Spillovers to Emerging Equity Markets : An Econometric Assessment / Tao Sun, L. Psalida.

Format:

Book

Government document

Author/Creator:

Sun, Tao.

Contributor:

Psalida, L.

Series:

IMF Working Papers; Working Paper ; No. 2009/111

IMF Working Papers

Language:

English

Subjects (All):

Investments--Mathematical models.

Investments.

Econometrics.

Physical Description:

1 online resource (34 p.)

Edition:

1st ed.

Place of Publication:

Washington, D.C. : International Monetary Fund, 2009.

Language Note:

English

Summary:

This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an important goal for emerging market economies.

Contents:

Contents; I. Introduction; II. Performance of Emerging Market Equity Markets; Figures; 1. Selected Equity Market Indices; 2. Emerging Market Economies: Composition of Capital Inflows; 3. Current Account Balances and Capital Flows from a Global Perspective; 4. Stock Market Capitalization; 5. Total Equity Market Returns; 6. Emerging Market Economies: Price/Earnings Ratios; 7. Total Foreign Holdings of Equity; 8. Emerging Markets Equity Indices and Foreign Investor Presence; Tables; 1. Emerging Equity Market Peaks and Troughs: Current and Previous Episodes; III. Methodology of Panel Estimation

2. Unit Root Tests 3. Pedroni Heterogeneous Panel Co-integration Tests; IV. Results of the Panel Estimation; 4. Fixed-Effects Panel Least-Squares Estimation, First Specification; 5. Fixed-Effects Panel Least-Squares Estimation, Second Specification; V. Scenarios of impact; 6. Effects of External Shocks on the Growth Rates of Emerging Market Equity Prices; VI. Contribution of domestic and external factors; VII. Vector Auto-regression Model and results; 7. Contribution of Global and Domestic Factors to Equity Price Changes; 9. Impulse Responses to the Global Shocks for the Seven Countries

VIII. Main Conclusions Annexes; I. Methodological Issues; II. Data and explanatory variables; References

Notes:

Description based upon print version of record.

Includes bibliographical references.

Description based on print version record.

ISBN:

9786612843266

9781462362837

1462362834

9781452707693

1452707693

9781282843264

1282843265

9781451872583

1451872585

OCLC:

645513330