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Short-Run Pain, Long-Run Gain; The Effects of Financial Liberalization
Schmukler, Sergio L.; Kaminsky, Graciela Laura - International Monetary Fund (IMF) - 2003
We examine the short- and long-run effects of financial liberalization on capital markets. To do so, we construct a new comprehensive chronology of financial liberalization in 28 mature and emerging market economies since 1973. We also construct an algorithm to identify booms and busts in stock...
Persistent link: https://www.econbiz.de/10005826221
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Systemic Risk and Asymmetric Responses in the Financial Industry
López-Espinosa, Germán; Rubia, Antonio; Valderrama, Laura - International Monetary Fund (IMF) - 2012
To date, an operational measure of systemic risk capturing non-linear tail comovement between system-wide and individual bank returns has not yet been developed. This paper proposes an extension of the so-called CoVaR measure that captures the asymmetric response of the banking system to...
Persistent link: https://www.econbiz.de/10011142002
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Spillovers of the U.S. Subprime Financial Turmoil to Mainland China and Hong Kong SAR; Evidence from Stock Markets
Zhang, Xiaojing; Sun, Tao - International Monetary Fund (IMF) - 2009
This paper focuses on evidence from stock markets as it investigates the spillovers from the United States to mainland China and Hong Kong SAR during the subprime crisis. Using both univariate and multivariate GARCH models, this paper finds that China's stock market is not immune to the...
Persistent link: https://www.econbiz.de/10008528625
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Go Long or Short in Pyramids? News From the Egyptian Stock Market
Massa, Isabella; Billmeier, Andreas - International Monetary Fund (IMF) - 2007
Similar to other emerging economies, the Egyptian stock market has recently experienced a remarkable run-up but also a major downturn. This paper analyzes the stock market from two angles. First, it compares the performance of the major stock price index with its underlying fundamentals. Second,...
Persistent link: https://www.econbiz.de/10005604800
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The Jordanian Stock Market; Should You Invest in it for Risk Diversification or Performance?
Petri, Martin; Saadi-Sedik, Tahsin - International Monetary Fund (IMF) - 2006
We analyze the performance of the Amman Stock Exchange (ASE) and its integration with other markets. Using cointegration techniques, we find that the ASE and other Arab stock markets are cointegrated, which implies little long-run risk diversification. However, there is no cointegrating...
Persistent link: https://www.econbiz.de/10005263988
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Financial Linkages Between the U.S. and Latin Amercia; Evidence From Daily Data
Ganguly, Srideep; Benelli, Roberto - International Monetary Fund (IMF) - 2007
external bond markets in Latin America remained on a trend of weakening linkages with U.S. corporate bonds, while they … originating in the U.S. stock, bond, and currency markets. After documenting that cross-country linkages were different in … increased their sensitivity to movements in other emerging market bond markets. …
Persistent link: https://www.econbiz.de/10005605433
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From Crisis to Recovery in Korea; Strategy, Achievements, and Lessons
Kang, Kenneth; Liang, Hong; Ma, Henry; Richards, Anthony J. - International Monetary Fund (IMF) - 2001
This paper reviews and draws lessons from the stabilization and reform program that Korea implemented in response to the 1997-98 crisis. The economy recovered quickly from the deep recession in 1998 and its vulnerability to a balance of payments crisis has been reduced sharply. Significant...
Persistent link: https://www.econbiz.de/10005825786
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Capital Account Liberalization and Financial Sector Stability
International Monetary Fund (IMF); International … - 2002
Persistent link: https://www.econbiz.de/10005824821
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The Capital Markets of Emerging Europe; Institutions, Instruments and Investors
Ong, Li L.; Iorgova, Silvia - International Monetary Fund (IMF) - 2008
Emerging European countries have made large strides in developing their local capital markets since the early-1990s. However, the rate of development has been widely disparate across countries and market segments, underpinned by the varying degrees of progress made in key areas such as...
Persistent link: https://www.econbiz.de/10005264095
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Ipo Behavior in Gcc Countries; Goody-Two Shoes or Bad-To-The-Bone?
International Monetary Fund (IMF); International … - 2007
This paper documents the phenomenon of underpricing initial public offerings (IPOs) for 47 firms that went public between 2001 and 2006 in the equity markets of the six Gulf Cooperation Council (GCC) countries. The average initial abnormal returns of 290 percent exceed those found in the...
Persistent link: https://www.econbiz.de/10005604962