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Wednesday, July 15, 2020 | History

2 edition of Extreme observations and diversification in Latin American emerging equity markets found in the catalog.

Extreme observations and diversification in Latin American emerging equity markets

Raul Susmel

Extreme observations and diversification in Latin American emerging equity markets

by Raul Susmel

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Published by Universidad del CEMA in Capital Federal, [Argentina] .
Written in English

    Subjects:
  • Stock exchanges -- Latin America.

  • Edition Notes

    StatementRaúl Susmel.
    SeriesSerie Documentos de trabajo / Universidad del CEMA -- no. 138, Serie Documentos de trabajo (Universidad del CEMA) -- no. 138.
    Classifications
    LC ClassificationsHG5160.5.A3 S87 1998
    The Physical Object
    Pagination23 p. ;
    Number of Pages23
    ID Numbers
    Open LibraryOL19194573M

    Equity markets finished the year on a high note, rallying for most of the fourth quarter. Gains were made as investors became increasingly confident in the global economic recovery. The announced extension of the much debated Bush tax cuts and proposed payroll tax deductions provided more clarity and stimulus for the world's largest economy. Finance, Financial Sector Policies, and Long-Run Growth. Asli Demirgüç-Kunt World Bank. Ross Levine Brown University and the NBER. March Abstract: In this paper, we review research on (1) the relation between finance and growth and (2) the policy and institutional determinants of Cited by:

    The Emerging Markets Investor. there appears to be large differences in the degree of market efficiency. Latin American markets, which are increasingly institutionalized and have a large participation of foreign institutional investors, appear highly efficient. stocks that trade at low multiples of earnings or net worth (book equity. Flows versus Initial Holdings in LAC6 and Emerging Markets, – Consumption Smoothing and Financial Globalization Portfolio Diversification and Risk Sharing in Selected Countries.

      The Concept of Food Security. Food security is commonly defined as a state whereby “[ ] all people, at all times, have physical and economic access to sufficient, safe and nutritious food to meet their dietary needs and food preferences for an active and healthy life” (FAO , paragraph 1).The definition of nutrition security goes even beyond that of food security by postulating Cited by: 9. The volatility in energy markets unsettled stock markets as well. with Germany’s DAX stock index losing % to 10, and the CAC 40 in France shedding % to 4, Britain’s FTSE


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Extreme observations and diversification in Latin American emerging equity markets by Raul Susmel Download PDF EPUB FB2

Susmel, Raul, "Extreme observations and diversification in Latin American emerging equity markets," Journal of International Money and Finance, Elsevier, vol. Downloadable. In this paper, we focus on the tails of the unconditional distribution of latin American emerging markets stock returns.

We explore their implications for portfolio diversification according to the safety first principle, first proposed by Roy (). We find that the Latin American emerging markets have significantly fatter tails than industrial markets, especially, the lower.

All Latin American countries strive for diversification of the exportable industrial production and the exploitation of new and non-traditional foreign export markets. Computing robust risk measures in emerging equity markets using extreme value theory.

Emerging Markets Quarterly, 4, 25–41; Silva, A. and Mendes, B., (). Value-at-Risk and extreme returns in. "Volatility Dependence and Contagion in Emerging Equity Markets" (with Sebastian Edwards), Journal of Development Economics, Vol.

66, December Download working paper (PDF File) "Extreme Observations and Diversification in Emerging Markets," Journal of International Money and Finance, Vol. 20, December Extreme Observations and Diversification in Latin American Emerging Equity Markets." ().

Finance and the Sources of Growth."Author: Ibrahim L. Stevens. In the cross-section of emerging markets, we find additional support for the correlation of the global economic cycle and ERP. 11 Frankel and Roubini () note that the recession among industrialised countries in – depressed prices and volumes for exports from emerging markets and contributed to the Latin American debt crisis.

For Cited by: Using either of the two measures, we find that the diversification benefits of emerging equity markets remain substantial after imposing short-sale constraints in these markets. The result holds when we limit our analysis to investable stocks, i.e., stocks that are available to nonnative investors and meet minimum size and liquidity by: Using the methodology developed by Fama () and Schwert (), we measure the degree to which six of the largest emerging equity markets in Latin America and Asia are rational in the sense that they incorporate domestic and global shocks to future expected cash flows and time variation in the discount rates that price these flows.

The Chilean, Mexican, and, to a lesser extent, Malaysian. In Emerging Markets Reached a Bear Market Level we noted the emerging markets index has declined %, which is considered to be in bear market territory.

The emerging markets index includes 24 countries classified as emerging countries. To see the country exposure, we examine the iShares MSCI Emerging Markets ETF holdings. China is about 31%, South Korea is about 15%, Taiwan is over. Basically all external debt issued by Latin American and Caribbean emerging markets is denominated 11 As these data cover only the period throughthey do not capture the recent repayments to.

The MSCI Emerging Markets Index is in a bear market territory, down % from its high in January. The investment industry defines a “bear market” as a % off its recent high, so we’ll go with it.

This isn’t the first time Emerging Markets have declined % or more since The. MSCI Emerging Markets Latin America Index: A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets in Latin America.

MSCI Emerging Markets Mexico Index: Measures the performance of the large and mid cap segments of the Mexican market. With 30 constituents, the. equity markets. Moreover, in diversifying their portfolios toward emerging markets, rational investors should consider that the integration process might lower expected returns and increase correlations between emerging market and world market returns.

To the extent that the benefits of diversification are severely reduced by the. Foreign participation in emerging markets was fairly restricted until the s when many emerging-market countries deregulated their capital markets to foreign entry.

For example, Latin American countries began actively seeking foreign investment in Cited by:   Financial theory suggeststhat higher returns should compensate for the higher volatility of emerging equity ng markets are expected to enjoy faster economic growth than developed economic growth should translate into faster growth in corporate earnings and thus,into higher equity market returns.

In this paper, we investigated the profitability of technical analysis as applied to the stock markets of the BRICS member nations. In addition, we searched for evidence that technical analysis and fundamental analysis can complement each other in these markets.

To implement this research, we created a comprehensive portfolio containing the assets traded in the markets of each BRICS by: 7. Costs of equity in Latin American emerging markets Tables A1 to A6 in the Appendix show the annual costs of equity for the different economic sectors in the six countries.

To obtain these results, simple averages of the costs of equity of all the securities in the same. The future of global economics depends on the wellbeing of sustainable economic growth and the expansion of banking systems.

Emerging Research on Monetary Policy, Banking, and Financial Markets is an essential reference source that discusses the complex nature of financial markets and the growth of developing economies.

FTSE Emerging Markets Index: A free float-adjusted market capitalization index that is designed to measure equity market performance of emerging markets. FTSE Emerging Markets All Cap China A Inclusion Index: a market-capitalization weighted index representing the performance of large, mid and small cap stocks in Emerging markets.

The index is. Provides a comprehensive survey of recent developments in international financial markets, including developments in emerging capital markets, bond markets, major currency markets, and derivative markets.

The report focuses on efforts by the major industrial countries to strengthen the management of financial risk and prundential oversight over the international banking system.

"Bloomberg Daybreak: Europe" live from London, tracking the breaking and top business news stories in the lead-up to the opening of European markets.

(Source: Bloomberg). This paper provides real-world techniques and optimum asset allocation strategies that can be applied to equity trading portfolios in emerging and illiquid financial markets.

Key market risk management methods and procedures that financial entities, regulators and policymakers should consider in formulating their daily market risk management objectives are examined and are adapted Cited by: 8.