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Contributions to Economics

Empirical Finance

Modelling and Analysis of Emerging Financial and Stock Markets

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

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About this book

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.

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.


Table of contents (9 chapters)

Table of contents (9 chapters)
  • Introduction

    Pages 1-11

    Islam, Dr. Sardar M. N. (et al.)

  • The Thai Financial System: Characteristics of the Emerging Thai Stock Market

    Pages 13-24

    Islam, Dr. Sardar M. N. (et al.)

  • Descriptive Statistics and General Characteristics of the Stock Market

    Pages 25-51

    Islam, Dr. Sardar M. N. (et al.)

  • Market Efficiency Models and Tests

    Pages 53-63

    Islam, Dr. Sardar M. N. (et al.)

  • Stock Valuation Models

    Pages 65-89

    Islam, Dr. Sardar M. N. (et al.)

Buy this book

eBook $109.00
price for USA in USD
  • ISBN 978-3-7908-2666-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $149.99
price for USA in USD
  • ISBN 978-3-7908-1551-1
  • Free shipping for individuals worldwide
  • Immediate ebook access, if available*, with your print order
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Empirical Finance
Book Subtitle
Modelling and Analysis of Emerging Financial and Stock Markets
Authors
Series Title
Contributions to Economics
Copyright
2005
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Physica-Verlag Heidelberg
eBook ISBN
978-3-7908-2666-1
DOI
10.1007/978-3-7908-2666-1
Softcover ISBN
978-3-7908-1551-1
Series ISSN
1431-1933
Edition Number
1
Number of Pages
XIV, 201
Topics

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