Volatility Spillover Between Developed and Developing Markets During Crisis Period

2018 ◽  
pp. 230-248
Author(s):  
Rıfat Karakuş ◽  
Şeyma Yılmaz Küçük ◽  
İbrahim Bozkurt
Keyword(s):  
Emerging Markets ◽  
Lagrange Multiplier ◽  
Volatility Spillover ◽  
Variance Test ◽  
Crisis Period ◽  
Group Of Seven ◽  
Developed Markets ◽  
Developing Markets ◽  
Daily Returns

The purpose of this chapter is to determine how the volatility spillover between developed and developing markets behaved during times of crisis. For this purpose, daily returns of indices from the Group of Seven countries and the fragile five countries between 2004 and 2016 are used. The volatility spillover between the markets is examined by the Lagrange multiplier-based causality-in-variance test. As a result of the study, it is determined that the volatility of emerging markets is less influenced by the developed markets in the crisis period than before the crisis and after the crisis. Furthermore, in the post-crisis period, an increase in the volatility spillover to the developed markets from the developing markets is detected.

MEASURING VOLATILITY SPILLOVERS BETWEEN DEVELOPED AND SOUTHEAST ASIAN EMERGING STOCK MARKETS: A MULTIVARIATE GARCH APPROACH

2018 ◽  
Author(s):  
Anh Nguyễn Thị Hoàng ◽  
Huyền Trần Thị Thanh ◽  
Minh Huỳnh Ngọc Kim ◽  
Trân Nguyễn Thị Ngọc
Keyword(s):  
Emerging Markets ◽  
Stock Markets ◽  
Spillover Effects ◽  
The United States ◽  
Southeast Asian ◽  
Multivariate Garch ◽  
Volatility Spillover ◽  
Sample Analysis ◽  
Volatility Spillovers ◽  
Developed Markets

In this paper, we measure volatility spillovers among eleven stock markets, including five developed markets (the United States, Japan, Germany, the United Kingdom, Hong Kong) and six Southeast Asian developing markets (Indonesia, Malaysia, Philippines, Singapore, Thailand and Vietnam) over the 25-year period from January 1, 1993 to December 31, 2017. Employing the GARCH-DCC model and non-parametric sign tests on the correlations between developed markets and emerging markets, we find that correlations between developed markets and the Southeast Asian markets have risen sharply during periods of crisis, indicating the existence of volatility spillover effects from the developed markets to emerging ones. Full sample analysis suggests that volatility spillover from Japanese and the UK markets to the Southeast Asian emerging markets is stronger and more apparent than those transmitted from the US and Germany markets. Sub-sample analysis is able to identify the markets transmitting shocks to others. Results also suggest that Vietnam market is not fully integrated to the regional and global markets.

scholarly journals The Approach of Major Players in Retail in Expanding Their Operations into Developing Markets – Taking Walmart as an Example

2021 ◽  
Vol 5 (9) ◽  
pp. 55-60
Author(s):  
Wenyan Zhang
Keyword(s):  
Emerging Markets ◽  
Business Performance ◽  
Mode Choice ◽  
Entry Mode ◽  
Emerging Countries ◽  
Entry Mode Choice ◽  
Developed Markets ◽  
Developing Markets ◽  
Specific Focus ◽  
Expansion Behavior

This research investigates the expansion behavior of international (giant) retailers, with a specific focus on the determinants of the entry mode choice in emerging markets based on the performance of Walmart in its venture into less developed markets. This research investigates the approach in which major players in retail are expanding their operations into other developing markets, specifically focusing on how the entry mode decisions of giant retailers moderate the risks and difficulties in making business in emerging countries. The objective of this study is to analyze and evaluate the potential causes and antecedents of large merchants’ entry mode (EM) choices by assessing Walmart’s business performance in less advanced nations in recent years.

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.

scholarly journals Reach for Yield and Fickle Capital Flows

2018 ◽  
Vol 108 ◽  
pp. 493-498 ◽  
Author(s):  
Ricardo J. Caballero ◽  
Alp Simsek
Keyword(s):  
Emerging Markets ◽  
Capital Flows ◽  
Developed Markets ◽  
Global Liquidity

In Caballero and Simsek (2017), we develop a model of fickle capital flows and show that, when countries are similar, international flows create global liquidity and mitigate crises despite their fickleness. In this paper, we focus on the asymmetric situation of Emerging Markets (EM) exchanging flows with Developed Markets (DM) that feature lower returns but less frequent crises. Relatively high DM returns help to mitigate EM crises by reducing fickle inflows and by providing greater liquidity. The situation dramatically changes as the DM returns fall, as this increases the fickle inflows driven by reach for yield and exacerbates EM crises.

scholarly journals An Analysis and Comparison of Multi-Factor Asset Pricing Model Performance during Pandemic Situations in Developed and Emerging Markets

Mathematics ◽  
2022 ◽  
Vol 10 (1) ◽  
pp. 142
Author(s):  
Konstantin B. Kostin ◽  
Philippe Runge ◽  
Michel Charifzadeh
Keyword(s):  
Emerging Markets ◽  
Factor Model ◽  
Five Factor Model ◽  
Emerging Market ◽  
Model Performance ◽  
Research Area ◽  
Emerging Countries ◽  
Developed Markets ◽  
The Cost ◽  
Three Factor

This study empirically analyzes and compares return data from developed and emerging market data based on the Fama French five-factor model and compares it to previous results from the Fama French three-factor model by Kostin, Runge and Adams (2021). It researches whether the addition of the profitability and investment pattern factors show superior results in the assessment of emerging markets during the COVID-19 pandemic compared to developed markets. We use panel data covering eight indices of developed and emerging countries as well as a selection of eight companies from these markets, covering a period from 2000 to 2020. Our findings suggest that emerging markets do not generally outperform developed markets. The results underscore the need to reconsider the assumption that adding more factors to regression models automatically yields results that are more reliable. Our study contributes to the extant literature by broadening this research area. It is the first study to compare the performance of the Fama French three-factor model and the Fama French five-factor model in the cost of equity calculation for developed and emerging countries during the COVID-19 pandemic and other crisis events of the past two decades.

scholarly journals Do Investors Pay Yield Premiums On Green Bonds?

2020 ◽  
Vol 14 (2) ◽  
pp. 7-21
Author(s):  
Anna Mikhaylova ◽  
Irina Ivashkovskaya
Keyword(s):  
Emerging Markets ◽  
Large Scale ◽  
High Growth ◽  
Bond Market ◽  
Environmental Concerns ◽  
Public Authorities ◽  
Developed Markets ◽  
Financial Research ◽  
New Evidence ◽  
Bid Ask Spreads

Global shifts in perspectives on environmental concerns and the growing significance of large-scale sustainabilityprograms have brought the issue of green financing to the fore of financial research. In terms of volume, this area hasdemonstrated high growth rates in various types of capital markets.Unfortunately, few studies exist which explore the yields on green bonds in emerging markets in comparison todeveloped ones. As such, in this paper, we contribute new evidence to the field of green financing and outline severalmajor differences between green issues in these types of capital markets.We study yield premiums of green bonds on a sample of 2,450 green issues and comparable traditional bonds over theperiod from 2008 to March 2020. We contribute to the literature by new empirical evidence on green financing.Our results provide evidence of small but statistically significant negative premiums on green bonds of 23,4%1 comparedto the expected yields for standard issues. We also show that the negative premium on green bonds is more pronouncedin developed markets (- 27%2) than in emerging ones (18%3). Moreover, we provide new evidence on the negativepremium-liquidity relationship. Our research concludes that negative premiums are related to a higher level of liquidity:green bonds have lower bid-ask spreads and a higher level of liquidity than traditional ones.These conclusions can assist investors, potential issuing companies, and public authorities in achieving a betterunderstanding of the current situation of the green bond market in global terms.

Morality in the era of smart devices

2021 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Jiarui Sui ◽  
Tiantian Mo
Keyword(s):  
Emerging Markets ◽  
Design Methodology ◽  
Preventive Measures ◽  
Smart Devices ◽  
Moral Foundations ◽  
Content Type ◽  
Developed Markets ◽  
Moral Standards ◽  
The Uk ◽  
Practical Implications

PurposeDoes using smart devices change people's moral standards? The objective of this paper is to investigate how people's moral behavioral intentions while employing smart devices are modulated by their socioeconomic status (SES; as measured by educational level and income).Design/methodology/approachParticipants were randomly assigned to either the smart devices condition or the non-smart devices condition, and their moral standards was measured by the adapted Moral Foundations Questionnaire. Data were collected from both China and the UK.FindingsIndividuals' SES moderated people's moral standards when using smart devices. Specifically, when employing smart devices (vs non-smart devices), moral standards declined for low-SES individuals. However, the effect of employing smart devices was not significant for high-SES individuals. This suggests that certain demographics may be more inclined to harm others with smart devices.Practical implicationsIn emerging markets, the widespread of smart devices in workplace may lower consumers' and employees' moral standards for certain demographics. Managers and marketers need to be aware of this erosion of morality and employ some preventive measures in advance.Originality/valueThis paper examined morality in the era of smart devices. Even though the use of smart devices has become a norm in developed markets, smart devices usage is still on the rise in emerging markets. The authors findings enhance the understanding of moral behaviors and contribute to the knowledge of how smart devices are changing human behaviors.

Emerging Economies and Financing of SMEs

2017 ◽  
pp. 22-45 ◽  
Author(s):  
Liang Han ◽  
Xin Xiang ◽  
Xingquan Yang
Keyword(s):  
Emerging Markets ◽  
Financial Development ◽  
Job Creation ◽  
Descriptive Statistics ◽  
Developed Markets ◽  
World Bank Enterprise Survey ◽  
Enterprise Survey ◽  
Financial Issues ◽  
Shed Light ◽  
Sme Financing

Existing evidence has shown that SMEs make great contributions to innovation, job creation and economic growth. This chapter reviews recent literature on (1) the important roles played by SMEs in emerging markets and (2) the impacts of financial development on SME finance in such markets. It also uses a unique database form World Bank Enterprise Survey (WBES) to document the financing patterns, constraints and other financial issues of SMEs in emerging markets. The descriptive statistics derived from WBES show clear variations of SME financing patterns between emerging and developed markets and shed light on the important role played by financial development in financing SMEs.

Sign in / Sign up

Export Citation Format

Share Document