international boundaries owing to the integration of world economies, the understanding of efficiency of the emerging markets is also gaining greater importance. In this paper we test the weak form efficiency in the framework of random walk hypothesis for the two major equity markets in India for the period 1991 to 2006. The evidence suggests that the series do not follow random walk model and there is an evidence of autocorrelation in both markets rejecting the weak form efficiency hypothesis.

What Do Equity Markets Tell Us About the Drivers of Bank Default Risk? Evidence from Emerging Markets

2011 ◽  
Author(s):  
Stefan Eichler ◽  
Alexander Karmann ◽  
Dominik Maltritz ◽  
Karol Sobanski
Keyword(s):  
Emerging Markets ◽  
Default Risk ◽  
Equity Markets

ECB QE, Greek easing may help Emerging Europe

2015 ◽  
Keyword(s):  
Emerging Markets ◽  
Investor Sentiment ◽  
Equity Markets ◽  
Sharp Change ◽  
Content Type ◽  
Economic Outlook

Significance Impacts Emerging Europe's local bond and equity markets are likely to perform strongly as QE gets under way. The outlook for currencies is less certain, given the strong dollar and the fragility of sentiment towards emerging markets generally. However, Emerging Europe's improving economic outlook may help buoy the region's currencies against the dollar's strength. The biggest threat to investor sentiment towards Emerging Europe remains a sudden, sharp change in expectations of US monetary tightening.

Big Fish in Small Ponds: The Trading Behavior and Price Impact of Foreign Investors in Asian Emerging Equity Markets

2005 ◽  
Vol 40 (1) ◽  
pp. 1-27 ◽  
Author(s):  
Anthony Richards
Keyword(s):  
Emerging Markets ◽  
Equity Markets ◽  
Equity Returns ◽  
Price Impact ◽  
Trading Behavior ◽  
Foreign Investors ◽  
Portfolio Rebalancing ◽  
Price Impacts ◽  
New Findings ◽  
External Conditions

AbstractThis paper analyzes a new dataset for the aggregate daily trading of all foreign investors in six Asian emerging equity markets and provides two new findings. First, foreigners' flows into several markets show positive feedback trading with respect to global, as well as domestic, equity returns. The nature of this trading suggests it is due to behavioral factors or foreigners extracting information from recent returns, rather than portfolio rebalancing effects. Second, the price impacts associated with foreigners' trading are much larger than earlier estimates. The results suggest that foreign investors and external conditions have a larger impact on emerging markets than implied by previous work.

Market reaction to the COVID-19 pandemic: evidence from emerging markets

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Maretno Agus Harjoto ◽  
Fabrizio Rossi
Keyword(s):  
Financial Crisis ◽  
Emerging Markets ◽  
Global Financial Crisis ◽  
Market Reaction ◽  
Negative Impact ◽  
Equity Markets ◽  
Developed Countries ◽  
Market Reactions ◽  
Content Type ◽  
Developed Markets

PurposeThis study examines the market reaction to the World Health Organization (WHO) announcement of the novel coronavirus disease 2019 (COVID-19) as a global pandemic on the emerging equity markets and compares the reaction with developed markets. This study also compares the market reactions to the COVID-19 pandemic with the market reactions to the 2008 global financial crisis.Design/methodology/approachUsing the Morgan Stanley Capital International daily stock indices data and the Carhart and the GARCH(1,1) models for an event study, the authors examine the cumulative abnormal returns during 30 and 10 trading days and the extended 60 days before and after the WHO pandemic announcement. It also compares the market reactions during the COVID-19 pandemic with the reactions to the Lehman Brothers' bankruptcy announcement during the 2008 global financial crisis.FindingsThis study finds that the COVID-19 pandemic had a significantly greater negative impact to the stock markets in emerging countries than in the developed countries. The negative impact on the emerging markets is more pronounced for firms with small market capitalizations and for growth stocks. The negative impact of the COVID-19 pandemic is stronger in the energy and financial sectors in both emerging and developed markets. The positive impact of the COVID-19 pandemic occurred in healthcare and telecommunications for the emerging markets and information technology for the developed markets. This study also finds that the equity markets in both emerging and developed countries recovered faster from the COVID-19 pandemic relative to the 2008 global financial crisis.Social implicationsInvestors' desire to diversify their risks across different countries and sectors in the emerging markets could bring superior returns. The diversification strategies bring critical financial supports to forestall the contagion of COVID-19, to protect lives, and to save the emerging economies, especially for those financially constrained countries that are facing twin health and economic shocks by channeling their investments to countries with weak healthcare systems.Originality/valueThis study extends the literature that examines market reactions to stock market shocks by examining the market reactions to the COVID-19 outbreak on the emerging and developed equity markets across different market capitalizations, valuation and sectors. This study also finds that the markets recovered quicker from the COVID-19 pandemic announcement than during the 2008 global financial crisis.

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