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Monetary Policy and the Price Behavior in Emerging Stock Markets

Monetary Policy and the Price Behavior in Emerging Stock Markets »

Source: Monetary Policy and the Price Behavior in Emerging Stock Markets

Volume/Issue: 1991/27

Series: IMF Working Papers

Author(s): Peter Cornelius

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 1991

ISBN: 9781451844429

Keywords: stock prices, stock markets, emerging stock markets, time series, stock market

This paper examines whether the six largest and most active emerging stock markets are informationally efficient with respect to changes in the money supply. To investigate if stock prices fully reflect the informa...

Stock Market Equilibrium and Macroeconomic Fundamentals

Stock Market Equilibrium and Macroeconomic Fundamentals »

Source: Stock Market Equilibrium and Macroeconomic Fundamentals

Volume/Issue: 1997/15

Series: IMF Working Papers

Author(s): Lamin Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1997

ISBN: 9781451843224

Keywords: Singapore, stock market, stock exchange, stock returns, stock price, stock prices

This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper es...

What Drives Stock Market Development in the Middle East and Central Asia-Institutions, Remittances, or Natural Resources?

What Drives Stock Market Development in the Middle East and Central Asia-Institutions, Remittances, or Natural Resources? »

Source: What Drives Stock Market Development in the Middle East and Central Asia-Institutions, Remittances, or Natural Resources?

Volume/Issue: 2007/157

Series: IMF Working Papers

Author(s): Andreas Billmeier , and Isabella Massa

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2007

ISBN: 9781451867213

Keywords: Stock market capitalization, panel, institutions, stock market, stock market development, domestic credit,

In this paper, we assess the macroeconomic determinants of stock market capitalization in a panel of 17 countries in the Middle East and Central Asia, including both hydrocarbon-rich countries and economies without...

Have Institutional Investors Destabilized Emerging Markets?

Have Institutional Investors Destabilized Emerging Markets? »

Source: Have Institutional Investors Destabilized Emerging Markets?

Volume/Issue: 1996/34

Series: IMF Working Papers

Author(s): Brian Aitken

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1996

ISBN: 9781451978889

Keywords: institutional investors, stock markets, emerging market stocks, stock prices, international finance

In the past few years there has been a large increase in portfolio capital flows into emerging markets, mostly fueled by mutual funds and other institutional investors. Based on a simple variance ratio test, this p...

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand1

Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand1 »

Source: Exchange Rate Fluctuations and International Portfolio Rebalancing in Thailand

Volume/Issue: 2012/214

Series: IMF Working Papers

Author(s): Jacob Gyntelberg , Subhanij Tientip , and Mico Loretan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505641

Keywords: Foreign exchange market, equity market, portfolio rebalancing, stock market, exchange rate, foreign exchange, financial institutions,

We present empirical evidence that the Thai baht's value is driven in part by investors' cross-border equity portfolio rebalancing decisions. Our results are based on comprehensive datasets of FX and stock market t...

Private Information, Capital Flows, and Exchange Rates1

Private Information, Capital Flows, and Exchange Rates1 »

Source: Private Information, Capital Flows, and Exchange Rates

Volume/Issue: 2012/213

Series: IMF Working Papers

Author(s): Jacob Gyntelberg , Subhanij Tientip , and Mico Loretan

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 2012

ISBN: 9781475505634

Keywords: Order flow, private information, exchange rate models, market microstructure, bond, bond market, stock market, bonds,

We demonstrate empirically that not all capital flows influence exchange rates equally: Capital flows induced by foreign investors' stock market transactions have both an economically significant and a permanent im...

Dynamic Connectedness of Asian Equity Markets

Dynamic Connectedness of Asian Equity Markets »

Source: Dynamic Connectedness of Asian Equity Markets

Volume/Issue: 2016/57

Series: IMF Working Papers

Author(s): Roberto Guimarães-Filho , and Gee Hee Hong

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 09 March 2016

ISBN: 9781513572451

Keywords: financial spillovers, Asia financial integration, financial linkages, stock market, equity, markets, market, returns, equity returns, General,

Understanding how markets are connected and shocks are transmitted is an important issue for policymakers and market participants. In this paper, we examine the connectedness of Asian equity markets within the regi...

Singapore, Inc. Versus the Private Sector

Singapore, Inc. Versus the Private Sector »

Source: Singapore, Inc. Versus the Private Sector : Are Government-Linked Companies Different?

Volume/Issue: 2003/156

Series: IMF Working Papers

Author(s): Ling Tan , and Carlos Ramírez

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2003

ISBN: 9781451857429

Keywords: investment spending, capital markets, capital stock, subsidiaries, private sector counterparts

Government-linked companies (GLCs) have a significant presence in Singapore's corporate sector. Unlike parastatals in many other countries, these companies are run on a competitive, commercial basis, ostensibly wit...

Price Volatility and Financial Instability

Price Volatility and Financial Instability »

Source: Price Volatility and Financial Instability

Volume/Issue: 2001/60

Series: IMF Working Papers

Author(s): Gene Leon , and Rupert Worrell

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2001

ISBN: 9781451848052

Keywords: volatility, financial instability, GARCH models, exchange rate, stock market, stock prices, stock price, Financial Markets and the Macroeconomy, Financial Institutions and Services: Government Policy and Regulation,

Statistical measures of the volatility of exchange rates, interest rates, and stock prices are estimated for a number of countries. Periods of high volatility are identified and compared with periods of financial d...

The Quality Effect

The Quality Effect »

Source: The Quality Effect : Does Financial Liberalization Improve the Allocation of Capital?

Volume/Issue: 2004/112

Series: IMF Working Papers

Author(s): Abdul Abiad , Nienke Oomes , and Kenichi Ueda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 June 2004

ISBN: 9781451853636

Keywords: Tobin&;amp;#x2019;s Q, financial liberalization, allocative efficiency, inequality, stock market, financial deepening, stock market turnover, stock market capitalization, Financial Markets and the Macroeconomy, General Financial Markets: Government Policy and Regulation,

The study documents evidence of a "quality effect" of financial liberalization on allocative efficiency, which is measured by the dispersion in Tobin's Q across firms. Based on a simple model, the authors predict t...