Essec\Faculty\Model\Contribution {#2233 ▼
#_index: "academ_contributions"
#_id: "10442"
#_source: array:26 [
"id" => "10442"
"slug" => "when-markets-fall-down-are-emerging-markets-all-equal"
"yearMonth" => "2011-01"
"year" => "2011"
"title" => "When markets fall down: are emerging markets all equal?"
"description" => "RAMOS, S., DIAS, J. et VERMUNT, J. (2011). When markets fall down: are emerging markets all equal? <i>International Journal of Finance and Economics</i>, 16(1), pp. 324-338.
RAMOS, S., DIAS, J. et VERMUNT, J. (2011). When markets fall down: are emerging markets all equal? <
"
"authors" => array:3 [
0 => array:3 [
"name" => "RAMOS Sofia"
"bid" => "B00683001"
"slug" => "ramos-sofia"
]
1 => array:1 [
"name" => "DIAS José"
]
2 => array:1 [
"name" => "VERMUNT Joeren"
]
]
"ouvrage" => ""
"keywords" => array:5 [
0 => "Emerging markets"
1 => "bull"
2 => "bear"
3 => "heterogeneity"
4 => "switching-regime model"
]
"updatedAt" => "2021-07-13 14:31:35"
"publicationUrl" => "https://www.researchgate.net/publication/254456874_When_markets_fall_down_Are_emerging_markets_all_the_same
https://www.researchgate.net/publication/254456874_When_markets_fall_down_Are_emerging_markets_all_t
"
"publicationInfo" => array:3 [
"pages" => "324-338"
"volume" => "16"
"number" => "1"
]
"type" => array:2 [
"fr" => "Articles"
"en" => "Journal articles"
]
"support_type" => array:2 [
"fr" => "Revue scientifique"
"en" => "Scientific journal"
]
"countries" => array:2 [
"fr" => null
"en" => null
]
"abstract" => array:2 [
"fr" => """
This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version of the standard\n
This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version
regime-switching model, we find that the 18 analysed emerging markets can be clustered into three groups. Whereas\n
regime-switching model, we find that the 18 analysed emerging markets can be clustered into three gr
each of these three groups is characterized by the same two regimes—a bull state with positive returns and low volatility\n
each of these three groups is characterized by the same two regimes—a bull state with positive retur
and a bear state with negative returns and high volatility—they clearly differ with respect to their regime-switching\n
and a bear state with negative returns and high volatility—they clearly differ with respect to their
dynamics. The first group contains stock markets which swing frequently between the two regimes, the second group\n
dynamics. The first group contains stock markets which swing frequently between the two regimes, the
shows more regime persistence, and the third group consists of stock markets that are less likely than the others to move\n
shows more regime persistence, and the third group consists of stock markets that are less likely th
to a bear regime period. Standard practice among stock market analysts is to group emerging markets by geographical\n
to a bear regime period. Standard practice among stock market analysts is to group emerging markets
region. The fact that our model-based clustering is only weakly related to such a regional classification demonstrates the\n
region. The fact that our model-based clustering is only weakly related to such a regional classific
limited validity of the latter. Moreover, a detailed analysis of regime synchronicities across the 18 studied emerging\n
limited validity of the latter. Moreover, a detailed analysis of regime synchronicities across the 1
markets shows that there is evidence of regime synchronicity for certain pairs of markets, but this does not rule out that\n
markets shows that there is evidence of regime synchronicity for certain pairs of markets, but this
two synchronized markets have different regime dynamics and thus belong to different regime-switching clusters.\n
two synchronized markets have different regime dynamics and thus belong to different regime-switchin
Hence, our results show that it is incorrect to treat the studied emerging markets as a single homogeneous group\n
Hence, our results show that it is incorrect to treat the studied emerging markets as a single homog
because there is strong evidence for substantial differences in their regime-switching dynamics
"""
"en" => """
This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version of the standard\n
This paper studies the dynamics of stock market regimes in emerging markets. Using a mixture version
regime-switching model, we find that the 18 analysed emerging markets can be clustered into three groups. Whereas\n
regime-switching model, we find that the 18 analysed emerging markets can be clustered into three gr
each of these three groups is characterized by the same two regimes—a bull state with positive returns and low volatility\n
each of these three groups is characterized by the same two regimes—a bull state with positive retur
and a bear state with negative returns and high volatility—they clearly differ with respect to their regime-switching\n
and a bear state with negative returns and high volatility—they clearly differ with respect to their
dynamics. The first group contains stock markets which swing frequently between the two regimes, the second group\n
dynamics. The first group contains stock markets which swing frequently between the two regimes, the
shows more regime persistence, and the third group consists of stock markets that are less likely than the others to move\n
shows more regime persistence, and the third group consists of stock markets that are less likely th
to a bear regime period. Standard practice among stock market analysts is to group emerging markets by geographical\n
to a bear regime period. Standard practice among stock market analysts is to group emerging markets
region. The fact that our model-based clustering is only weakly related to such a regional classification demonstrates the\n
region. The fact that our model-based clustering is only weakly related to such a regional classific
limited validity of the latter. Moreover, a detailed analysis of regime synchronicities across the 18 studied emerging\n
limited validity of the latter. Moreover, a detailed analysis of regime synchronicities across the 1
markets shows that there is evidence of regime synchronicity for certain pairs of markets, but this does not rule out that\n
markets shows that there is evidence of regime synchronicity for certain pairs of markets, but this
two synchronized markets have different regime dynamics and thus belong to different regime-switching clusters.\n
two synchronized markets have different regime dynamics and thus belong to different regime-switchin
Hence, our results show that it is incorrect to treat the studied emerging markets as a single homogeneous group\n
Hence, our results show that it is incorrect to treat the studied emerging markets as a single homog
because there is strong evidence for substantial differences in their regime-switching dynamics
"""
]
"authors_fields" => array:2 [
"fr" => "Finance"
"en" => "Finance"
]
"indexedAt" => "2025-02-23T07:21:40.000Z"
"docTitle" => "When markets fall down: are emerging markets all equal?"
"docSurtitle" => "Articles"
"authorNames" => "<a href="/cv/ramos-sofia">RAMOS Sofia</a>, DIAS José, VERMUNT Joeren"
"docDescription" => "<span class="document-property-authors">RAMOS Sofia, DIAS José, VERMUNT Joeren</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2011</span>
<span class="document-property-authors">RAMOS Sofia, DIAS José, VERMUNT Joeren</span><br><span class
"
"keywordList" => "<a href="#">Emerging markets</a>, <a href="#">bull</a>, <a href="#">bear</a>, <a href="#">heterogeneity</a>, <a href="#">switching-regime model</a>
<a href="#">Emerging markets</a>, <a href="#">bull</a>, <a href="#">bear</a>, <a href="#">heterogene
"
"docPreview" => "<b>When markets fall down: are emerging markets all equal?</b><br><span>2011-01 | Articles </span>"
"docType" => "research"
"publicationLink" => "<a href="https://www.researchgate.net/publication/254456874_When_markets_fall_down_Are_emerging_markets_all_the_same" target="_blank">When markets fall down: are emerging markets all equal?</a>
<a href="https://www.researchgate.net/publication/254456874_When_markets_fall_down_Are_emerging_mark
"
]
+lang: "fr"
+"_type": "_doc"
+"_score": 8.795128
+"parent": null
}