Empirical finance : modelling and analysis of emerging financial and stock markets ; with 56 tables

The emphasis of this book is placed 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 example, the 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.

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• Location: Deutsche Nationalbibliothek Frankfurt am Main
• ISBN: 9783790815511 ; 3790815519
• Dimensions: 24 cm
• Extent: XIV, 200 S.
• Language: Englisch
• Notes: graph. Darst. ; Literaturverz. S. 189 - 197

Classification and Topics

• Classification: Wirtschaft
• Keyword: Aktienmarkt ; Emerging Market ; Mikrostrukturtheorie ; Thailand

Contributors, Places and Time

• Event: Veröffentlichung
• (where): Heidelberg, New York
• (who): Physica-Verl.
• (when): 2005
• Creator: Islam, Sardar M. N. ; Watanapalachaikul, Sethapong

Further information

• Table of contents: https://d-nb.info/971268452/04
• Rights: Bei diesem Objekt liegt nur das Inhaltsverzeichnis digital vor. Der Zugriff darauf ist unbeschränkt möglich.