Topical Collection "Trends in Emerging Markets Finance, Institutions and Money"

Editors

Guest Editor
Prof. Dr. Duc Khuong Nguyen

IPAG Business School, France & SPEA, Indiana University, USA
Website | E-Mail
Phone: +33 (0) 1 53 63 36 00
Interests: asset pricing; energy finance; financial economics; financial modeling
Guest Editor
Prof. Dr. Stéphane Goutte

University of Paris 8, France
Website | E-Mail
Interests: mathematical finance; energy finance; applied econometrics; computational econometrics; financial econometrics

Topical Collection Information

Dear Colleagues,

In her recent speech at the University of Maryland, on 4 February 2016, Christine Lagarde, the Managing Director of International Monetary Fund, pointed out the increasing importance of emerging markets countries as a locomotive of the global growth (80% since the global financial crisis of 2008), job creations, poverty reduction and international trade activities. Together with other developing economies, they now contribute up to 60% of global GDP. However, emerging markets are still found to be vulnerable to external shocks, essentially due to their ongoing maturing institutions and increased financial tights with their developed counterparts. High exposure to decreases in capital outflows following a more-rapid-than-expected tightening of the US monetary policy is another reason that could challenge economic growth and financial development of emerging markets.

This Special Issue will dedicate special attention to the current dynamics of emerging financial markets, as well as their perspectives of development as a key driver for sustainable firms and economies. Accordingly, the focus is particularly placed on market integration and interdependence, valuations and risk management practices, and the financing means for inclusive growth.

Topics of interest include, but are not limited to:

  • Financial markets and efficiency
  • Asset pricing models
  • Sustainable finance
  • Cost of capital in emerging markets
  • Determinants of saving and investment
  • Capital flows
  • Exchange rate volatility
  • Sovereign risks
  • Policy uncertainty and financial risk
  • Stock market co-movement and contagion
  • Cross-border investments
Prof. Dr. Duc Khuong Nguyen
Prof. Dr. Stéphane Goutte
Guest Editors

Manuscript Submission Information

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Keywords

  • Valuation models
  • Risk sharing and management
  • Financial integration
  • Sustainable finance
  • International investments
  • Capital mobility

Published Papers (5 papers)

2018

Open AccessArticle Assessment of Upstream Petroleum Fiscal Regimes in Myanmar
J. Risk Financial Manag. 2018, 11(4), 85; https://doi.org/10.3390/jrfm11040085
Received: 28 October 2018 / Revised: 25 November 2018 / Accepted: 28 November 2018 / Published: 1 December 2018
PDF Full-text (907 KB) | Supplementary Files
Abstract
This study aims to assess Myanmar’s upstream petroleum fiscal regimes by applying comprehensive indicators to rank the level of attractiveness of Myanmar. The indicators include government take (GT), front loading index (FLI), and composite score (CS). The decision maker’s attitude for GT and
[...] Read more.
This study aims to assess Myanmar’s upstream petroleum fiscal regimes by applying comprehensive indicators to rank the level of attractiveness of Myanmar. The indicators include government take (GT), front loading index (FLI), and composite score (CS). The decision maker’s attitude for GT and FLI were considered in CS linear weighting method in ranking the fiscal terms attractiveness. The results showed that Myanmar’s upstream petroleum fiscal regime has low attraction compared to its competing countries from the investor’s point of view, both in terms of the risk to the investor in the earlier part of the project and in terms of evaluation with or without the time value of money. Also, royalty and cost recovery were identified to have an impact on the attractiveness rank of petroleum fiscal regime in Myanmar. Therefore, Myanmar should consider improving its fiscal regimes that are not neutral—particularly, royalty, tax, profit split, and cost recovery—for a favorable investment climate. Full article
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Graphical abstract

Open AccessArticle Incorporating Credit Quality in Bank Efficiency Measurements: A Directional Distance Function Approach
J. Risk Financial Manag. 2018, 11(4), 78; https://doi.org/10.3390/jrfm11040078
Received: 20 August 2018 / Revised: 28 October 2018 / Accepted: 6 November 2018 / Published: 9 November 2018
PDF Full-text (2506 KB) | HTML Full-text | XML Full-text
Abstract
The objective of the study was to measure the risk-adjusted efficiency of banks in 24 emerging economies for the period of 1999–2013. A two-stage network data envelopment analysis (DEA), with separate deposit mobilization and loan financing stages was used. Efficiency was measured using
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The objective of the study was to measure the risk-adjusted efficiency of banks in 24 emerging economies for the period of 1999–2013. A two-stage network data envelopment analysis (DEA), with separate deposit mobilization and loan financing stages was used. Efficiency was measured using directional distance functions with DEA, featuring non-performing loans as undesirable outputs. The distributions of efficiency scores were different when credit quality was taken into account. The distribution of efficiency scores varied systematically with accumulation of non-performing loans across regions. The financial crisis of 2007–2008 impacted more adversely the regions that had higher proportions of non-performing loans in banks’ portfolios. The results of a follow-on non-parametric regression showed that smaller, better capitalized, and private banks were more efficient. The conditions conducive for high levels of technical efficiency by banks were found to be characterized by economic growth and low inflation. Full article
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Open AccessArticle A Test of Market Efficiency When Short Selling Is Prohibited: A Case of the Dhaka Stock Exchange
J. Risk Financial Manag. 2018, 11(4), 59; https://doi.org/10.3390/jrfm11040059
Received: 9 August 2018 / Revised: 26 September 2018 / Accepted: 28 September 2018 / Published: 2 October 2018
PDF Full-text (3764 KB) | HTML Full-text | XML Full-text
Abstract
A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka
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A ban on short selling exists on several exchanges, especially in emerging markets. In most cases, short selling has always been prohibited, thus making it difficult to examine the ban’s effect on price discovery. In this paper, we consider data from the Dhaka Stock Exchange (DSE) to test for a short selling ban on market efficiency. The analysis examines runs in daily stock returns and then forms a distribution of return clusters according to their duration. Using Monte Carlo simulation, we find that runs of longer duration appear more frequently in the DSE data than we would expect in efficient markets. We compare these results to stocks in the Dow Jones Industrial Average (DJIA). We find that the same runs tests accord with market efficiency for liquid and easily shorted DJIA stocks. Full article
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Open AccessArticle Financial Risk Disclosure and Financial Attributes among Publicly Traded Manufacturing Companies: Evidence from Bangladesh
J. Risk Financial Manag. 2018, 11(3), 50; https://doi.org/10.3390/jrfm11030050
Received: 30 July 2018 / Revised: 14 August 2018 / Accepted: 15 August 2018 / Published: 20 August 2018
PDF Full-text (1861 KB) | HTML Full-text | XML Full-text
Abstract
We explore the relationship between the degree of financial risk disclosure and a firm’s financial attributes. Financial risk disclosure indices (FRDIs) are calculated based on a set of 30 disclosure identifiers through content analysis of the annual reports of 48 manufacturing companies over
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We explore the relationship between the degree of financial risk disclosure and a firm’s financial attributes. Financial risk disclosure indices (FRDIs) are calculated based on a set of 30 disclosure identifiers through content analysis of the annual reports of 48 manufacturing companies over a six-year period (2010–2015) in Bangladesh. We find no common practice among the companies in disclosing financial risk by integrating a customized financial risk disclosure into their financial reporting process. The results indicate that firm size, financial performance, and auditor type are positively and significantly associated with the level of financial risk disclosure. Full article
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Open AccessArticle Value-at-Risk for South-East Asian Stock Markets: Stochastic Volatility vs. GARCH
J. Risk Financial Manag. 2018, 11(2), 18; https://doi.org/10.3390/jrfm11020018
Received: 16 March 2018 / Revised: 3 April 2018 / Accepted: 3 April 2018 / Published: 5 April 2018
PDF Full-text (446 KB) | HTML Full-text | XML Full-text
Abstract
This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler
[...] Read more.
This study compares the performance of several methods to calculate the Value-at-Risk of the six main ASEAN stock markets. We use filtered historical simulations, GARCH models, and stochastic volatility models. The out-of-sample performance is analyzed by various backtesting procedures. We find that simpler models fail to produce sufficient Value-at-Risk forecasts, which appears to stem from several econometric properties of the return distributions. With stochastic volatility models, we obtain better Value-at-Risk forecasts compared to GARCH. The quality varies over forecasting horizons and across markets. This indicates that, despite a regional proximity and homogeneity of the markets, index volatilities are driven by different factors. Full article
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