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Item Details
| Title:
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EMPIRICAL FINANCE
MODELLING AND ANALYSIS OF EMERGING FINANCIAL AND STOCK MARKETS |
| By: |
Sardar M. N. Islam, Sethapong Watanapalachaikul |
| Format: |
Paperback |
| List price:
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£109.99 |
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We currently do not stock this item, please contact the publisher directly for
further information.
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| ISBN 10: |
3790815519 |
| ISBN 13: |
9783790815511 |
| Publisher: |
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
| Pub. date: |
26 August, 2004 |
| Edition: |
Softcover reprint of the original 1st ed. 2004 |
| Series: |
Contributions to Economics |
| Pages: |
215 |
| Description: |
Places emphasis on the understanding special characteristics of the financial systems of emerging markets. Considering the Thai stock market as an example, this book provides an econometric study of a typical Asian financial system, using contemporary techniques and models. It also makes suggestions for further research areas. |
| Synopsis: |
This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un- derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over- view of the Thai stock market in chapter 2.Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap- ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns. |
| Illustrations: |
56 black & white tables, biography |
| Publication: |
Germany |
| Imprint: |
Physica-Verlag GmbH & Co |
| Returns: |
Returnable |
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