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1.
This study examines the financial integration of large- and small-cap stocks in twenty-three emerging markets to determine their degree of market integration with the world market. The international asset pricing model cannot be rejected for most large-cap stock portfolios, but it is rejected for small-cap stock portfolios. The findings also demonstrate that super-large-cap stocks have the fewest pricing errors and their global financial integration has increased in recent years. In sum, the empirical results indicate that global market integration is primarily associated with the super-large-cap stocks of large emerging markets.  相似文献   

2.
我国处于转轨中的养老模式面临着人口老龄化和转轨成本的双重压力,为此,2001年7月开始在辽宁省进行社保改革试点。本将以试点模式为研究起点,并将养老基金平衡剖析为两个收支平衡:一是横向平衡,二是纵向平衡。就横向平衡而言,笔认为难关的突破在于强化政府的社会保险责任,而纵向平衡的难关在于基金收益率。为此,本提出一些拓展性的社保改革思路,并认为在此基础之上养老基金的平衡是可以实现的。  相似文献   

3.
This paper derives and analyzes the selectivity and market timing performance of the mutual funds for the Turkish economy for the financial crisis period by employing high-frequency data. The determinants of these derived abilities are investigated within a regression analysis. The results suggest weak evidence about selection ability and some evidence about superior market timing quality. They also indicate that management fees are negatively correlated with the ability measure, which is quite surprising. Experience emerges as an important factor, especially for market timing ability.  相似文献   

4.
We analyze U.S.‐based emerging market bond funds over a ten‐year (1996–2005) complete cycle of ups and downs in the dominant emerging bond markets. Emerging market bond funds outperform comparable domestic and global bond funds. The results are robust across both conditional and unconditional models. The funds also provide international diversification benefits to U.S. and international bond and equity portfolios. The funds exhibit persistence in performance and seasonality. Active funds, large funds and funds with high minimum purchases perform better on a total return basis but not on a risk‐adjusted basis.  相似文献   

5.
Privatization and fiscal deficits have been linked theoretically as emerging market countries completed transitions from command to market-based economies. This study examines the joint relationships among relative fiscal deficits, privatization, and exogenous factors for twenty-five Central and Eastern European emerging market countries. Pooled regression models suggest that increased privatization does not reduce fiscal deficits, but fiscal deficits increase as privatization increases over time. These effects are dependent upon the set of countries considered and the privatization measure employed. There is limited support for the hypothesis that privatization is increased when fiscal deficits decline for the nine early privatizers.  相似文献   

6.
The previous evidence shows that firms experience lower returns after a period with higher growth in assets. Two alternative explanations have been raised to explain this effect: mispricing and optimal investment. This study examines this effect in 26 emerging markets over the period of 2005–2013 with a special attention to the recent global financial crisis. We find a stronger asset growth effect during the crisis years relative to other years. This effect is stronger in firms with small or medium stock turnover ratio and firms operating in industries with low R&D intensity. We also investigate the heterogeneity across countries and find that a stronger asset growth effect during the crisis years exists only for emerging markets with low protection of shareholders and creditors. We argue that this evidence is in line with the mispricing hypothesis.  相似文献   

7.
This paper investigates the relation between downside risk and expected returns on the aggregate stock market in an international context. Nonparametric and parametric value at risk are used as measures of downside risk to determine the existence of a risk-return trade-off. For emerging markets, fixed effects panel data regressions provide evidence for a significantly positive relationship between monthly expected market returns and downside risk. This result is robust after controlling for aggregate dividend yield and price-to-fundamental ratios. The relationship between expected returns and downside risk is weaker for developed markets and vanishes when control variables are included in the specification.  相似文献   

8.
Research in the economics, finance, and management literature has sought to describe the predominance of business groups using an economic lens for decades. Yet, theory still falls short of explaining the role of business groups as a substitute for external markets as their influence only increases as countries develop. This article synthesizes the literature and posits that three main problems hinder its explanatory power; the difficulty of defining and identifying business groups, the focus on social welfare implications, and that the embeddedness of the central theories in a decidedly Anglo-American, developed economy perspective. Finally, suggestions for addressing these issues, along with accompanying hypotheses, are presented to further future research.  相似文献   

9.
Numerous studies have examined the factors associated with allocation of corporate and government pension-plan assets. Yet to date there has been no attempt to identify the sponsor-related conditions that affect the percentage of U.S. private and public pension-fund assets invested in real estate. The purpose of this article is to examine various asset-and liability-matching hypotheses regarding pension-plan asset allocations. Models are specified for both corporate and government defined-benefit plans that relate the characteristics of each plan to the percentage allocated to real estate investments. Our results confirm the existence of a significant size effect for both corporate and government pension plans, although we find mean levels of real estate allocation to be much lower than those suggested in previous real estate allocation studies. The article, however, contains some anomalous findings. In particular, our findings suggest that pension-plan sponsors do not hedge their real estate risk. We also find that pension-plan sponsors do not invest in real estate, as theory might suggest, to minimize the noise level in their pension liabilities.  相似文献   

10.
We find that momentum strategies yield profits in Latin American emerging markets. Both stock type and country play a major role in explaining the momentum effect in these markets, but stock type is much more important. For risk-averse investors, winner portfolios stochastically dominate loser portfolios in these markets, implying that there are no asset-pricing models consistent with risk-averse investors that can rationalize the momentum effect. The results obtained via the bootstrap procedure without replacement also uphold this conclusion.  相似文献   

11.
12.
This paper tests the hypothesis that stock returns in emerging stock markets adjust asymmetrically to past information. The evidence suggests that both the conditional mean and the conditional variance respond asymmetrically to past information. In agreement with studies dealing with developed stock markets, the conditional variance is an asymmetrical function of past innovations, rising proportionately more during market declines. More importantly, the conditional mean is also an asymmetrical function of past returns. Specifically, positive past returns are more persistent than negative past returns of an equal magnitude. This behaviour is consistent with an asymmetric partial adjustment price model where news suggesting overpricing (negative returns) are incorporated faster into current prices than news suggesting underpricing (positive returns). Furthermore, the asymmetric adjustment of prices to past information could be partially responsible for the asymmetries in the conditional variance if the degree of adjustment and the level of volatility are positively related.  相似文献   

13.
We aim to detect the cross-border volatility linkages among gold futures in emerging markets, which still remain an untapped area. China, India, Japan, Taiwan, Turkey, and U.S. futures markets are included in the sample. The volatility linkage analyses confirm the existence of volatility transmission among the majority of the sample countries’ gold futures. This article carries vital inferences and implications for policy makers and investors. The policy making is particularly important for China, which is a relatively isolated market. From investors’ perspective, the results indicate that the risk diversification and cross-market hedging opportunities in the emerging gold futures markets are quite limited.  相似文献   

14.
In this study, I examine the properties and portfolio management implications of value‐weighted idiosyncratic volatility in 24 emerging markets. This paper provides evidence against the view that the rise of idiosyncratic risk is a global phenomenon. Furthermore, specific and market risks jointly predict market returns as there is a negative (positive) relation between idiosyncratic (market) risk and subsequent stock returns. Idiosyncratic volatility is the most important component of tracking error volatility, and it does not exhibit either an upward or a downward trend. Thus, investors do not have to increase, on average, the number of stocks they hold to keep the active risk constant.  相似文献   

15.
This paper summarizes theoretical and empirical research on the roles and functions of emerging derivatives markets and the resulting implications on policy and regulations. Previous studies revealed that commodity derivatives markets offered an effective and welfare-improving method to deal with price volatility. Financial derivatives markets have helped to support capital inflows into emerging market economies. On the other hand, the use of financial derivatives has led to exacerbated volatility and accelerated capital outflow. There is a consensus that derivatives are seldom the cause of a financial crisis but they could amplify the negative effects of the crisis and accelerate contagion. Previous studies of derivatives markets have supported the hedging role of emerging derivatives markets. Empirical results from a few emerging countries suggest a price discovery function of emerging futures markets. The findings on the price stabilization function of emerging derivatives markets are mixed. Finally, recent research has documented that constructive development of derivatives markets in emerging market economies needs to be supported by sound macroeconomic fundamentals as well as updated financial policies and regulations.  相似文献   

16.
The ability of simple technical trading rules to forecast future stock market movements is considered for seventeen emerging markets, sampled from January 1986 to September 2003. Some of the trading rules considered generated significant returns; this information could be exploited profitably on occasion. Market conditions and trading volume are found to be important to determining the usefulness of technical trading rules.  相似文献   

17.
This paper develops a model to value defaultable bonds in emerging markets. Default occurs when some signaling process hits a pre-defined default barrier. The signaling variable is considered to be some macro-economic variables such as foreign exchange rates. The dynamics of the default barrier depend on the volatility and the drift of the signaling variable. We derive a closed-form solution of the defaultable bond price from the model as a function of a signaling variable and a short-term interest rate. The numerical results show that the model values generated by using foreign exchange rates as the signaling variables can broadly track the market credit spreads of defaultable bonds in South Korea and Brazil. Given an expected level of the foreign exchange rate, defaultable bond values under a stressed market situation can be obtained.  相似文献   

18.
This article examines cross-market volatility linkages among the fear index (VIX), the developed-market index (VXEFA), and the emerging-market index (VXEEM). Analysis on the first moments of volatilities reveals that the fear index has a leading role and has information content for VXEFA and VXEEM. A shock to the fear index spillovers to VXEFA and VXEEM and contributes 57.07% and 63.77% to their shocks, respectively. Further analysis on the second moments of volatilities confirms that the volatility indices are highly dynamically correlated while the fear index drives the correlation dynamics with the VXEEM. Correlations increase in turbulent periods and decrease in tranquil periods.  相似文献   

19.
This study evaluates the impacts of energy markets on emerging market mutual funds (EMMFs). In particular, we investigate the volatility transmission between these funds and the oil and natural gas prices. The findings suggest significant risk spillover from the energy markets to EMMFs. Furthermore, we find a large number of EMMFs’ risk transmitting to oil prices and almost all of the EMMFs’ risk transmitting to natural gas prices. By dividing the sample into two (before and after 2008), we find the EMMFs’ influence on the oil market decreasing after this turbulent period. Our results have important implications for mutual fund managers and investors.  相似文献   

20.
养老基金作为重要机构投资者,在投资时主要考虑投资的安全性、谨慎性、流动性、交易成本、公司业绩、投资风格以及公司治理.国外学者对此进行了大量的理论和实证研究,而我国在这一领域还处于起步阶段,有待进一步深入研究.  相似文献   

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