Showing papers in "Emerging Markets Review in 2008"

TL;DR: In this paper, the authors examined the impact of sovereign credit ratings on domestic financial sector development and international capital inflows to emerging countries and found that long-term foreign currency ratings stimulate domestic market growth but discourage international capital flows.

TL;DR: In this paper, the authors present several new empirical observations on the pricing of stocks and market integration, and provide guidance on how practitioners should calculate beta on securities in various developed and emerging markets.

TL;DR: In this article, the best value and momentum strategies combined by: (i) a long portfolio of stocks classified as both value stocks and winner stocks; and (ii) a short portfolio of growth and loser stocks were evaluated.

TL;DR: Wang et al. as mentioned in this paper divided Chinese A-share IPO initial returns into the initial return in the primary market and in the secondary market, and found that the initial abnormal return in secondary market is significantly positive.

TL;DR: In this article, the authors provide the first analysis of the determinants of the decision of banks to syndicate a loan on a sample of loan facilities from 50 emerging countries, and show the significant role of loan characteristics and of financial development, banking regulation, and legal institutions in the decision to Syndicated Loan Syndication.

TL;DR: In this article, the authors investigated whether global, local and currency risks are priced in the Russian stock market using conditional international asset pricing models using a modified version of the multivariate GARCH-M framework of De Santis and Gerard [De Santis, G., Gerard, B., 1998, How big is the premium for currency risk? Journal of Financial Economics 49, 375-412].

TL;DR: In this paper, the stability of domestic financial linkages between periods of calm and turbulent market conditions is analyzed using a simultaneous test of shift contagion and bi-directional pure contagion applied to the equity and currency markets of a group of East Asian emerging economies.

TL;DR: This paper presented empirical evidence which links the exchange rates to monetary variables in the newly entered ten EU members and Turkey and found a long-run relationship between nominal exchange rate and monetary variables such as monetary differential, output differential, interest rate differential and price differential.

TL;DR: In this paper, the authors exploit previously unpublished data on foreign exchange turnover to analyse the institutional setting in which the currencies of non-Japan Asia are traded and find that Herstatt risk remains high in Asian foreign exchange markets.

TL;DR: In this paper, the authors investigated the returns to value strategies in four Asian stock markets: Hong Kong, Korea, Singapore and Taiwan, and found that the value strategy's excess return is sensitive to the sample selection rule and the firm size and liquidity effects.

TL;DR: This paper examined whether emerging market hedge funds are exposed to the value of the Japanese yen and whether this is the key exposure associated with their use of leverage, which implicates the importance of the yen carry trade.

TL;DR: In this article, the authors verify the importance of the presence of asymmetric information in price dynamics, build a model for the price discovery process and analyze the empirical determinants of the spread between bid and ask through a conditional model that captures an asymmetric response to the spread regarding past information.

TL;DR: In this paper, the authors provide an analysis of the determinants of the closed-end fund discount in Mainland China and find that discount is strongly and negatively related to stock concentration as measured by the number of stocks in the fund or Herfindahl index.

TL;DR: The authors used the multivariate GARCH-M framework of De Santis and Gerard to find global, local, and currency risk to be priced and time-varying in Chinese markets, suggesting mild segmentation for developing country markets.

TL;DR: In the case of a third generation crisis, international lending of last resort should be used if and only if the International Lending of Last Resort (ILOLR) is informed on the subject of domestic financial and banking markets as mentioned in this paper.

TL;DR: In this paper, a vector autoregressive (VAR) model was adopted to investigate the impact of inter-trade time on price change in Shanghai stock exchange and found evidence to support the significant role that time plays in both quote revision and signed trade equations.

TL;DR: This article showed that countries characterized by a financial accelerator mechanism may reverse the usual finding of the literature that flexible exchange rate regimes do a worse job of insulating open economies from external shocks.

TL;DR: In this article, an average valuation premium of 27.3% in a sample of 43 cross-listed companies domiciled in Hungary, Czech Republic, Poland and Russia relative to 123 companies from the region that choose not to cross list was found.

TL;DR: In this paper, a market-based framework for pricing the International Monetary Fund's commitment to provide liquidity assistance, accounting for the credit risk and the insurance benefit involved in such operations is presented.