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Stock Market Equilibrium and Macroeconomic Fundamentals

Stock Market Equilibrium and Macroeconomic Fundamentals »

Volume/Issue: 1997/15

Series: IMF Working Papers

Author(s): Lamin Leigh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 1997

DOI: http://dx.doi.org/10.5089/9781451843224.001

ISBN: 9781451843224

Keywords: stock market, stock exchange, stock returns, stock price, stock prices

This paper examines the efficiency of the Stock Exchange of Singapore and the relationship between the stock market and the overall economy. Using a wide range of methods for testing market efficiency, the paper es...

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia »

Source: Asian Flu or Wall Street Virus? Price and Volatility Spillovers of the Tech and Non-Tech Sectors in the United States and Asia

Volume/Issue: 2002/154

Series: IMF Working Papers

Author(s): Jorge Chan-Lau , and Iryna Ivaschenko

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 2002

ISBN: 9781451857245

Keywords: Price spillovers, volatility spillovers, asymmetric GARCH models, spillovers, stock market, stock returns, stock price,

This paper, using T-GARCH models, finds that the United States has been the major source of price and volatility spillovers to stock markets in the Asian region during three different periods in the last decade: th...

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times
			: Bank-Level Evidence

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times : Bank-Level Evidence »

Volume/Issue: 2013/142

Series: IMF Working Papers

Author(s): Helene Poirson Ward , and Jochen M. Schmittmann

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 05 June 2013

DOI: http://dx.doi.org/10.5089/9781484311240.001

ISBN: 9781484311240

Keywords: stock market, stock returns, equity capital, world stock market

For a sample of 83 financial institutions during 2003–2011, this paper attempts to answer three questions: first, what is the evolution of banks’ stock price exposure to country-level and global risk...

Portfolio Flows Into India

Portfolio Flows Into India »

Source: Portfolio Flows Into India : Do Domestic Fundamentals Matter?

Volume/Issue: 2003/20

Series: IMF Working Papers

Author(s): Poonam Gupta , and James Gordon

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 January 2003

ISBN: 9781451843866

Keywords: portfolio flows, stock market, portfolio investment, stock returns, equity investment, Open Economy Macroeconomics,

This paper analyzes the factors affecting portfolio equity flows into India using monthly data. Flows to India are small compared to other emerging markets, but seem to be relatively less volatile. They also seem t...

Stock-Market Equilibrium and the Dividend Yield

Stock-Market Equilibrium and the Dividend Yield »

Volume/Issue: 1996/90

Series: IMF Working Papers

Author(s): Charles Kramer

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 August 1996

DOI: http://dx.doi.org/10.5089/9781451951981.001

ISBN: 9781451951981

Keywords: stock market, stock prices, stock returns, financial economics, bonds

Can fundamentals account for the recent performance of the U.S. stock market? The price/earnings ratio is out of line with historical averages, and the dividend/price ratio has recently reached a historic low. Thes...

Foreign Investors Under Stress

Foreign Investors Under Stress »

Source: Foreign Investors Under Stress : Evidence from India

Volume/Issue: 2013/122

Series: IMF Working Papers

Author(s): Ila Patnaik , Ajay Shah , and Nirvikar Singh

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 22 May 2013

ISBN: 9781484364529

Keywords: Event study, Extreme events, Foreign investors, stock market, equity market, financial globalization, stock market index, stock returns, Other,

Emerging market policy makers have been concerned about the financial stability implications of financial globalization. These concerns are focused on behavior under stressed conditions. Do tail events in the home...

Macroeconomic News and Stock Returns in the United States and Germany

Macroeconomic News and Stock Returns in the United States and Germany »

Source: Macroeconomic News and Stock Returns in the United States and Germany

Volume/Issue: 2002/239

Series: IMF Working Papers

Author(s): Norbert Funke , and Akimi Matsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875782

Keywords: macroeconomic news, news, stock prices, stock market, stock returns, Financial Markets and the Macroeconomy, Country and Industry Studies of Trade,

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypothe...

Country Transparency and the Global Transmission of Financial Shocks

Country Transparency and the Global Transmission of Financial Shocks »

Source: Country Transparency and the Global Transmission of Financial Shocks

Volume/Issue: 2013/156

Series: IMF Working Papers

Author(s): Luis Brandao Marques , R. Gelos , and Natalia Melgar

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 03 July 2013

ISBN: 9781484397237

Keywords: transmission of global financial shocks, bond, stock returns, equity markets, bond spreads, bond returns, Asset Pricing,

This paper considers the role of country-level opacity (the lack of availability of information) in amplifying shocks emanating from financial centers. We provide a simple model where, in the presence of ambiguity...

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance »

Source: Measuring Systemic Liquidity Risk and the Cost of Liquidity Insurance

Volume/Issue: 2012/194

Series: IMF Working Papers

Author(s): Tiago Severo

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 July 2012

ISBN: 9781475505436

Keywords: stock returns, banking, bank assets, insurance premium, bond, Econometric Modeling, General Financial Markets,

I construct a systemic liquidity risk index (SLRI) from data on violations of arbitrage relationships across several asset classes between 2004 and 2010. Then I test whether the equity returns of 53 global banks we...

Bank Capital

Bank Capital »

Source: Bank Capital : Lessons From the Financial Crisis

Volume/Issue: 2010/286

Series: IMF Working Papers

Author(s): Ouarda Merrouche , Enrica Detragiache , and Asli Demirgüç-Kunt

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2010

ISBN: 9781455210930

Keywords: Basel capital accord, stock returns, stock market, bank stock, tier 2 capital, Financial Institutions and Services: Government Policy and Regulation,

Using a multi-country panel of banks, we study whether better capitalized banks experienced higher stock returns during the financial crisis. We differentiate among various types of capital ratios: the Basel risk-a...