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2 edition of Capital markets integration, volatility and persistence found in the catalog.

Capital markets integration, volatility and persistence

Joshua Aizenman

Capital markets integration, volatility and persistence

by Joshua Aizenman

  • 19 Want to read
  • 14 Currently reading

Published by National Bureau of Economic Research in Cambridge, MA .
Written in English

    Subjects:
  • Capital market -- Mathematical models.

  • Edition Notes

    StatementJoshua Aizenman.
    SeriesNBER working paper series -- working paper no. 5241, Working paper series (National Bureau of Economic Research) -- working paper no. 5241.
    ContributionsNational Bureau of Economic Research.
    The Physical Object
    Pagination20 p. :
    Number of Pages20
    ID Numbers
    Open LibraryOL22418155M

    Analysis of volatility persistence in Middle East emerging equity markets Analysis of volatility persistence in Middle East emerging equity markets Ananth Rao Purpose – There is growing demand for research approaches that consider the functioning of financial markets in the emerging economy. The current paper aims to examine cointegration and volatility persistence of six   retail bank credit markets (Barros and others, ; Baele and others, ; and Adam and others, ). However, the literature exhibits mixed results concerning the integration of equity markets. As stressed by Adjaouté and Danthine (), a difficulty in assessing integration lies in disentangling pricing effects from changes in ://

      This chapter reviews the recent analytical and empirical literature on the benefits and costs of international financial integration and the policy challenges that it creates. The chapter also discusses the impact of financial openness and capital flows on consumption, investment, and growth, as well as the impact of foreign bank entry on the domestic financial ://:oso//.   perspective, the financial econometric volatility literature (see Andersen, Bollerslev and Diebold, , for a recent survey) has provided extensive evidence of wide fluctuations and high persistence in asset market conditional variances, and in individual equity conditional covariances with the market. Thus, even from ~get/browse/courses//spr11/DOWNLOADS/VolatilityMeasures/.

    The section then turns to the analysis of the recent developments in financial integration (Section 4) by first looking at the price, quantity and quality of integration at the aggregate euro area level (Section ) before looking in more detail at developments in credit markets (Section ) and securities markets ~   "Market Integration and Investment Barriers in Emerging Equity Markets," World Bank Economic Review 9, , ; an earlier version of the paper appeared in Stijn Claessens and Sudarshan Gooptu, eds., Portfolio Investment in Developing Countries, (Washington, World Bank Discussion Paper ), December , and as Chapter 11 in the


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Capital markets integration, volatility and persistence by Joshua Aizenman Download PDF EPUB FB2

Downloadable (with restrictions). This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market. This result is illustrated in a model characterized by gains from a greater division of activities, where shocks are persistent.

We show that non-linearities attributed to financial autarky explain the adverse welfare effects of   Capital Markets Integration, Volatility and Persistence Joshua Aizenman. NBER Working Paper No. Issued in August NBER Program(s):International Trade and Investment Program This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital :// Capital markets integration, volatility and persistence.

Cambridge, MA: National Bureau of Economic Research, © (OCoLC) Material Type: Internet resource: Document Type: Book, Internet Resource: All Authors / Contributors: Joshua Aizenman; Volatility and persistence book Bureau of Economic :// Get this from a library.

Capital markets integration, volatility and persistence. [Joshua Aizenman; National Bureau of Economic Research.] -- Abstract: This paper shows that volatility induces adverse first order welfare effects in countries excluded from the global capital market.

This result is illustrated in a model characterized by Download PDF: Sorry, we are unable to provide the full text but you may find it at the following location(s): (external link) This book discusses capital markets and investment decision-making, focusing on the globalisation of the world economy.

It presents empirically tested results from Indian and Southwest Asian stock markets and offers valuable insights into the working of Indian capital :// markets so as to assert the level of volatility persistence and assess the impact of return shocks or news on Capital markets integration volatility on the markets.

Southern African nations are in dir e need of long-term   Capital flow volatility is a concern for macroeconomic and financial stability.

Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period QQ1, we construct three measures of volatility, for total capital flows and key :// [1] Excessive market volatility can negatively affect the real economic activity at all levels of the industry and, thus, can have an adverse effect on producers and consumers, Mabro,p.

[2] The increasing global integration of the major financial markets and the commoditization of crude oil have generated interest in examining the transmission of financial markets shocks across  › Homepage › Catalog › Economics › Finance.

Financial hubs are evidence of capital markets integration 38 Home-biased capital markets need further integration 40 Section 3: Barriers to the Capital Markets Union 42 Impediments to market-based finance 42 Impediments to integration 46 Section 4: Observations and conclusion 50 Appendix 54 Appendix 1: Bibliography 55 The chapter considers the correlation, volatility, and clustering structure of the benchmark indices of the main stock exchanges in the world.

The importance of understanding how stock markets relate to each other, and which ones are the most connected, is of paramount importance to the study of how crises develop and ://   Though the book is well-written and accessible, you likely need some basic understanding of basic finance and capital markets to fully enjoy the content.

If you have read papers from the BIS or IMF and/or other macro books (such as Michael Pettis's "The Volatility Machine"), you will have more than enough familiarity for this  › Kindle Store › Kindle eBooks › Business & Money.

When volatility increases and markets panic, you can use options to take advantage of these extreme moves, or to hedge your existing positions against severe losses.

When volatility is high, both   CiteScore: ℹ CiteScore: CiteScore measures the average citations received per peer-reviewed document published in this title. CiteScore values are based on citation counts in a range of four years (e.g. ) to peer-reviewed documents (articles, reviews, conference papers, data papers and book chapters) published in the same four calendar years, divided by the number of This book will be of value to all those who wish to gain a more thorough understanding of research in Islamic capital markets and the major topics in the field.

Nafis Alam is an Associate Professor at the University of Nottingham, Malaysia. He has been involved in academia related to Islamic finance for nearly a :// Downloadable. Capital flow volatility is a concern for macroeconomic and financial stability.

Nonetheless, literature is scarce in this topic. Our paper sheds light on this issue in two dimensions. First, using quarterly data for 65 countries over the period QQ1, we construct three measures of volatility, for total capital flows and key :// By all indications, the ongoing volatility that has rattled global stock markets over the past few weeks is likely to persist.

A slew of negative macroeconomic indicators including a weakening global economy, the China virus epidemic, political events and trade wars are forcing Canadian investors to retreat to their own backyards for :// Request PDF | Indian and American Stock Markets’ Volatility | Even if stock market is related to the major macroeconomic indicators of the economy, it can be unpredictable and probabilistic /_Indian_and_American_Stock_Markets'_Volatility.

tion analysis (MRA), we identify the markets’ subsequent degrees of persistence. The empirical evidence shows that SHI, SZI, and SZBI are moderately persistent with Hurst exponents slightly greater than the but it may cause problems for its integration into the world’s capital markets, now that it has greater volatility (risk) would ?abstractid.

This book examines the path that capital market development has taken within the region since the global crisis of The ever-growing deepening, maturity, sophistication, and integration of Asia's financial systems bring an increased risk of contagion during periods of financial ://.

The Great Depression emerges as the key turning point in recent history of international capital markets, and offers important insights for contemporary policy debates. Its principal legacy is that the return to a world of global capital is marked by great unevenness in outcomes regarding both risks and rewards of capital market ://  Emerging Equity Market Volatility∗ Geert Bekaerta, Campbell R.

Harveyb aStanford University, Stanford, CAUSA, National Bureau of Economic Research, Cambridge, MAUSA bDuke University, Durham, NCUSA, National Bureau of Economic Research, Cambridge, MA Abstract Understanding volatility in emerging capital markets is important for determining ~charvey/Research/Working_Papers/W14_Emerging_equity.Among G-7 countries, expected returns based on implied costs of capital have less than one-tenth the volatility of those based on realized returns.

Our tests show that firm-level expected returns increase with world market beta, idiosyncratic volatility, financial leverage, and book-to-market ratios, and decrease with currency beta and firm ://