Search

TABLE OF CONTENTS I. INTRODUCTION II. THE ORIGINS OF THE CREDIT CRISIS A. Federal Reserve Interest Rate Reductions B. The Nature of the Lender--Borrower Relationship C. Overextended Homeowners D. The [...]

The efficiency of different economic sectors in the Malaysian stock market and the effect of the Asian financial crisis of 1997 on the observed sectoral efficiency are investigated. Findings reveal that the tin and mining sectors were the most efficient based on data from January 1 1994 to October 31, 2006, and that the highest inefficiency was recorded in the crisis period, except for the tin and mining sectors.

We study how three interrelated phenomena--excess stock returns and risk relation, risk aversion, and asymmetric volatility movement--change over business cycles. Using an asymmetric generalized autoregressive conditional heteroskedasticity in mean model and a Markov switching model, we find that excess stock return increases and asymmetric volatility movement is weakened during boom periods. This suggests that investors become more risk-averse during boom periods (i.e., procyclical risk aversion), which we confirm using a calibration of a simple equilibrium model. (JEL C32, E32, G12), I. INTRODUCTION Most asset pricing models, starting with Intertemporal Capital Asset Pricing Model of Merton (1973), suggest a positive relation between risk and return for the aggregate stock market. There [...]

A study was conducted to examine the efficiency of the stock markets of India, Bangladesh, Pakistan, and Sri Lanka. The Augmented Dickey Fuller, Phillips-Peron, Dicky-Fuller Generalized Least Square, and Elliot Rothenberg-Stock tests are used to analyze weak form stock market efficiency. The results of the study have implications for domestic and foreign investors in South Asian stock markets.

Economic growth in developing economies has long been considered dependent on trade, direct and portfolio investment, and foreign aid, including loans from the World Bank and the International Monetary Fund [...]

Wealth distribution scenarios during inflation and the role of stock markets in this is discussed.

This paper examines several aspects of the seven stock markets in Europe classified by the International Finance Corporation (IFC) as emerging markets. Specifically, we investigate correlations among the European emerging markets as well the U.S. and U.K. equity markets. In addition, we test for market efficiency and autocorrelation. Using weekly stock market data from the IFC, our findings indicate the greatest potential diversification benefits from a portfolio containing equities from Slovakia, Turkey, and the U.S. Further, we find that returns for Greece, Slovakia, and Turkey are unstable over time. Based on our results, we conclude that European emerging markets overall are unpredictable. Finally, our results show evidence of autocorrelation in European emerging markets., Introduction The demise of communism in Russia and Eastern Europe has led to increased opportunities for investors seeking greater potential returns and portfolio diversification. There is an important political context [...]

I use ADRs to examine if the equity markets of Argentina, Chile, and Mexico have become internationally integrated in the post-liberalization period and, if not, whether direct and/or indirect barriers are the cause of segmentation. In addition, I assess the evolution of the level of integration over time to determine if these markets are converging to or diverging from integration. I find that these markets have not become integrated. More revealing is that there is no secular trend towards greater integration. In fact, the Brazilian and Mexican currency crises temporarily increased the level of segmentation of Argentina and Chile, and appear to have had a more persistent effect on the level of integration of Mexico, as this market has become increasingly segmented in the post-crisis period. It appears that both direct and indirect barriers are responsible for the segmentation. JEL classification: G15 Keywords: Emerging markets; Integration; Liberalization; Price of risk; Systematic risk; ADR

ABSTRACT This investigation empirically examines the relation between daily rates of return and trading volumes on the stock market indices of six developing markets from Asia over the recent 34-month [...]

Long-term performance of stocks of companies which frequently issue preferred stock is analyzed. Comparison of performance of these companies stock with that of companies issuing equity stock and debt instruments is presented.

The influence of a chief executive officer's charisma on stock prices of that company is examined by focusing American stock markets.

The financial efficiency of stock markets in Middle Eastern countries and their contributions to economic development is studied.

A unique model for valuating European options in uncertain market environments is presented.

INTRODUCTION In 'Equity Price Pressure from the 1998 Reduction in the Capital Gains Holding Period' the authors (Blouin et al. 2002) (hereafter BRS) investigate a simple and straightforward research question: [...]

Byline: Viet Ha Hoang The purpose of this paper is to provide a model linking enforcement of institutional environment and reform of corporate governance of firms. It is argued that in the context of weak enforcement environment in transition economies, institutional factors in securities markets are effective in shifting corporate governance model of the privatised firms towards a market-based model that ensures a sustainable economic performance. The empirical study in the Vietnamese securities market supports this argument.

Stocks in clean-energy companies rebounded to reach all-time highs in the past two months, after dipping with the rest of the stock market earlier in the summer. The WilderHill New [...]

The Dow Jones Industrial Average has dropped AT&T, Eastman Kodak, and International Paper and replaced them with American International Group (commonly known as AIG), Pfizer, and Verizon Communications. The changes [...]