The Us Term Structure And Return Volatility In Emerging Stock Markets
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| Author | : Riza Demirer |
| Publisher | : |
| Total Pages | : 32 |
| Release | : 2019 |
| Genre | : |
| ISBN | : |
This paper examines the predictive power of the U.S. term structure over return volatility in emerging stock markets. Decomposing the term structure of U.S. Treasury yields into two components, the expectations factor and the maturity premium, we show that the U.S. term structure indeed contains predictive information over emerging stock market volatility, even after controlling for country specific factors including turnover and market size. While we observe heterogeneous patterns across emerging markets in terms of their predictability with respect to the U.S. term structure, we find that the market's expectation of future short term rates, implied by the expectations factor, serves as a stronger predictor of stock market volatility compared to the maturity premium component of the yield spread. We also find that the U.S. term structure has gained further predictive value following the global financial crisis, particularly for the BRICS nations of China, Russia, and S. Africa. Overall, our findings suggest that policymakers and investors can utilize interest rate signals from the U.S. Treasury yields to make projections over stock market volatility in their local markets, however, distinguishing between the two components of the yield curve could provide additional forecasting power depending on the country of focus.
| Author | : Nidal Rashid Sabri |
| Publisher | : |
| Total Pages | : |
| Release | : 2004 |
| Genre | : |
| ISBN | : |
This paper explored the new features of emerging stock markets, in order to point out the most associated indicators of increasing stock return volatility, which may lead to instability of emerging markets. The study covers a sample of five geographical areas of emerging economies, including Mexico, Korea, South Africa, Turkey, and Malaysia. It used the backward multiple-regression technique to examine the relationship between monthly changes of stock price indices as dependent variable and the associated predicting local as well as international variables, which represent possible causes of increasing price volatility and initiating crises in emerging stock markets. The study covered monthly data for a period of forty-eight months from January 1997 to December 2000. The study revealed that stock trading volume and currency exchange rate respectively represent the highest positive correlation to the emerging stock price changes; thus represent the most predicting variables of increasing price volatility. International stock price index, deposit interest rate, and bond trading volume were moderate predicting variables for emerging stock price volatility. While changes in inflation rate showed the least positive correlation to stock price volatility, thus represents the least predicting variable.
| Author | : Anthony J. Richards |
| Publisher | : International Monetary Fund |
| Total Pages | : 52 |
| Release | : 1996-04 |
| Genre | : Business & Economics |
| ISBN | : |
This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.
| Author | : Richard M. Levich |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 464 |
| Release | : 2012-12-06 |
| Genre | : Business & Economics |
| ISBN | : 1461561973 |
In a little over one decade, the spread of market-oriented policies has turned the once so-called lesser developed countries into emerging markets. Many forces have been responsible for the tremendous growth in emerging markets. Trends toward market-oriented policies that permit private ownership of economic activities, such as public utilities and telecommunications, are part of the explanation. Corporate restructuring, following the debt crisis of the early 1980's has permitted many emerging market companies to gain international competitiveness. And an essential condition, a basic sea-change in economic policy, has opened up many emerging markets to international investors. This growth in emerging markets has been accompanied by volatility in individual markets, and a sector-wide shock after the meltdown in the Mexican Bolsa and Mexican peso, resulting in heated debate over the nature of these markets. Emerging market capital flows continue to be the subject of intense discussion around the world among investors, academics, and policymakers. Emerging Market Capital Flows examines the issues of emerging market capital flows from several distinct perspectives, addressing a number of related questions about emerging markets.
| Author | : Chunsheng Zhou |
| Publisher | : |
| Total Pages | : 52 |
| Release | : 1996 |
| Genre | : Interest |
| ISBN | : |
| Author | : Yeuk Wan Poon |
| Publisher | : |
| Total Pages | : 116 |
| Release | : 1998 |
| Genre | : Rate of return |
| ISBN | : |
| Author | : John Beirne |
| Publisher | : |
| Total Pages | : 42 |
| Release | : 2009 |
| Genre | : Stock exchanges |
| ISBN | : |
This paper examines volatility spillovers from mature to emerging stock markets and tests for changes in the transmission mechanism-contagion-during turbulences in mature markets. Tri-variate GARCH-BEKK models of returns in global (mature), regional, and local markets are estimated for 41 emerging market economies (EMEs), with a dummy capturing parameter shifts during turbulent episodes. LR tests suggest that mature markets influence conditional variances in many emerging markets. Moreover, spillover parameters change during turbulent episodes. Conditional variances in most EMEs rise during these episodes, but there is only limited evidence of shifts in conditional correlations between mature and emerging markets.
| Author | : Christopher Barry |
| Publisher | : Wiley |
| Total Pages | : 126 |
| Release | : 2000-04-14 |
| Genre | : Business & Economics |
| ISBN | : 9780943205458 |
Emerging Stock Markets: Risk, Return, and Performance is a compendium of historical data currently available about the performance of securities in emerging markets. As a result, it will be an invaluable aid to the investor or investment manager trying to make informed decisions about investing in emerging market assets. The authors provide monthly stock return data for more than two dozen countries in the Emerging Markets Data Base maintained by the International Finance Corporation. Without such data, analysis of this fascinating asset class has been frustrated.
| Author | : Benjamin Adam Abugri |
| Publisher | : |
| Total Pages | : 358 |
| Release | : 2002 |
| Genre | : Rate of return |
| ISBN | : |
| Author | : Augusto de la Torre |
| Publisher | : World Bank Publications |
| Total Pages | : 232 |
| Release | : 2006-10-20 |
| Genre | : Business & Economics |
| ISBN | : 0821365444 |
Back in the early 1990s, economists and policy makers had high expectations about the prospects for domestic capital market development in emerging economies, particularly in Latin America. Unfortunately, they are now faced with disheartening results. Stock and bond markets remain illiquid and segmented. Debt is concentrated at the short end of the maturity spectrum and denominated in foreign currency, exposing countries to maturity and currency risk. Capital markets in Latin America look particularly underdeveloped when considering the many efforts undertaken to improve the macroeconomic environment and to reform the institutions believed to foster capital market development. The disappointing performance has made conventional policy recommendations questionable, at best. 'Emerging Capital Markets and Globalization' analyzes where we stand and where we are heading on capital market development. First, it takes stock of the state and evolution of Latin American capital markets and related reforms over time and relative to other countries. Second, it analyzes the factors related to the development of capital markets, with particular interest on measuring the impact of reforms. And third, in light of this analysis, it discusses the prospects for capital market development in Latin America and emerging economies and the implications for the reform agenda.
