Spillovers to emerging equity markets [[electronic resource] ] : an econometric assessment / / prepared by L. Effie Psalida and Tao Sun

• Record Nr.: UNINA9910464015403321
• Autore: Psalida L. Effie
• Pubbl/distr/stampa: [Washington D.C.], : International Monetary Fund, 2009
• ISBN: 1-4623-6283-4; 1-4527-0769-3; 1-282-84326-5; 1-4518-7258-5; 9786612843266
• Descrizione fisica: 1 online resource (34 p.)
• Collana: IMF working paper ; ; WP/09/111
• Altri autori (Persone): SunTao
• Soggetti: Investments - Mathematical models; Econometrics; Electronic books.
• Lingua di pubblicazione: Inglese
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references.
• Nota di contenuto: Contents; I. Introduction; II. Performance of Emerging Market Equity Markets; Figures; 1. Selected Equity Market Indices; 2. Emerging Market Economies: Composition of Capital Inflows; 3. Current Account Balances and Capital Flows from a Global Perspective; 4. Stock Market Capitalization; 5. Total Equity Market Returns; 6. Emerging Market Economies: Price/Earnings Ratios; 7. Total Foreign Holdings of Equity; 8. Emerging Markets Equity Indices and Foreign Investor Presence; Tables; 1. Emerging Equity Market Peaks and Troughs: Current and Previous Episodes; III. Methodology of Panel Estimation; 2. Unit Root Tests 3. Pedroni Heterogeneous Panel Co-integration Tests; IV. Results of the Panel Estimation; 4. Fixed-Effects Panel Least-Squares Estimation, First Specification; 5. Fixed-Effects Panel Least-Squares Estimation, Second Specification; V. Scenarios of impact; 6. Effects of External Shocks on the Growth Rates of Emerging Market Equity Prices; VI. Contribution of domestic and external factors; VII. Vector Auto-regression Model and results; 7. Contribution of Global and Domestic Factors to Equity Price Changes; 9. Impulse Responses to ; the Global Shocks for the Seven Countries; VIII. Main Conclusions Annexes; I. Methodological Issues; II. Data and explanatory variables; References
• Sommario/riassunto: This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an important goal for emerging market economies.