Empirical Finance / Contributions to Economics (PDF)
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...
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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.
- Autoren: Sardar M. N. Islam , Sethapong Watanapalachaikul
- 2012, 2004, 201 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3790826669
- ISBN-13: 9783790826661
- Erscheinungsdatum: 06.12.2012
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- Größe: 15 MB
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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.
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