Empirical Finance

Modelling and Analysis of Emerging Financial and Stock Markets

Häftad, Engelska, 2004

Av Sardar M. N. Islam, Sethapong Watanapalachaikul

1 459 kr

Beställningsvara. Skickas inom 10-15 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock market as an example, this book provides an econometric study of a typical Asian financial system. Many contemporary techniques and models are used in this study, including simple multivariate regression, multi-factor model, exponential smoothing, Holt Winters models, and GARCH type models. The findings of the existence of rational bubbles, anomalies, volatility and other characteristics reveal evidence of inefficiency in the Thai stock market. Based on these results, the book includes justifications for public policies in such economies and makes suggestions for further research areas.

Produktinformation

Utgivningsdatum2004-08-26
Mått155 x 235 x 13 mm
Vikt338 g
FormatHäftad
SpråkEngelska
SerieContributions to Economics
Antal sidor201
Upplaga2005
FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN9783790815511

Tillhör följande kategorier

Finansiering inom Ekonomi och ledarskap
Internationell ekonomi inom Ekonomi och ledarskap
Mikroekonomi inom Ekonomi och ledarskap

1 Introduction.- 2 The Thai Financial System: Characteristics of the Emerging Thai Stock.- 3 Descriptive Statistics and General Characteristics of the Stock Market.- 4 Market Efficiency Models and Tests.- 5 Stock Valuation Models.- 6 Models for Rational Speculative Bubbles.- 7 Models for Anomalies Studies.- 8 Volatility Models.- 9 Summary and Conclusions.- Appendix 1 Structure of Financial Institutions in Thailand.- Appendix 2 Market Efficiency and ARIMA Test Results.- Appendix 3 Regression Test Results.- List of Figures.- List of Tables.- List of Appendices.- About the Authors.

Review "This new book by Sardar M. N. Islam and Sethapong Watanapalachaikul applies the modern tools of financial econometrics to the investigation of the structure and statistical relationships within an important developing financial market, the stock market in Thailand. This book is an invaluable source for those with an interest in the financial markets of developing economies, financial econometrics and modelling more generally and also provides a framework for the investigation of these same relationships in those other financial markets at different stages of development." - Jonathan Batten, Professor of Finance, Seoul National University, Republic of Korea; Co-editor, Research in International Business and Finance; in the editorial board of the International Review of Financial Analysis; ,coauthor with Thomas Fetherston, "Asia-Pacific Fixed Income Markets: An Analysis of the Region's Money, Bond and Interest Derivatives Markets", John Wiley, Frontiers in Finance Series in 2002.