Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets by Sardar M. N. IslamEmpirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets by Sardar M. N. Islam

Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets

bySardar M. N. Islam, Sethapong Watanapalachaikul

Paperback | August 26, 2004

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This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un­ derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over­ view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap­ ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.
Title:Empirical Finance: Modelling and Analysis of Emerging Financial and Stock MarketsFormat:PaperbackDimensions:201 pages, 23.5 × 15.5 × 0.01 inPublished:August 26, 2004Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3790815519

ISBN - 13:9783790815511


Table of Contents

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.

Editorial 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.