E Book

Empirical Finance

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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.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.

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Ketersediaan

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Informasi Detail

Judul Seri

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No. Panggil

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Penerbit

: .,

Deskripsi Fisik

XIV, 201 p.online resource.

Bahasa

English

ISBN/ISSN

9783790826661

Klasifikasi

332

Tipe Isi

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Tipe Media

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Tipe Pembawa

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Edisi

1st ed. 2005.

Subjek

Finance.
Finance, general.
Development economics.
Econometrics.

Info Detail Spesifik

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Pernyataan Tanggungjawab

by Sardar M. N. Islam, Sethapong Watanapalachaikul.

Versi lain/terkait

Lampiran Berkas

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