عنوان

Empirical Finance :

(Number (ISBN

3790826669

(Number (ISBN

9783790826661

Number

b588287

Title Proper

Empirical Finance :

General Material Designation

[Book]

Other Title Information

Modelling and Analysis of Emerging Financial and Stock Markets

First Statement of Responsibility

by Sardar M. N. Islam, Sethapong Watanapalachaikul.

Edition Statement

1st ed

Place of Publication, Distribution, etc.

Heidelberg

Name of Publisher, Distributor, etc.

Physica-Verlag HD : Imprint: Physica

Date of Publication, Distribution, etc.

2005

Specific Material Designation and Extent of Item

(208 p.).

Series Title

Contributions to economics.; Contributions to Economics

Text of Note

Originally published by Physica-Verlag Heidelberg 2005.

Text of Note

1 Introduction --; 2 The Thai Financial System: Characteristics of the Emerging Thai Stock --; 3 Descriptive Statistics and General Characteristics of the Stock Market --; 4 Market Efficiency Models and Tests --; 5 Stock Valuation Models --; 6 Models for Rational Speculative Bubbles --; 7 Models for Anomalies Studies --; 8 Volatility Models --; 9 Summary and Conclusions --; Appendix 1 Structure of Financial Institutions in Thailand --; Appendix 2 Market Efficiency and ARIMA Test Results --; Appendix 3 Regression Test Results --; List of Figures --; List of Tables --; List of Appendices --; About the Authors.

Text of Note

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.

Development economics.

Econometrics.

Finance.

Class number

Book number

by Sardar M. N. Islam, Sethapong Watanapalachaikul.

Sardar M N Islam

Sethapong Watanapalachaikul

Electronic name

[Book]

Y