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Spillovers to Emerging Equity Markets.

Author: Tao Sun; L Effie Psalida
Publisher: Washington : International Monetary Fund, 2009.
Series: IMF Working Papers.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an important goal for emerging market economies.
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Sun, Tao.
Spillovers to Emerging Equity Markets: An Econometric Assessment.
Washington : International Monetary Fund, ©2009
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Tao Sun; L Effie Psalida
ISBN: 9781451916881 1451916884
OCLC Number: 870245384
Description: 1 online resource (34 pages).
Contents: I. Introduction; II. Performance of Emerging Market Equity Markets; Figures; 1. Selected Equity Market Indices; 2. Emerging Market Economies: Composition of Capital Inflows; 3. Current Account Balances and Capital Flows from a Global Perspective; 4. Stock Market Capitalization; 5. Total Equity Market Returns; 6. Emerging Market Economies: Price/Earnings Ratios; 7. Total Foreign Holdings of Equity; 8. Emerging Markets Equity Indices and Foreign Investor Presence; Tables; 1. Emerging Equity Market Peaks and Troughs: Current and Previous Episodes; III. Methodology of Panel Estimation. 2. Unit Root Tests3. Pedroni Heterogeneous Panel Cointegration Tests; IV. Results of the Panel Estimation; 4. Fixed-Effects Panel Least-Squares Estimation, First Specification; 5. Fixed-Effects Panel Least-Squares Estimation, Second Specification; V. Scenarios of impact; 6. Effects of External Shocks on the Growth Rates of Emerging Market Equity Prices; VI. Contribution of domestic and external factors; VII. Vector Autoregression Model and results; 7. Contribution of Global and Domestic Factors to Equity Price Changes; 9. Impulse Responses to the Global Shocks for the Seven Countries. VIII. Main ConclusionsAnnexes; I. Methodological Issues; II. Data and exlanatory variables; References.
Series Title: IMF Working Papers.

Abstract:

This paper shows that emerging market equity prices are influenced by growing global factors, and therefore global factors constitute a significant channel for spillovers when the international economic environment changes. Strengthening their resilience to equity price declines remains an important goal for emerging market economies.

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