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2022 | OriginalPaper | Buchkapitel

Financial Emerging Markets Revisited

verfasst von : Carlos Armando Franco Ruiz, Guillermo Benavides Perales

Erschienen in: Data Analytics Applications in Emerging Markets

Verlag: Springer Nature Singapore

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Abstract

This chapter analyzes the financial markets of the economic group MIST (Mexico, Indonesia, South Korea, and Turkey) by studying the ETFs related to these countries. The previous economic group is crucial because it has the potential of becoming a leading participant in emerging markets. The document examines their financial time series by identifying outliers, volatility models, time series decomposition, and detecting mildly explosive processes (“financial bubbles”). The results obtained show significant negative outliers, non-constant volatility, and the identification of five exuberant behaviors in Mexico’s ETF.

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Vorheriges Kapitel Machine Learning Models, Risk Management Current Regulation and Perspectives

Nächstes Kapitel Disruptive Monetary Phenomenon, Challenges and Complexities (Cryptocurrencies)

A collection of research papers studying BRICs’ importance in the global economy, https://www.goldmansachs.com/insights/archive/BRICs-and-Beyond.html.

Prices obtained from Bloomberg.

Investment objective: “The iShares MSCI Mexico ETF seeks to track the investment results of a broad-based index composed of Mexican equities”, obtained from https://www.blackrock.com/corporate/global-directory#ishares.

Investment objective: “The iShares MSCI Indonesia ETF seeks to track the investment results of a broad-based index composed of Indonesian equities”, obtained from https://www.blackrock.com/corporate/global-directory#ishares.

Investment objective: “The iShares MSCI South Korea ETF seeks to track the investment results of an index composed of South Korean equities”, obtained from https://www.blackrock.com/corporate/global-directory#ishares.

Investment objective: “The iShares MSCI Turkey ETF seeks to track the investment results of a broad-based index composed of Turkish equities”, obtained from https://www.blackrock.com/corporate/global-directory#ishares.

March 20, 2020, during COVID-19 outbreak.

October 31, 2008, during the period of the financial crisis of 2007–2008.

A good recommendation could be do not remove outliers in a financial series. Extreme values contain information that will nurture the financial practitioner; nevertheless, the informative decision and consequence is on your hands, you have to decide on context of your research.

Investors may be correct or wrong, reminding us the words of Smith (1968) “if you really know what’s going on, you don’t even have to know what’s going on to know what’s going on”. (p. 41) However, this position is not for all players, some of us must stay with the quantitative aspect and the rest be part of those who put a finger in the air.

The author of this model is Robert F. Engle, cowinner of the Nobel Memorial Prize in Economic Sciences in 2003.

Model 1 shows the GARCH or sGARCH, model 2 is the EGARCH, and model 3 refers to GJR-GARCH.

The reader could find interesting the research of Perlin et al. (2021). A GARCH Tutorial with R. Revista de Administração Contemporânea, 25(1)., for a basic discussion and application of these models.

Until now we had used weekly prices, however we decided to make this scale change in order to study them from a more general perspective.

Market price refers to the number of outstanding shares times the share price.

Data from the World Bank, https://data.worldbank.org/indicator/CM.MKT.LCAP.GD.ZS.

“The value of shares traded is the total number of shares traded, both domestic and foreign, multiplied by their respective matching prices.” From the World Bank, https://data.worldbank.org/indicator/CM.MKT.TRAD.CD.

For more information visit https://www.wsj.com/articles/melvin-capital-lost-53-in-january-hurt-by-gamestop-and-other-bets-11612103117.

Caspi, I., Katzke, N., & Gupta, R. (2018). Date stamping historical periods of oil price explosivity: 1876–2014. Energy Economics, 70, 582–587.CrossRef

Cerecedo Hernández, D., Franco-Ruiz, C. A., Contreras-Valdez, M. I., & Franco-Ruiz, J. A. (2019). Explosión en Activos Virtuales (Criptomonedas). Revista mexicana de economía y finanzas, 14(4), 715–727.

Chang, T., Gil-Alana, L., Aye, G. C., Gupta, R., & Ranjbar, O. (2016). Testing for bubbles in the BRICS stock markets. Journal of Economic Studies.

Escobari, D., & Jafarinejad, M. (2016). Date stamping bubbles in real estate investment trusts. The Quarterly Review of Economics and Finance, 60, 224–230.CrossRef

Hu, Y., & Oxley, L. (2018). Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics? Economics Letters, 162, 131–134.CrossRef

Perlin, M. S., Mastella, M., Vancin, D. F., & Ramos, H. P. (2021). A GARCH Tutorial with R. Revista de Administração Contemporânea, 25(1).

Phillips, P. C. B., Wu, Y., & Yu, J. (2011). Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values?. International Economic Review, 52(1), 201–226. https://doi.org/10.1111/j.1468-2354.2010.00625.x.CrossRef

Phillips, P. C. B., Shi, S., & Yu, J. (2015). Testing for multiple bubbles: Historical episodes of exuberance and collapse in the S&P 500. International Economic Review, 56(4), 1043–1078. https://doi.org/10.1111/iere.12132.CrossRef

Smith, A. (1968). The money game. New York Random House.

Sornette, D. (2017). Why stock markets crash: Critical events in complex financial systems (Vol. 49). Princeton University Press.

Titel: Financial Emerging Markets Revisited
verfasst von: Carlos Armando Franco Ruiz
Guillermo Benavides Perales
Verlag: Springer Nature Singapore
Buch: Data Analytics Applications in Emerging Markets
Print ISBN: 978-981-19-4694-3

Electronic ISBN: 978-981-19-4695-0

Copyright-Jahr: 2022
DOI: https://doi.org/10.1007/978-981-19-4695-0_4

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