The stock market : crisis, recovery and emerging economies / editor, Allison S. Wetherby.

Format:

Book

Contributor:

Wetherby, Allison S.

Series:

Economic Issues, Problems and Perspectives

Economic issues, problems and perspectives

Business issues, competition and entrepreneurship

Language:

English

Subjects (All):

Stock exchanges--United States.

Stock exchanges.

Financial crises--United States.

Financial crises.

Physical Description:

1 online resource (229 p.)

Edition:

1st ed.

Place of Publication:

Hauppauge, N.Y. : Nova Science Publisher's, c2011.

Language Note:

English

Summary:

This book examines the dynamic linkages among the federal budget deficit, interest rates and the stock market for the United States from 1960 to 2006. Topics discussed herein include the strategic risk assessment techniques that can be applied to investment and trading portfolios in emerging financial markets, such as in the context of the Gulf Co-operation Council (GCC) stock markets, as well as Africa's emerging capital markets and the financial crisis and whether the theory of periodically collapsing speculative bubbles can explain the dynamics of East Asian emerging stock market returns.

Contents:

Intro

THE STOCK MARKET: CRISIS, RECOVERY AND EMERGING ECONOMIES

CONTENTS

PREFACE

Chapter 1 FEDERAL BUDGET DEFICITS, INTEREST RATES AND THE GENERAL STOCK MARKET

ABSTRACT

1. INTRODUCTION

On the Real Economy

On Financial Markets

On Economic Policy

Other Economic Effects

2. IMPORTANCE OF THE STUDY AND RESEARCH QUESTIONS

3. METHODOLOGY AND DATA

3.1 Data and Preliminary Statistics

3.2 Model Specification

3.3 Dealing with the Endogeneity Problem

4. EMPIRICAL FINDINGS AND DISCUSSION

4.1 Dynamic Linkages among Deficits, Interest Rates and Equity Prices

4.2 Fiscal Policy and Stock Market Efficiency

4.3 Robustness tests

5. ADDITIONAL EVIDENCE ON THE DEFICIT - STOCK RETURNS LINKAGE

5.1 Disaggregated Deficit Measures

5.2 Alternative Measures of Market Returns

6. SUMMARY AND CONCLUSIONS

REFERENCES

Chapter 2 STRATEGIC STOCK MARKETS RISK ASSESSMENT IN EMERGING ECONOMIES∗

INTRODUCTION AND OVERVIEW

LITERATURE REVIEW, SCOPE AND OBJECTIVE OF THIS STUDY

ESTIMATION OF LIQUIDITY-ADJUSTED VALUE AT RISK (LVAR) WITH A CLOSED-FORM PARAMETRIC SCHEME

Major Limitations and Pitfalls of Value at Risk Method:

Appraisal of Liquidity-Adjusted Value at Risk (LVaR) Technique:

RISK ASSESSMENT IN EMERGING ECONOMIES-SIMULATION OF TWO STRUCTURED CASE STUDIES FOR THE GCC STOCK MARKETS

Description of the Dataset:

Statistical Inference of Correlation Patterns

Simulation of Trading Risk Exposure for Structured Equity Portfolios:

SUMMARY AND CONCLUDING REMARKS

ACKNOWLEDGMENT

APPENDIX I: DERIVATION OF LIQUIDITY-ADJUSTED VALUE AT RISK (LVAR) FORMULA

APPENDIX II: EXHIBITS OF THE RISK-ENGINES SIMULATION OUTCOMES AND STRUCTURED CASE STUDIES OF THE GCC FINANCIAL MARKETS

REFERENCES.

FURTHER READING

BIOGRAPHICAL NOTES

Chapter 3 AFRICA'S EMERGING CAPITAL MARKETS AND THE FINANCIAL CRISIS

INTRODUCTION AND BACKGROUND

OVERVIEW OF AFRICAN CAPITAL MARKETS

Africa's emerging stock markets

Stylized Facts of African Stock Markets

Banking Sector

Bond markets

3. THE SUBPRIME BUBBLE: BACKDROP

4. THE FINANCIAL CRISIS AND AFRICAN CAPITAL MARKETS

The Subprime Contagion

5. CHANNELS OF CRISIS TRANSMISSION

Private Capital Flows

Direct Investment

Bank Lending

Remittances

Impact on Stock Market

Index performance

IPOs

6. RESPONSE TO THE CRISIS AND REFORM

NOTES

Chapter 4 STOCK MARKET BUBBLES AND CRISES: THE CASE OF EAST ASIAN EMERGING MARKETS

2. MEASURES OF DEVIATIONS FROM FUNDAMENTAL PRICE

2.1 Constant Dividend Growth Rate

2.2 Predictable Time Variation in the Dividend Growth Rate

2.3 Predictable Time Variation in the Dividend Growth Rate and in the Discount Rate

2. ECONOMETRIC METHODOLOGY

3. EMPIRICAL ANALYSIS

3.1 Data

3.2 Model selection

3.3 Estimation results

3.4 Examination of Two Historical Stock Market Crises

CONCLUSIONS

Chapter 5 MARKET REACTIONS TO THE DISCLOSURE OF INTERNAL CONTROL WEAKNESSES UNDER THE JAPANESE SARBANES-OXLEY ACT OF 2006∗

INTRODUCTION

Literature Review, Background, and Hypothesis Development

Literature Review

Japan Setting and Hypothesis Development

Research Design and Sample Selection

Event Study Analysis

Cross-sectional analysis

Sample Selection and Data

Empirical Results

CONCLUDING REMARKS

Chapter6ADAPTIVEWAVEMODELSFOROPTIONPRICINGEVOLUTION

Abstract

1.Introduction

2.NonlinearAdaptiveWaveModelforGeneralOptionPricing.

2.1.AdaptiveNLSModel

2.2.AdaptiveManakovSystem

3.FinancialRogueWaves

4.QuantumWaveModelforLowInterest-RateOptionPricing

5.ANewStock-MarketResearchProgram

6.Conclusion

References

Chapter7RECONSIDERINGSTOCKRETURNSANDEQUITYMUTUALFUNDFLOWSINTHEU.S.STOCKMARKET:AMACROAPPROACH

2.EconometricMethodologies

3.EmpiricalResults

4.Conclusion

5.Appendix

5.1.UnitRootTests

Chapter 8 REEXAMINING COVARIANCE RISK DYNAMICS IN GLOBAL STOCK MARKETS USING QUANTILE REGRESSION ANALYSIS*

2. MODEL SPECIFICATION

2.1 ICAPM wth Single Beta

2.2 ICAPM with Quantile-Varying Betas

2.3 ICAPM with Time-varying Betas

2.4 ICAPM with State-Varying Betas

3. EMPIRICAL RESULTS

3.2 One-Single Beta versus Quantile-Varying Betas

3.3 Quantile-varying Versus Time-varying and State-varying Betas

4. CONCLUSIONS AND EXTENSIONS

Chapter 9 STOCK MARKET VOLATILITY AND THE GREAT MODERATION: NEW EVIDENCE BASED ON THE G-7 ECONOMIES*

THE GREAT MODERATION AND STOCK MARKETS

STRUCTURAL BREAKS IN THE G-7 STOCK MARKET VOLATILITY

EMPIRICAL EVIDENCE ON STOCK MARKET VOLATILITY ACROSS THE G-7 ECONOMIES

Some Initial Stylized Facts

Estimation of Statistical GARCH Models

CONCLUSION

INDEX

Blank Page.

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

Description based on print version record.

ISBN:

1-61209-045-1

OCLC:

831658172