Advertisement

Empirical Finance

Modelling and Analysis of Emerging Financial and Stock Markets

  • Sardar M. N. Islam
  • Sethapong Watanapalachaikul

Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages I-XIV
  2. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 1-11
  3. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 13-24
  4. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 25-51
  5. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 53-63
  6. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 65-89
  7. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 91-106
  8. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 107-122
  9. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 123-146
  10. Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 147-153
  11. Back Matter
    Pages 155-201

About this book

Introduction

The emphasis of this book is on understanding special characteristics of the financial systems of emerging markets, where the existence of market imperfections such as asymmetric information, adverse selection and moral hazard can cause financial market failures. Considering the Thai stock market as an example, this book provides an econometric study of a typical Asian financial system. Many contemporary techniques and models are used in this study, including simple multivariate regression, multi-factor model, exponential smoothing, Holt Winter’s models, and GARCH type models. The findings of the existence of rational bubbles, anomalies, volatility and other characteristics reveal evidence of inefficiency in the Thai stock market. Based on these results, the book includes justifications for public policies in such economies and makes suggestions for further research areas.

Keywords

Emerging Financial Markets Empirical Finance Finance Financial Policy Thailand Volatility calculus modeling

Authors and affiliations

  • Sardar M. N. Islam
    • 1
  • Sethapong Watanapalachaikul
    • 1
  1. 1.Centre for Strategic Economic StudiesVictoria UniversityMelbourne City MCAustralia

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-7908-2666-1
  • Copyright Information Physica-Verlag Heidelberg 2005
  • Publisher Name Physica, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-7908-1551-1
  • Online ISBN 978-3-7908-2666-1
  • Series Print ISSN 1431-1933
  • Buy this book on publisher's site
Industry Sectors
Pharma
Automotive
Chemical Manufacturing
Biotechnology
Finance, Business & Banking
Oil, Gas & Geosciences
Engineering