IMF-related news and emerging financial markets

被引：29

作者：

Hayo, B

Kutan, AM

机构：

[1] Univ Marburg, Fac Business Adm & Econ FB 02, D-35037 Marburg, Germany

[2] Univ Bonn, ZEI, D-5300 Bonn, Germany

[3] So Illinois Univ, Dept Econ & Finance, Edwardsville, IL 62026 USA

[4] Emerging Markets Grp, London, England

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 2005年 / 24卷 / 07期

关键词：

IMF news; financial market returns; emerging markets; bond spread; creditor panic; market efficiency;

D O I：

10.1016/j.jimonfin.2005.08.007

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We examine the reaction of financial market returns and volatility in a diverse group of six emerging markets to a set of IMF events during the Asian, Russian and Brazilian crises of 1997-1999. Focusing on stock markets first, we find that on average, negative (positive) IMF news reduces (increases) daily stock returns by about one percentage point. The most influential event is the delay of loans from the IMF For foreign exchange market returns, we only observe significant effects of bad IMF news, and on bond markets neither good nor bad news seems to affect interest rate spreads. IMF news does not have a significant impact on the volatility of the financial markets. Further, both gains and losses resulting from IMF news tend to be neutralized within one day after the announcement. Finally, we find that IMF news does not cause creditor panic. (c) 2005 Elsevier Ltd. All rights reserved.

引用

页码：1126 / 1142

页数：17

共 50 条

[21] Managing financial crises in emerging markets
Eichengreen, B
Portes, R
MAINTAINING FINANCIAL STABILITY IN A GLOBAL ECONOMY, 1997, : 193 - 225
[22] Financial globalisation and emerging markets volatility
Leijonhufvud, Christina
WORLD ECONOMY, 2007, 30 (12): : 1817 - 1842
[23] Emerging issues in financial institutions and markets
Casu, Barbara
Fabbri, Daniela
Wilson, John O. S.
EUROPEAN JOURNAL OF FINANCE, 2014, 20 (10): : 847 - 849
[24] Financial crises in emerging markets.
Kaufman, GG
JOURNAL OF ECONOMIC LITERATURE, 2004, 42 (01) : 215 - 216
[25] A model of financial crises in emerging markets
Chang, R
Velasco, A
QUARTERLY JOURNAL OF ECONOMICS, 2001, 116 (02): : 489 - 517
[26] Financial policies in emerging markets.
Chadha, JS
ECONOMIC JOURNAL, 2004, 114 (496): : F343 - F345
[27] Challenges and Opportunities in Emerging Financial Markets
Kang, Jangkoo
Yun, Chang-Hyun
EMERGING MARKETS FINANCE AND TRADE, 2016, 52 (11) : 2451 - 2453
[28] Financial globalization and democracy in emerging markets
De Bunsen, M
JOURNAL OF LATIN AMERICAN STUDIES, 2003, 35 : 434 - 436
[29] International financial shocks in emerging markets
Brei, Michael
Buzaushina, Almira
JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 2015, 58 : 51 - 74
[30] Regulation of Financial Intermediaries in Emerging Markets
Mohanty, Prabir Kumar
GLOBAL BUSINESS REVIEW, 2006, 7 (02) : 367 - 369

← 1 2 3 4 5 →