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Empirical Finance

Modelling and Analysis of Emerging Financial and Stock Markets

  • Book
  • © 2005

Overview

Authors:
  1. Sardar M. N. Islam

    1. Centre for Strategic Economic Studies, Victoria University, Melbourne City MC, Australia

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    You can also search for this author in PubMed   Google Scholar

  2. Sethapong Watanapalachaikul

    1. Centre for Strategic Economic Studies, Victoria University, Melbourne City MC, Australia

    View author publications

    You can also search for this author in PubMed   Google Scholar

Part of the book series: Contributions to Economics (CE)

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Table of contents (9 chapters)

  1. Front Matter

    Pages I-XIV
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  2. Introduction

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 1-11

  3. The Thai Financial System: Characteristics of the Emerging Thai Stock Market

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 13-24

  4. Descriptive Statistics and General Characteristics of the Stock Market

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 25-51

  5. Market Efficiency Models and Tests

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 53-63

  6. Stock Valuation Models

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 65-89

  7. Models for Rational Speculative Bubbles

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 91-106

  8. Models for Anomalies Studies

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 107-122

  9. Volatility Models

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 123-146

  10. Summary and Conclusions

    • Sardar M. N. Islam, Sethapong Watanapalachaikul
    Pages 147-153

  11. Back Matter

    Pages 155-201
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Keywords

About this book

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.

Reviews

Review

"This new book by Sardar M. N. Islam and Sethapong Watanapalachaikul applies the modern tools of financial econometrics to the investigation of the structure and statistical relationships within an important developing financial market, the stock market in Thailand. This book is an invaluable source for those with an interest in the financial markets of developing economies, financial econometrics and modelling more generally and also provides a framework for the investigation of these same relationships in those other financial markets at different stages of development."

- Jonathan Batten, Professor of Finance, Seoul National University, Republic of Korea; Co-editor, Research in International Business and Finance; in the editorial board of the International Review of Financial Analysis; ,coauthor with Thomas Fetherston, "Asia-Pacific Fixed Income Markets: An Analysis of the Region's Money, Bond and Interest Derivatives Markets", John Wiley, Frontiers in Finance Series in 2002.

Authors and Affiliations

  • Centre for Strategic Economic Studies, Victoria University, Melbourne City MC, Australia

    Sardar M. N. Islam, Sethapong Watanapalachaikul

Bibliographic Information

  • Book Title: Empirical Finance

  • Book Subtitle: Modelling and Analysis of Emerging Financial and Stock Markets

  • Authors: Sardar M. N. Islam, Sethapong Watanapalachaikul

  • Series Title: Contributions to Economics

  • DOI: https://doi.org/10.1007/978-3-7908-2666-1

  • Publisher: Physica Heidelberg

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Physica-Verlag Heidelberg 2005

  • Softcover ISBN: 978-3-7908-1551-1Published: 26 August 2004

  • eBook ISBN: 978-3-7908-2666-1Published: 06 December 2012

  • Series ISSN: 1431-1933

  • Series E-ISSN: 2197-7178

  • Edition Number: 1

  • Number of Pages: XIV, 201

  • Topics: Finance, general, Econometrics, Development Economics

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