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Stock Market Equilibrium and Macroeconomic Fundamentals

Stock Market Equilibrium and Macroeconomic Fundamentals »

Source: 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

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...

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times

Risk Exposures and Financial Spillovers in Tranquil and Crisis Times »

Source: 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

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...

Stock-Market Equilibrium and the Dividend Yield

Stock-Market Equilibrium and the Dividend Yield »

Source: 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

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...

Stock Market Volatility and Corporate Investment

Stock Market Volatility and Corporate Investment »

Source: Stock Market Volatility and Corporate Investment

Volume/Issue: 1995/102

Series: IMF Working Papers

Author(s): Zuliu Hu

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 October 1995

ISBN: 9781451852585

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

Despite concerns are often voiced on the so called “excess volatility” of the stock market, little is known about the implications of market volatility for the real economy. This paper examines whethe...

International Stock Returns and Market Integration

International Stock Returns and Market Integration »

Source: International Stock Returns and Market Integration : A Regional Perspective

Volume/Issue: 2002/202

Series: IMF Working Papers

Author(s): Marco Del Negro , and Robin Brooks

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 2002

ISBN: 9781451874419

Keywords: Diversification, risk, stock market, global stock market, stock portfolio, stock markets, stock returns,

We investigate the relative importance of country and industry effects in international stock returns, with the innovation that we decompose country effects into region and within-region country effects. We divide...

The Egyptian Stock Market

The Egyptian Stock Market »

Source: The Egyptian Stock Market : Efficiency Tests and Volatility Effects

Volume/Issue: 1999/48

Series: IMF Working Papers

Author(s): Mauro Mecagni , and Maged Sawky Sourial

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 April 1999

ISBN: 9781451846720

Keywords: Emerging stock markets, GARCH models, stock exchange, stock returns, stock market, capital market, capital market authority

The paper examines the behavior of stock returns in the Egyptian stock exchange, the efficiency of the market in pricing securities, and the relationship between returns and conditional volatility. GARCH(p,q)-M mod...

Determinants of Stock Prices

Determinants of Stock Prices »

Source: Determinants of Stock Prices : The Case of Zimbabwe

Volume/Issue: 1997/117

Series: IMF Working Papers

Author(s): T. Oyama

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 September 1997

ISBN: 9781451941616

Keywords: DDM, ECM, CAPM, APT, stock market, stock prices, stock exchange, stock returns, stock market index

This paper examines the general relationship between stock prices and macroeconomic variables in Zimbabwe, using the revised dividend discount model, error-correction model, and multi-factor return-generating model...

Firm-Level Evidenceon International Stock Market Comovement

Firm-Level Evidenceon International Stock Market Comovement »

Source: Firm-Level Evidenceon International Stock Market Comovement

Volume/Issue: 2003/55

Series: IMF Working Papers

Author(s): Robin Brooks , and Marco Del Negro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 March 2003

ISBN: 9781451847642

Keywords: Diversification, risk, stock market, global stock market, stock returns, capital account restrictions, capital markets,

We explore the link between international stock market comovement and the degree to which firms operate globally. Using stock returns and balance sheet data for companies in 20 countries, we estimate a factor model...

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets »

Source: Bank Rating Changes and Bank Stock Returns-Puzzling Evidence from the Emerging Markets

Volume/Issue: 1999/151

Series: IMF Working Papers

Author(s): Anthony Richards , and David Deddouche

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 November 1999

ISBN: 9781451857016

Keywords: Event Study, Rating Changes, Bank Stock Prices, bond, stock prices, stock market, bank stocks, stock returns

This paper examines the performance of emerging market bank stocks around the time of rating changes by major international agencies. The data suggest that downgrades on average have followed periods of negative cu...

Stock Returns and Output Growth in Emerging and Advanced Economies

Stock Returns and Output Growth in Emerging and Advanced Economies »

Source: Stock Returns and Output Growth in Emerging and Advanced Economies

Volume/Issue: 2000/89

Series: IMF Working Papers

Author(s): Paolo Mauro

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 May 2000

ISBN: 9781451851274

Keywords: Leading indicators, emerging markets, stock returns, stock market, correlation, stock price, statistics

This paper studies the correlation between output growth and lagged stock returns in a panel of emerging market economies and advanced economies. It finds that the correlation is as strong in emerging market econom...