scholarly journals Factorising Equity Returns in an Emerging Market Through Exogenous Shocks and Capital Flows

2013 ◽  
Author(s):  
Diane Wilcox ◽  
Tim J. Gebbie
Keyword(s):  
Capital Flows ◽  
Emerging Market ◽  
Equity Returns ◽  
Exogenous Shocks

Harinder S. Kohli (ed.). Growth and Development in Emerging Market Economies: International Private Capital Flows, Financial Markets and Globalisation. New Delhi: Sage Publication 2008. 369 pages. Hardbound. Indian Rs 695.00.

2008 ◽  
Vol 47 (3) ◽  
pp. 304-305
Author(s):  
Henna Ahsan
Keyword(s):  
Capital Flows ◽  
Growth And Development ◽  
Global Economy ◽  
Emerging Market ◽  
Balance Sheet ◽  
Emerging Market Economies ◽  
New Delhi ◽  
Infrastructure Development ◽  
Market Economies ◽  
Emerging Market Countries

The book discusses the different experiences in Asia and Latin America, while covering the closely related areas under the purview of Emerging Market Economies (EMEs). The first chapter, “Introduction and Overview” has written by Harinder S. Kohli gives an excellent review of the existing literature on the subject. The book discusses six related topics which include nine papers presented at the Emerging Markets Forum Meeting held in Jakarta, Indonesia, in September 2006. The book highlights the main factors of growth and development in Emerging Market Economies (EMEs) now closely related with international capital flows, development of financial market, the countries’ ability to integrate successfully with the global economy through trade and investment and their ability to forge public-private partnerships including infrastructure development. Chapter 2, of the book is an article titled “Global Imbalances, Oil Revenues and Capital Flows to Emerging Market Countries” by Jack Boorman explains the favourable global environment and its impact on capital flows to Emerging Market Countries (EMCs). The EMCs got advantage from this benign global economic environment, such as high economic growth rate, increase in exports, better national balance sheet and increase in foreign exchange reserves, but due to high oil prices the situation has been changed.

Impact of oil volatility shocks on global emerging market stock returns

2017 ◽  
Vol 13 (5) ◽  
pp. 578-591 ◽  
Author(s):  
Probal Dutta ◽  
Md Hasib Noor ◽  
Anupam Dutta
Keyword(s):  
Stock Returns ◽  
Emerging Market ◽  
Equity Returns ◽  
Oil Price ◽  
Financial Assets ◽  
Stock Market Returns ◽  
Content Type ◽  
Volatility Index ◽  
Jump Model ◽  
Oil Price Risk

Purpose The purpose of this paper is to investigate whether the crude oil volatility index (OVX) plays any key role in explaining the trend in emerging market stock returns from a global standpoint. Design/methodology/approach At the empirical stage, different forms of the GARCH-jump model have been estimated. Findings The findings confirm the effects of OVX on equity returns. In addition, the results document that there exist time-varying jumps in the stock market returns. Besides, the impacts of OVX shocks appear to be symmetric. The analysis further shows that the magnitude of OVX impact is marginally bigger than that of the conventional oil price shocks. Originality/value Since various financial assets are traded on the basis of oil and equity markets, investors, for instance, could use the findings of this study for taking proper investment decisions and gaining better portfolio diversification benefits. Additionally, policymakers could utilize the results to develop effective measures and strategies in order to minimize the oil price risk.

scholarly journals Spillover Effect of Global Financial Cycle To Asset Markets in Asean-5 Countries: A Structural VAR Approach

2018 ◽  
Vol 2 (02) ◽  
pp. 1
Author(s):  
Sri Andaiyani ◽  
Telisa Aulia Falianty
Keyword(s):  
Risk Aversion ◽  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Structural Var ◽  
Asset Markets ◽  
Equity Prices ◽  
Financial Cycle ◽  
Property Prices ◽  
The Impact

<p><em>An upsurge and volatility of capital flows to Emerging Asian Economies indicated that there is the potential effect of global financial cycle to emerging market. It provides an overview of investor risk aversion in short term investment after financial crisis 2008. Global financial cycle could have a significant impact to asset prices, including equity prices and property prices. Rey (2015) has triggered an interesting discussion about global financial cycle. She found that there was a global financial cycle in capital flows, asset prices and credit growth. This cycle was co</em><em>‐</em><em>moves with the VIX, a measure of uncertainty and risk aversion of the markets. Therefore, this study attempts to analyze empirically global financial cycle shocks, measured by the VIX, on equity prices and property prices in ASEAN-5, namely Indonesia, Malaysia, Singapore, Thailand and Philippines. We estimate quarterly frequency data from Q1 1990 to Q2 2016 with Structural Vector Autoregressive (SVAR) approach. The result of this study showed that global financial cycle has a negative significant impact on the ASEAN-5 asset markets, in spite of the response of shock differs by country and size. This result is consistent with ASEAN-5 as small open economies that remain vulnerable to the global factor. This study contributes to the literature in several ways. First, we identify not only cyclical expansions or contraction in asset markets but also the impact of global financial cycle to asset markets in ASEAN-5 countries. Second, we investigate whether there are heterogeneous responses of ASEAN-5 countries to global financial cycle shocks. Third, we also identify the pattern of cycle in ASEAN-5 countries</em>.</p><p><strong><em>J</em></strong><strong><em>EL Classification: </em></strong>F30, F37, F42</p><strong><em>Keywords: </em></strong><em>ASEAN, Asset Markets, Global Financial Cycle, SVAR</em>

scholarly journals Capital Flows in Risky Times: Risk-on / Risk-off and Emerging Market Tail Risk

2020 ◽  
Author(s):  
Anusha Chari ◽  
Karlye Dilts Stedman ◽  
Christian T. Lundblad
Keyword(s):  
Capital Flows ◽  
Emerging Market ◽  
Tail Risk

Capital Flows, Asset Prices and Output in Emerging Market Economies

2015 ◽  
Vol 50 (1) ◽  
pp. 1-20
Author(s):  
Ranjanendra Narayan Nag ◽  
Sayan Baksi ◽  
Sayantan Bandhu Majumder
Keyword(s):  
Capital Flows ◽  
Asset Prices ◽  
Emerging Market ◽  
Emerging Market Economies ◽  
Market Economies
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