Search results

The purpose of this paper is to examine the degree of integration of emerging markets with the world market and amongst them. Further, the impact of the 2008 global financial crisis (GFC) on and structural breaks in the degree of integration are explored. The paper, additionally, analyses the behaviour of the level and the rate of change of the degree of integration around the period of the GFC.

The paper relies on the R² from a single factor world and the incremental R² from a two-factor world and emerging market models as proxies for the global and emerging markets degree of integration, respectively. Relying on the Quandt test for unknown structural breakdates, the paper examines structural breaks in the degree of integration.

The degree of global integration of emerging markets exceeds their degree of integration with themselves, particularly in the recent period. Additionally, the GFC is a significant driver of the recent increase in world market integration. We observe significant structural shifts in both the degree of the world and emerging markets integration measures. The breaks in the world market integration largely coincide with the GFC, whereas that of the emerging market integration is dispersed. Also, the level of the world market degree of integration has reversed recently, although, the degree of world market integration remains above pre-crisis point.

There exist high country-specific components in emerging market returns that are not accounted for by the world and emerging market factors despite the recent increase in global integration. Thusly, portfolios that diversify across emerging markets appear to have a high diversification potential. Additionally, substantial diversification gains may be realised with the inclusion of emerging market assets in global portfolios.

The paper shows that the emerging markets respond similarly to common global, although, diversely to emerging markets events. Additionally, evidence of the impacts of the GFC on the degree of global integration of emerging markets is presented.

The purpose of this paper is to assess the wide-ranging implications of the global economic crisis and provide a comprehensive assessment of the how the structure of the market and competition within it is changing as a result.

The research methodology draws on a “financialization” market construct and adapts it to include the public-private interfaces (PPIs) that have appeared since the global economic crisis.

The crisis has turned the global system on a dime. The decades-long surge of globalization, as characterized by market liberalization and ever more fast-paced investment flows, has abated and, in some cases, been dramatically reversed. It has altered the international investment paradigm. Firms have revised their risk functions and are re-arranging their stakeholder relationships.

Much needs to be done to assess the wide-ranging implications of the most recent crisis. This is just one set of “snapshots”, if you will, of the way in which market structure and competition are being altered.

The re-arrangement of stakeholder relationships of both privately owned firms and sovereign enterprises will have far-reaching effects on market structure in such areas as market access and competition, as well as on civil society, writ large.

That asset returns are typically neither independent nor normally distributed is a stylised fact of many financial markets. We examine market returns for a number of emerging Asian nations before and during the Asian crisis and global financial crisis periods and consider how well these are described by the assumptions of normality and independence. Specifically we seek to ask how – if at all – these crises impacted upon the time-series properties of stock market returns in the emerging Asian economies. The first part of the chapter examines the comparative fit of the normal distribution to daily stock market returns for each of the economies under observation. The second part of the chapter follows with an examination of dependence relations in emerging Asian market returns around the crises periods.

This study aims to provide one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis.

Using the Morgan Stanley Capital International (MSCI) country indices as proxies for national stock markets, the study conducts a battery of econometric tests in assessing weak-form market efficiency for the developed markets.

The inferential outcomes are consistent among the different tests. Specifically, the study finds that the majority of developed markets are weak-form efficient while the USA is the sole equity market to be commonly diagnosed as weak-form inefficient across the different tests when using full period data spanning the January 2008-November 2011 period. However, when basing the analysis on one-year subsamples over the identical time period, this study fails to reject weak-form market efficiency for all of the developed markets and presents evidence consistent with the Adaptive Market Hypothesis as described by Urquhart and Hudson (2013). When applying technical analysis for the case of the USA over the full study period, the results indicate that the return predictabilities can be exploited for some horizon of variable length moving average (VMA) trading rules.

This study provides one of the first empirical investigations of market efficiency for developed markets during the recent global financial crisis using an extended set of econometric tests. The study contributes to the existing body of empirical research that formally assesses the impact of a financial crisis on stock market efficiency and underlines the significance and relevance of examining market efficiency through subsample analysis.

The purpose of this paper is to examine in which ways hedge funds contribute to financialization.

Two already identified conduits through which financialization operates are applied to hedge funds.

The paper finds that hedge funds drive the phenomenon of financialization in two major ways, i.e. the financialization of corporations, and the financialization of markets. Hence, hedge funds can be conceived as agents of change for financialization.

There are indications that hedge funds possess disciplinary power. Future research should address this pivotal point, even though such power will be difficult to prove empirically.

Hedge funds have been found to potentially increase market volatility. In times of crisis, stricter regulation of these investors that take excessive risks seems prudent.

Through linking “hedge funds” with “financialization” this paper closes a research gap. In addition, the so far rather structural debate about financialization benefits from the actor-centered approach of this paper.

Recently the world economy was confronted to the worst financial crisis since the great depression. This unprecedented crisis started in mid-2007 had a huge impact on the European government bond market. But what are the main drivers of this “perfect storm” that since 2009 affects EU government bond market as well? To answer this question, we propose an empirical study of the determinants of the sovereign bond spreads of EU countries with respect to Germany during the period 2003–2010. Technically, we address two main questions. First, we ask what share of the change in sovereign bond spreads is explained by changes in the fundamentals, liquidity, and market risks. Second, we distinguish between EU member states within and outside the Euro area and question whether long-term determinants of spreads affect EU members uniformly. To these ends, we employ panel data techniques in a regression model where spreads to Germany (with virtually no default risk) are explained by set of traditional variables and a number of policy variables. Results reveal that large fiscal deficits and public debt as well as political risks and to a lesser extent the liquidity are likely to put substantial upward pressures on sovereign bond yields in many advanced European economies.

The governance of capital market institutions did not receive much interest compared to their banking sector counterparts, partly due to their different ownership structures. Recent trends; increased competition, technological advances, structural changes, globalization, all had their share of impact on governance systems of capital markets institutions particularly on exchanges. Corporate governance of non-financial firms and capital markets institutions differ in several ways. Firstly the role of risk management differs since they may impose systemic risks to the financial system. Secondly well-implemented governance structures and processes are required but are not sufficient in capital markets since there are several conflicts of interests to be addressed. Therefore whether and how effectively they function is what matters. Thirdly the governance structures of such institutions exhibit different effectiveness on their decisions.The governance of FIs in capital markets is discussed in terms of board structure and management, risk governance, supervisors, shareholders, executive compensation, role of regulators, authorities and values and culture. The role of stock exchanges in corporate governance are discussed separately in terms of implementing corporate governance codes, demutualisation and its impact on regulations, transparency and accountability issues and the effects of M&As among exchanges. Market needs strong analytical tools and reliable benchmarks to assess governance risk. The corporate control and the regulation of the institutions by the exchanges when the corporations (regulated) are the competitors of the exchanges (regulators) or owned by the stockholders of the exchanges must be addressed. The risk of regulatory arbitrage, calls for the need of harmonisation among regulators. Better regulation of FIs and greater global coordination among regulators are seen as the most two important issues to prevent another crisis.

This paper aims to investigate the effect of global financial market uncertainty on the relation between risk and return in G7 stock markets.

Market uncertainty is quantified using a probability-based measure derived from a regime-switching model in which the state transition probabilities are time-varying in response to leading economic indicators. Time variation in the risk return relation is estimated using a GARCH-M model.

While the regime-switching model successfully distinguishes between crisis and normal states, there remains substantial variability through time in the level of uncertainty about which state prevails. Results show that a strong negative relation exists between this uncertainty and the reward-to-variability ratio across all G7 stock markets. This finding is qualitatively consistent at both monthly and weekly horizons.

Extant evidence on the risk-return relation is conflicting. Most papers assume the relation is time constant. Allowing the reward-to-variability ratio to vary through time in response to return regime uncertainty increases the understanding of asset pricing. It also has important implications for asset allocation decisions by investors.

The purpose of this paper is to investigate the determinants of the intellectual capital performance of UAE banks over the period 2004 to 2010.

Multiple regression analysis was used to test the relationship between the intellectual capital performance as a dependent variable and certain independent variables.

The results indicate that standard variables, namely investment in information technology systems, barriers to entry, bank risk, bank size, bank age and bank listing age, are important. The results also show that the global financial crisis and market structure as measured by concentration ratio variables, which have not been considered in previous studies, have a significant impact on intellectual capital performance.

More evidence is needed regarding the determinants of intellectual capital performance before any generalisation of the results can be made. In addition, the empirical tests were conducted only for UAE banks between 2004 and 2010. Therefore, it cannot be assumed that the results of the study extend beyond this group of banks or to different periods.

The paper might help the banking regulators address the factors affecting intellectual capital performance and also help banks to take action to developing their performance, in turn maximising their value creation.

The paper adds to the literature discussing determinants of intellectual capital performance in banks. In particular, it tests the theory that the global financial crisis and market structure, as measured by concentration ratio, have an impact on intellectual capital performance.

This paper examines the 2008 collapse of the US tax‐exempt auction rate securities (ARS) market, from the perspective of not‐for‐profit auction rate debt issuers.

The authors use a multiple case study methodology to examine the financial and operating impact of ARS auction failures on three US nonprofit hospitals and health systems. The analysis is based solely on information drawn from publicly‐available documents.

The three case study subjects issued more than $ 411 million in ARS. These securities were issued with bond insurance and fixed payer interest rate derivatives. The 2008 global financial crisis resulted in millions of dollars in drastically increased interest costs, costly debt refunding, and derivative‐related collateral postings. It was also found that the ability of an individual ARS issuer to respond effectively to these capital market‐related shocks is related to three key factors – profitability, liquidity and perceived credit quality.

The reliance on a case study methodology may limit the authors' ability to generalize the findings to the hundreds of other US non‐profit ARS issuers.

Nonprofit financial executives must learn to adequately assess their organization's risk exposures if innovative long‐term capital financing instruments are to be used in the future. These potential costs, as well as any ineffectively hedged interest cost exposure, must be considered and weighed against any potential interest cost saving associated with any future debt financing arrangements.

The paper measures the financial and operating impact of the highly publicized 2008 ARS market collapse on non‐profit ARS issuers.