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Bank- und Börsenrecht : Handbuch für Lehre und Praxis.
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ISBN: 3406399665 Year: 1996 Publisher: München : Beck'sche Verlagsbuchhandlung,


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Volatility and Predictability in National Stock Markets : How Do Emerging and Mature Markets Differ?
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ISBN: 1462378315 1455241385 1281089079 1455267503 9786613774538 Year: 1996 Publisher: Washington, D.C. : International Monetary Fund,

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Abstract

This paper examines the evidence for the common assertion that the volatility of emerging stock markets has increased as a result of the liberalization of markets. A range of measures suggests that there has been no generalized increase in volatility in recent years; indeed, it appears that volatility may have tended to fall rather than rise on average. The paper also tests for the predictability of long-horizon returns in emerging markets. While there is evidence for positive autocorrelation in returns at horizons of one or two quarters, the autocorrelations appear to turn negative at horizons of a year or more. However, the magnitude of the apparent return reversals is not that much larger than reversals in some mature markets. One interpretation of the results would be that emerging markets have not consistently been subject to fads or bubbles, or at least no more so than in some industrial countries. In general, the liberalization and broadening of emerging markets should lead to a reduction in return volatility as risk is spread among a larger number of investors.


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Comovements in National Stock Market Returns : Evidence of Predictability But Not Cointegration
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ISBN: 1462361161 1455280739 1281093149 9786613776198 1455294748 Year: 1996 Publisher: Washington, D.C. : International Monetary Fund,

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This paper is a response to the literature that tests for cointegration between national stock market indices. It argues that apparent findings of cointegration in other studies may often be due to the use of asymptotic, rather than small-sample, critical values. In fact, economic theory suggests that cointegration is unlikely to be observed in efficient markets. However, this paper finds some evidence for the long-horizon predictability of relative returns, and the existence of “winner-loser” reversals across 16 national equity markets. A conclusion is that national stock market indices include a common world component and two country-specific components, one permanent and one transitory.


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Institutional Investors and Asset Pricing in Emerging Markets
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ISBN: 1462371302 1455266582 1281096008 9786613776228 1455253359 Year: 1996 Publisher: Washington, D.C. : International Monetary Fund,

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This paper presents a new theory of asset pricing intended to address why other developing country equity markets responded so strongly to the Mexican devaluation, while the world’s major stock markets were unmoved. This phenomenon can be explained if investors follow a two-step portfolio allocation process, first determining what share of their portfolio to invest in developing countries, then allocating those funds across the emerging markets. For 12 of 13 markets studied, the one-factor CAPM is rejected in favor of a two-factor asset pricing model, including both a broad emerging markets portfolio and the global market portfolio.


Book
The European equity markets : the state of the union and an agenda for the millennium
Authors: --- --- --- ---
ISBN: 1899658106 9781899658107 Year: 1996 Publisher: London Royal institute of international affairs


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Finance & Development, June 1996.
Authors: ---
ISBN: 1463963289 1463954751 1283538504 9786613850959 1463991495 9781463991494 Year: 1996 Publisher: Washington, D.C. : International Monetary Fund,

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Abstract

For the latest thinking about the international financial system, monetary policy, economic development, poverty reduction, and other critical issues, subscribe to Finance & Development (F&D). This lively quarterly magazine brings you in-depth analyses of these and other subjects by the IMF’s own staff as well as by prominent international experts. Articles are written for lay readers who want to enrich their understanding of the workings of the global economy and the policies and activities of the IMF.


Book
Finance & Development, March 1996.
Authors: ---
ISBN: 1463946236 1463965915 1283536722 9786613849175 1463950179 9781463950170 Year: 1996 Publisher: Washington, D.C. : International Monetary Fund,

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Abstract

The design of payment systems has important implications for the conduct of monetary policy, the soundness of financial firms, and the functioning of the economy as a whole.

Building on progress
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ISBN: 1557756252 9781455244652 1455244651 9781557756251 1455225711 1455295183 1283538423 9786613850874 Year: 1996 Publisher: [Washington, D.C.]

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Abstract

Countries in the Middle East and North Africa region have unprecedented opportunities for transforming their economies through accelerated economic growth, but the countries themselves must ensure the necessary conditions. This study, by the Middle Eastern Department, focuses on four areas that are fundamental to growth-enhancing structural changes: improving the region's investment performance, fiscal reform, financial sector reform, and trade liberalization.

Keywords

331.30 --- 331.31 --- 336.61 --- MEA / Middle East - Midden Oosten - Moyen Orient --- 330.35 <5-011> --- 330.35 <6-17> --- 330.35 <6-17> Economische groei. Kwantitatieve toename. Technische vooruitgang --zie ook {338.09}--?<6-17> --- Economische groei. Kwantitatieve toename. Technische vooruitgang --zie ook {338.09}--?<6-17> --- 330.35 <5-011> Economische groei. Kwantitatieve toename. Technische vooruitgang --zie ook {338.09}--Nabije-Oosten. Midden-Oosten --- Economische groei. Kwantitatieve toename. Technische vooruitgang --zie ook {338.09}--Nabije-Oosten. Midden-Oosten --- Economische toestand --- Economisch beleid --- Financieel beleid --- Africa, North --- Middle East --- Barbary States --- Maghreb --- Maghrib --- North Africa --- Economic policy. --- Banks and Banking --- Exports and Imports --- Finance: General --- Macroeconomics --- Public Finance --- Industries: Financial Services --- Trade Policy --- International Trade Organizations --- Fiscal Policy --- National Government Expenditures and Related Policies: General --- General Financial Markets: General (includes Measurement and Data) --- Banks --- Depository Institutions --- Micro Finance Institutions --- Mortgages --- Comparative or Joint Analysis of Fiscal and Monetary Policy --- Stabilization --- Treasury Policy --- Public finance & taxation --- International economics --- Finance --- Banking --- Expenditure --- Trade liberalization --- Stock markets --- Fiscal stabilization --- Fiscal policy --- Financial markets --- International trade --- Commercial policy --- Expenditures, Public --- Stock exchanges --- Banks and banking --- Financial services industry --- Jordan

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