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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...

A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

DOI: http://dx.doi.org/10.5089/9781462314331.001

ISBN: 9781462314331

Keywords: Financial conditions index, VAR, Dynamic Factor Analysis, exchange rate, stock market, effective exchange rate, nominal effective exchange rate, bond, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy

We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...

Dynamic Connectedness of Asian Equity Markets

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

DOI: http://dx.doi.org/10.5089/9781513572451.001

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...

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis »

Volume/Issue: 2009/239

Series: IMF Working Papers

Author(s): Heiko Hesse , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

DOI: http://dx.doi.org/10.5089/9781451873863.001

ISBN: 9781451873863

Keywords: Event Study, financial sector, financial markets, stock market, General Financial Markets: Government Policy and Regulation, Corporate Finance and Governance: General,

This paper examines financial stability issues that arise from the increased presence of sovereign wealth funds (SWFs) in global financial markets by assessing whether and how stock markets react to the announcemen...

A Quantitative Assessment of Financial Conditions in Asia

A Quantitative Assessment of Financial Conditions in Asia »

Source: A Quantitative Assessment of Financial Conditions in Asia

Volume/Issue: 2011/170

Series: IMF Working Papers

Author(s): Carolina Osorio , Filiz Unsal , and Runchana Pongsaparn

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2011

ISBN: 9781462314331

Keywords: Financial conditions index, VAR, Dynamic Factor Analysis, exchange rate, stock market, effective exchange rate, nominal effective exchange rate, bond, General Aggregative Models: Forecasting and Simulation, Financial Markets and the Macroeconomy

We propose a new Financial Condition Index (FCI) for Asian economies based on two different methodologies: a VAR model and a Dynamic Factor Model. The paper shows that this index has predictive power in forecasting...

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis

Sovereign Wealth Funds and Financial Stability-An Event Study Analysis »

Source: Sovereign Wealth Funds and Financial Stability-An Event Study Analysis

Volume/Issue: 2009/239

Series: IMF Working Papers

Author(s): Heiko Hesse , and Tao Sun

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 2009

ISBN: 9781451873863

Keywords: Event Study, financial sector, financial markets, stock market, General Financial Markets: Government Policy and Regulation, Corporate Finance and Governance: General,

This paper examines financial stability issues that arise from the increased presence of sovereign wealth funds (SWFs) in global financial markets by assessing whether and how stock markets react to the announcemen...