Econometric Modeling: International Financial Markets - Emerging Markets eJournal最新文献_第9页

Four Factor Model in Indian Equities Market 印度股票市场的四因素模型

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-09-05 DOI: 10.2139/ssrn.2334482

Sobhesh Kumar Agarwalla, Joshy Jacob, J. Varma

{"title":"Four Factor Model in Indian Equities Market","authors":"Sobhesh Kumar Agarwalla, Joshy Jacob, J. Varma","doi":"10.2139/ssrn.2334482","DOIUrl":"https://doi.org/10.2139/ssrn.2334482","url":null,"abstract":"We compute the Fama-French and momentum factor returns for the Indian equity market for the October 1993 - December 2013 period using data from CMIE Prowess. We differ from the previous studies on this topic, in the Indian market, in several significant ways. First, we cover a greater number of firms relative to the existing studies. Second, we exclude illiquid firms to ensure that the portfolios are investible. Third, we have classified firms into small and big using more appropriate cut-off considering the distribution of firm size. Fourth, as there are several instances of vanishing of public companies in India, we have computed the returns with a correction for survival bias. During the period from January 1994 to December 2014, the average annual return of the momentum factor was 21.9%; the average annual return on the value portfolio (HML was 15.3%; that of the size factor (SMB) was 15.3%; that of the size factor (SMB) nearly 0%; and the the average annual excess return on the market factor (MRP) was 11.5%. This is a revised version of our earlier paper on this topic. The revision is carried out to primarily accommodate the data of firms which are retrospectively added to the prowess database by CMIE. The time series of daily, monthly and yearly returns of the factors and the underlying portfolios are made available at an online data library. The authors would update the library on a monthly basis.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"108 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125223836","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 84

Asset Pricing Model Conditional on Up and Down Market for Emerging Market: The Case of Pakistan 新兴市场基于上下市场的资产定价模型:以巴基斯坦为例

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-09-01 DOI: 10.2139/ssrn.2495827

Nida Shah, Javaid Ali Dars, M. Haroon

引用次数: 5

Do the Type of Sukuk and Choice of Shari’a Scholar Matter? 伊斯兰教的类型和伊斯兰学者的选择重要吗?

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-08-11 DOI: 10.2139/ssrn.2537420

Christophe J. Godlewski, Rima Turk-Ariss, L. Weill

引用次数: 92

Do Financial Market Lead to Economic Growth? A Causality Test in Jordan 金融市场带动经济增长吗?约旦的因果关系检验

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-06-19 DOI: 10.11648/J.JIM.20130205.11

Najeb Masoud, Glenn Hardaker

{"title":"Do Financial Market Lead to Economic Growth? A Causality Test in Jordan","authors":"Najeb Masoud, Glenn Hardaker","doi":"10.11648/J.JIM.20130205.11","DOIUrl":"https://doi.org/10.11648/J.JIM.20130205.11","url":null,"abstract":"This study investigates empirically into the acclaimed positive role played financial market leading growth, with evidence from the Jordan financial market. Utilising, several econometric techniques models, such as unit root test, co-integration test and formal tests of causality developed by C.J. Granger and yearly Jordan data for the period 1980-2012. Results show that both Engle-Granger and Johansen co-integration test support the view that there is a short-run and long- run relationship between financial market development and economic growth in Jordan. On the other hand, there was no evidence to support the view that financial market in Jordan is a leading sector in the process of the country's economic development. In particular, the causality relationship between financial market development and economic growth in Jordan is bi-directional. Higher development in the financial market causes higher real economic growth. High economic growth in turn promotes development in the financial market. This study's results will be useful in reaching policy decisions to develop financial markets to increase economic growth in developing countries or/ emerging economies, in general, and within Jordan, in particular. Furthermore, providing empirical evidence regarding this critical issue within specific emerging economies will add to the literature on financial market related to the role of financial market development and its influence on economic growth and, thus, initiate an exciting topic for research.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"518 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116239941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 1

Ramadan Effect on UAE Stock Market - Banks Sector 斋月对阿联酋股市和银行板块的影响

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-06-03 DOI: 10.2139/ssrn.2449967

Musab Alatiyat

引用次数: 5

WATER-Model: An Optimal Allocation of Water Resources in Turkey, Syria and Iraq Water - model:土耳其、叙利亚和伊拉克水资源的最优配置

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-05-01 DOI: 10.2139/ssrn.2440711

P. oei, Markus Siehlow

{"title":"WATER-Model: An Optimal Allocation of Water Resources in Turkey, Syria and Iraq","authors":"P. oei, Markus Siehlow","doi":"10.2139/ssrn.2440711","DOIUrl":"https://doi.org/10.2139/ssrn.2440711","url":null,"abstract":"Political instability of several countries in the Middle East is overshadowing one of the biggest challenges of the upcoming century: Water - a natural resource that is easily taken for granted, but whose scarcity might lead to serious conflicts. This paper investigates an optimal Water Allocation of the Tigris and Euphrates Rivershed by introducing the WATER-Model. A series of scenarios are analyzed to examine the effects of different levels of cooperation for an optimal water allocation. Special emphasize is put on the effects of filling new Turkish reservoirs which can cause additional welfare losses if these actions are not done on a basin-wide coordinated basis. Modeling results show that Turkey is most efficient in its water usage. However, using the water for irrigation purposes in Turkey, instead of the Iraqi or Syrian domestic and industrial sector, decreases the overall welfare. Especially the Euphrates basin might thus encounter losses of up to 33% due to such strategic behaviour. The predicted water demand growth in the region is going to increase this water scarcity further. Minimum flow treaties between riparian countries, however, can help to increase the overall welfare and should therefore be fostered.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"13 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124967537","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 3

Price Jumps and the Related Liquidity Dynamics: Evidences from Chinese Stock Market 价格跳跃与流动性动态:来自中国股票市场的证据

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-04-07 DOI: 10.2139/ssrn.2421106

Die Wan, Xianhua Wei, Xiaoguang Yang

{"title":"Price Jumps and the Related Liquidity Dynamics: Evidences from Chinese Stock Market","authors":"Die Wan, Xianhua Wei, Xiaoguang Yang","doi":"10.2139/ssrn.2421106","DOIUrl":"https://doi.org/10.2139/ssrn.2421106","url":null,"abstract":"Using 9559 single jumps detected from high frequency data of 220 individual stocks in SZ300P index, the paper investigates the liquidity dynamics around price jumps in Chinese market. By event study method and regression method, some interesting empirical results are obtained. The trading volumes at the price jumps are extraordinarily high, in particular at the positive price jumps, and the buyer-initiated trades contribute more to price volatilities. These may be associated with the high proportion of retail investors and their herding behavior for price chasing. Some evidences from the limit order book at jumps may reveal existence of plenty of informed trading, e.g., the order depth is quite large even 30 minutes before jumps, the occurrence of price jumps needs a quite thick limit order book, and price jumps consume the liquidity at a fast speed. The price reversal after price jumps is significant, and the volume and depth dynamics both contribute to the price reversal effect. Moreover, the size and direction of jumps are significantly correlated with the returns and trades in the post-jump trading time. The findings could be explained as the joint effect of herding behavior and informed trading. All these results may suggest that Chinese stock market need make a great effort to enforce its market discipline, and reform its trading regime.","PeriodicalId":108284,"journal":{"name":"Econometric Modeling: International Financial Markets - Emerging Markets eJournal","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-04-07","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115593293","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 0

Policy Uncertainty in China, Oil Shocks and Stock Returns 中国的政策不确定性，石油冲击和股票回报

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-04-01 DOI: 10.2139/ssrn.2423165

Wensheng Kang, Ronald A. Ratti

引用次数: 11

Cash Value and Stock Price 现金价值和股票价格

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-03-03 DOI: 10.2139/ssrn.2516250

Yanyang Yan, Qiao Sijia

引用次数: 0

The Fama-French Three Factors in Chinese Stock Market 中国股市的法-法三要素

Econometric Modeling: International Financial Markets - Emerging Markets eJournal Pub Date : 2014-03-02 DOI: 10.2139/ssrn.2367908

J. Xu, Shaojun Zhang

引用次数: 24