| Description |
1 online resource (46 pages) |
| Series |
IMF working paper ; WP/14/37 |
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IMF working paper ; WP/14/37.
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| Contents |
Cover; Contents; I. Introduction; Figures; 1. Asia-Pacific Ex-Japan, G-7 and the Rest of the World: Structure of the Financial Sector as at End-2011; Tables; 1. Stock Markets around the World: Capitalization as at End-2012; 2. Asia-Pacific ex-Japan: Foreign Investment in Equity Securities, 1997-2012; II. Data and Stylized Facts; III. Method; 3. Stock Markets Around the World: Mean-Variance Analysis of Country, Regional and World Returns, March 1998 -- November 2012; IV. Analysis; A. The Pricing of Stocks |
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2. Regression Results: Stock Market Returns, Systematic Factors and Corporate Sector Performance, March 1998 -- November 2012B. The Role of Regulation; Boxes; 1. Deriving a Measure of Effective Securities Regulation; 4. Regression Results: Idiosyncratic Influences and the Effectiveness of Securities Regulation, March 1998 -- November 2012; 5. Asia-Pacific ex-Japan and the G-7 Countries: Securities Regulation and the Risk-Return Trade-off, March 1998 -- November 2012; 6. Asia-Pacific ex-Japan Countries: Distribution of IOSCO Ratings, 2001-11; V. Conclusion; Appendices |
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I. Dataset and Sample PeriodsAppendix Tables; 1. Asia-Pacific ex-Japan and the G-7 Countries: Market Data Series and Sources; 2. Asia-Pacific ex-Japan and the G-7 Countries: Regression Data Set and Sub-sets; II. Stock Market Statistics; 3. Stock Markets around the World: Means and Standard Deviations of Returns, March 1998 -- November 2012; 7. Asia-Pacific ex-Japan and the G-7 Stock Markets: Correlation of Local with World and Regional Returns, March 1998 -- November 2012; III. The Impact of Foreign Investors on Local Stock Markets |
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8. Stock Markets around the World: Foreign Investment and Volatility, 2001-129. Stock Markets around the World: Foreign Investment and Returns, 2001-12; IV. Model Design; 2. The MSCI Global Equity Indices; V. Preliminary Results; 4. Preliminary Regression Results: Stock Market Returns, Systematic and Local Factors, July 2005 -- November 2012; 5. Preliminary Regression Results: Stock Market Returns, Systematic and Local Factors, March 1998 -- November 2012; References |
| Summary |
"Stock markets play a key role in corporate financing in Asia. However, despite their increasing importance in terms of size and cross-border investment activity, the region's markets are reputed to be more "idiosyncratic" and less reliant on economic and corporate fundamentals in their pricing. Using a model that draws on international asset pricing and economic theory, as well as accounting literature, we find evidence of greater idiosyncratic influences in the pricing of Asia's stock markets, compared to their G-7 counterparts, beyond the identified systematic factors and local fundamentals. We also show proof of a significant relationship between the strength of implementation of securities regulations and the "noise" in stock pricing, which suggests that improvements in the regulation of securities markets in Asia could enhance the role of stock markets as stable and reliable sources of financing into the future"--Abstract |
| Notes |
At head of title: Monetary and Capital Markets Department |
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"February 2014." |
| Bibliography |
Includes bibliographical references |
| Notes |
Online resource; title from pdf title page (IMF.org Web site, viewed Apr 14, 2014) |
| Subject |
Stock exchanges -- Asia -- Econometric models
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Stocks -- Prices -- Asia -- Econometric models
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Stock exchanges -- Econometric models
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Asia
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| Form |
Electronic book
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| Author |
Ong, Li Lian, author
|
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International Monetary Fund. Monetary and Capital Markets Department, issuing body.
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| ISBN |
9781484320143 |
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148432014X |
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1306528690 |
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9781306528696 |
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9781475540246 |
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1475540248 |
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