Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets - Contributions to Economics (Paperback)
  • Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets - Contributions to Economics (Paperback)
zoom

Empirical Finance: Modelling and Analysis of Emerging Financial and Stock Markets - Contributions to Economics (Paperback)

(author), (author)
£119.99
Paperback 201 Pages / Published: 26/08/2004
  • Not available

This product is currently unavailable.

  • This item has been added to your basket
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.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783790815511
Number of pages: 201
Weight: 700 g
Dimensions: 235 x 155 x 11 mm
Edition: Softcover reprint of the original 1st ed. 200


MEDIA 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.

You may also be interested in...

The Economist Guide to Commodities
Added to basket
Moneyball
Added to basket
£11.99
Paperback
Reminiscences of a Stock Operator
Added to basket
The Snowball
Added to basket
£16.99
Paperback
Buffett: The Biography
Added to basket
Get Started in Shares
Added to basket
Rich Dad's Guide to Investing
Added to basket
£14.99   £10.49
Paperback
Investment Banking For Dummies
Added to basket
Shares Made Simple
Added to basket
£13.99
Paperback
Intelligent Investor
Added to basket
More Money Than God
Added to basket

Reviews

Please sign in to write a review

Your review has been submitted successfully.