Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets (Contributions to Economics) - Softcover

Islam, Sardar M. N.

Softcover

ISBN 10: 3790815519 ISBN 13: 9783790815511

Verlag: Physica, 2004

Inhaltsangabe

This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un­ derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over­ view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap­ ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.

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Über die Autorin bzw. den Autor

Dr. B. D. Craven was (until retirement) a Reader in Mathematics at University of Melbourne, Australia, where he taught Mathematics and various topics in Operations Research for over 35 years. He holds a D.Sc. degree from University of Melbourne. His research interests include continuous optimization, nonlinear and multiobjective optimization, and optimal control. and their applcations. He has published five books, including two on mathematical programming and optimal control, and many papers in international journals. He is a member of Australian Society for Operations Research and INFORMS. Prof. Sardar M N Islam is Professor of Welfare and Environmental Economics at Victoria University, Australia. He is also associated with the Financial Modelling Program, and the Law and Economics Program there. He has published 11 books and monographs and more than 150 technical papers in Economics (Mathematical Economics, Applied Welfare Economics, Optimal Growth), Corporate Governance, Mathematical Finance, Financial Econometrics and E-Commerce.

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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 Winter’s 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.

Details zur Ausgabe

• Verlag: Physica
• Erscheinungsdatum: 2004
• Sprache: Englisch
• ISBN 10: 3790815519
• ISBN 13: 9783790815511
• Einband: Taschenbuch
• Anzahl der Seiten: 220
• Kontakt zum Hersteller: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Deutschland