Empirical Finance

Modelling and Analysis of Emerging Financial and Stock Markets

Sardar M.N. Islam, Sethapong Watanapalachaikul - Collection Contributions to economics

200 pages, parution le 01/10/2004

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Résumé

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.

Written for: Scientists

Sommaire

Introduction
The Thai Financial System: Characteristics of the Emerging Thai Stock Market
Descriptive Statistics and General Characteristics of the Stock Market
Market Efficiency Models and Tests
Stock Valuation Models
Models for Rational Speculative Bubbles
Models for Anomalies Studies
Volatility Models
Summary and Conclusions
Appendix 1 Structure of Financial Institutions in Thailand
Appendix 2 Market Efficiency and ARIMA Test Results
Appendix 3 Regression Test Results
Appendix 4 Day of the Week and January Effect Test Results 167

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	PAPIER
Éditeur(s)	Springer
Auteur(s)	Sardar M.N. Islam, Sethapong Watanapalachaikul
Collection	Contributions to economics
Parution	01/10/2004
Nb. de pages	200
Format	15,5 x 23,5
Couverture	Broché
Poids	330g
Intérieur	Noir et Blanc
EAN13	9783790815511