Empirical Finance

Empirical Finance

AngličtinaMäkká väzba
Islam Sardar M. N.
Physica-Verlag
EAN: 9783790815511
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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.
EAN 9783790815511
ISBN 3790815519
Typ produktu Mäkká väzba
Vydavateľ Physica-Verlag
Dátum vydania 26. augusta 2004
Stránky 201
Jazyk English
Rozmery 235 x 155
Krajina Germany
Čitatelia Professional & Scholarly
Autori Islam Sardar M. N.; Watanapalachaikul Sethapong
Ilustrácie XIV, 201 p.
Edícia Softcover reprint of the original 1st ed. 2004
Séria Contributions to Economics
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