Showing papers in "Emerging Markets Review in 2011"

TL;DR: The authors analyzes the risk and return characteristics of a sample of 145 IEFs over the period 2000 to 2009 and finds that IEF managers are bad market timers and try to time the market, but in doing so, reduce the return rather than increasing it.

TL;DR: In this article, the influence of bank regulation, concentration, and financial and institutional development on commercial bank margins and profitability across a broad selection of Middle East and North Africa (MENA) countries was examined.

TL;DR: In this article, the authors compared accounting-based and economic-based measures of efficiency and profitability of banks in ten Middle East and North Africa (MENA) countries, and found that almost all banks in the MENA region are below optimal size.

TL;DR: In this article, the main drivers of China's outward FDI across a range of variables including bi lateral and multi lateral trade, market size, GDP growth, openness and resource endowment are investigated.

TL;DR: In this article, the authors employ a Markov-Switching EGARCH model to investigate the dynamic linkage between stock price volatility and exchange rate changes for four emerging countries over the period 1994-2009.

TL;DR: This article performed an empirical investigation into the relationship between oil price and stock market returns for seven countries (Kuwait, Oman, UAE, Bahrain, Qatar, UK and USA) by applying the Vector Auto Regression (VAR) analysis.

TL;DR: In this paper, the authors identify 698 cross-border acquisitions made by emerging country firms during the period January 1991 through December 2008 and find that the acquirer returns are positively correlated with better corporate governance measures in the target country.

TL;DR: In this paper, the authors examine calendar anomalies in Gulf Cooperation Council (GCC) stock markets and document a Friday-type effect that occurs on the last trading day of the week and which they call the Wednesday effect.

TL;DR: In this article, the authors examined interlinkages of stock return behavior for China and three emerging market neighbors from the Asia Pacific region from November 1993 to July 2008, based on a VAR model.

TL;DR: Wang et al. as mentioned in this paper investigated acquiring firms of 1148 M&A in the two Chinese stock markets, using the market model, the CAPM model and the buy-and-hold method.

TL;DR: In this paper, the authors show how the interconnected relationships can be disentangled into simple and quantifiable bilateral interdependence linkages, using 11 Asia-Pacific economies as an example.

TL;DR: In this paper, the authors examined the link between over-subscription and pre-listing information in fixed-price IPOs and found that oversubscription is negatively correlated with offer price but is not significantly related to issue size.

TL;DR: In this article, weak-form efficiency in the stock markets of the Gulf Cooperation Council is examined using daily, weekly, and monthly index data for the 10-year period 2000-2009 Various variance ratio test specifications with specific homo- and heteroscedasticity assumptions found evidence of nonlinear dependence for the daily data, supporting the evidence in favor of a rejection of the random walk.

TL;DR: In this article, the authors document persistence in the performance of emerging market equity funds and find several notable differences compared to US equity funds, such as the contribution of winner funds to the return spread between winner and losers is substantially larger for emerging market funds.

TL;DR: In this paper, the extent of regional financial integration in the member countries of the Gulf Cooperation Council (GCC) was investigated, showing that convergence exists and that interest rate differentials are relatively short-lived.

TL;DR: In this article, the authors estimate the impact of changes in real and financial wealth on private consumption for a panel of 17 emerging economies from Asia and Central and Eastern Europe in terms of consumption, income, and two measures of real and stock market prices.

TL;DR: In this article, the authors examined the impact on underpricing and firm market value arising from IPO firms implementing a range of governance attributes such as the separation of CEO and Chairman roles, the founder ceding CEO position, establishment of committees and board size.

TL;DR: In this article, the authors compare results obtained using a linear approach with those from nonlinear and nonparametric models, and they find that a considerable proportion of these firms are exposed when nonlinear or nonlinear models are used.

TL;DR: This article examined corporate governance and foreign equity home bias in Chinese companies and found that foreign ownership relative to free float is negatively impacted by legal persons (large domestic cross company) holdings and positively related to large foreign institutional holdings, with the implication that the latter provide a monitoring function that reduces agency problems.

TL;DR: In this article, the Liu (2006) measure within a multifactor capital asset pricing model (CAPM) including size premiums and a time-varying parameter model for the North African emerging markets of Algeria, Egypt, Morocco and Tunisia was used to estimate liquidity premiums.

TL;DR: In this paper, the authors revisited the Barry, Peavy and Rodriguez (1998) paper and investigated the underlying source of emerging market performance benefits, finding that an investor can achieve greater benefits by focusing on a limited set of emerging markets with a French civil law foundation.

TL;DR: In this paper, the impact of stock exchange funding in the Shari'ya compliant Islamic economy of Sudan is assessed and it is shown that while Islamic financial instruments have considerable potential in facilitating development finance through their emphasis on partnership this is better achieved by the banking system rather than the Khartoum Stock Exchange.

TL;DR: In this paper, the Central and Eastern European Countries' (CEECs) dynamics of financial integration in the euro area with the prospect of their integration into the European Monetary Union are studied.

TL;DR: The authors examined trends in monetary autonomy and their interactions with financial integration, currency regimes and foreign reserves for recent decades in emerging Asian and Latin American economies, finding that most emerging Asian economies have increased monetary autonomy mainly due to changes in currency regimes toward floating regimes.

TL;DR: This article examined foreign investors' equity-level transactions in an emerging stock market, the Istanbul Stock Exchange, for the period 1997-2008 to derive insights into the debate on information asymmetries between domestic and foreign investors and the home bias puzzle.

TL;DR: In this paper, the authors investigate the quality of public and private information environments between Western European or Eastern European firms and find that the quality private information is higher for Eastern European than for Western European firms.

TL;DR: In this article, the authors find that a portfolio of emerging market hedge funds, which have geographical focuses, outperform their underlying stock markets, and that hedge funds which focus on Eastern Europe appear to have the best outperformance.

TL;DR: In this paper, the authors explored the risk associated with the stocks prices in the seventeen selected companies that are listed in Indian BSE (100) National as well as portfolios of investment that are constructed from these seventeen companies employed.

TL;DR: In this article, the authors examined the role of age structure and its interaction with various capital market imperfections in driving international capital flows in an empirical framework using panel data covering the period 1970 to 2000 for up to 115 countries.