2. Publicaciones

URI permanente para esta comunidadhttps://hdl.handle.net/20.500.12640/4068

Las publicaciones de ESAN reúnen una variedad de materiales académicos y prácticos que abarcan áreas fundamentales como la administración, economía, negocios, entre otros. Con enfoque en la formación y el desarrollo profesional, estas obras buscan contribuir al conocimiento y la innovación en diversas disciplinas; asimismo, proporciona información relevante y actualizada para la comunidad académica y empresarial en el ámbito local e internacional

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2018 - 20192

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Tema: search.filters.subject.Emerging market

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Mostrando 1 - 2 de 2
  • Miniatura
    ÍtemSolo Metadatos
    Size premium, value premium and market timing: evidence from an emerging economy
    (Universidad ESAN. ESAN Ediciones, 2018-12-01) Rashid, Syed Haroon; Sadaqat, Mohsin; Jebran, Khalil; Memon, Zulfiqar Ali
    Purpose - This study aims to investigate the market timing strategy in different market conditions (i.e. up, down, normal and in-financial-crisis situation) in the emerging market of Pakistan over the period 1995 to 2015. Furthermore, this study tests the validity of the capital asset pricing model (CAPM) and Fama and French model. Design/methodology/approach - This study considers monthly stock returns of 167 firms and constructs six different portfolios on the basis of different size and book to market ratio. The Treynor and Mazuy model is used to capture the market timing strategy. Findings - The results indicate evidence of the market timing in normal market conditions. However, there is less supportive evidence of market timing in up-market, down-market and in-financial-crisis situations. This study also confirms the validity of the capital asset pricing model and Fama and French three-factor model with strong support of value premium and size premium in the stock market. Practical implications - The findings of this study are helpful to companies in estimating the cost of issuing equity more accurately. The investors can use market timing to make their investment in a more better and profitable manner. Originality/value - Unlike other previous studies, this study considers an extended period to test the validity of the capital asset pricing model and Fama and French model. In addition, this study is novel in testing the marketing timing of the firms in the context of emerging economy of Pakistan.
  • Miniatura
    ÍtemSolo Metadatos
    Return and volatility spillover across equity markets between China and Southeast Asian countries
    (Universidad ESAN. ESAN Ediciones, 2019-06-01) Hung, Ngo Thai
    Purpose – This paper aims to study the daily returns and volatility spillover effects in common stock prices between China and four countries in Southeast Asia (Vietnam Thailand Singapore and Malaysia). Design/methodology/approach – The analysis uses a vector autoregression with a bivariate GARCHBEKK model to capture return linkage and volatility transmission spanning the period including the pre- and post-2008 Global Financial Crisis. Findings – The main empirical result is that the volatility of the Chinese market has had a significant impact on the other markets in the data sample. For the stock return linkage between China and other markets seems to be remarkable during and after the Global Financial Crisis. Notably the findings also indicate that the stock markets are more substantially integrated into the crisis. Practical implications – The results have considerable implications for portfolio managers and institutional investors in the evaluation of investment and asset allocation decisions. The market participants should pay more attention to assess the worth of across linkages among the markets and their volatility transmissions. Additionally international portfolio managers and hedgers may be better able to understand how the volatility linkage between stock markets interrelated overtime; this situation might provide them benefit in forecasting the behavior of this market by capturing the other market information. Originality/value – This paper would complement the emerging body of existing literature by examining how China stock market impacts on their neighboring countries including Vietnam Thailand Singapore and Malaysia. Furthermore this is the first investigation capturing return linkage and volatility spill over between China market and the four Southeast Asian markets by using bivariate VAR-GARCH-BEKK model. The authors believe that the results of this research’s empirical analysi would amplify the systematic understanding of spillover activities between China stock market and other stock markets.