THE STOCK MARKET: CRISIS, RECOVERY AND EMERGING ECONOMIES -- THE STOCK MARKET: CRISIS, RECOVERY AND EMERGING ECONOMIES -- CONTENTS -- PREFACE -- FEDERAL BUDGET DEFICITS, INTEREST RATES AND THE GENERAL STOCK MARKET -- ABSTRACT -- 1. INTRODUCTION -- On the Real Economy -- On Financial Markets -- On Economic Policy -- Other Economic Effects -- 2. IMPORTANCE OF THE STUDY AND RESEARCH QUESTIONS -- 3. METHODOLOGY AND DATA -- 3.1 Data and Preliminary Statistics -- 3.2 Model Specification -- 3.3 Dealing with the Endogeneity Problem -- 4. EMPIRICAL FINDINGS AND DISCUSSION -- 4.1 Dynamic Linkages among Deficits, Interest Rates and Equity Prices -- 4.2 Fiscal Policy and Stock Market Efficiency -- 4.3 Robustness tests -- 5. ADDITIONAL EVIDENCE ON THE DEFICIT - STOCK RETURNS LINKAGE -- 5.1 Disaggregated Deficit Measures -- 5.2 Alternative Measures of Market Returns -- 6. SUMMARY AND CONCLUSIONS -- REFERENCES -- STRATEGIC STOCK MARKETS RISK ASSESSMENT IN EMERGING ECONOMIES∗ -- ABSTRACT -- INTRODUCTION AND OVERVIEW -- LITERATURE REVIEW, SCOPE AND OBJECTIVE OF THIS STUDY -- ESTIMATION OF LIQUIDITY-ADJUSTED VALUE AT RISK (LVAR) WITH A CLOSED-FORM PARAMETRIC SCHEME -- Major Limitations and Pitfalls of Value at Risk Method: -- Appraisal of Liquidity-Adjusted Value at Risk (LVaR) Technique: -- RISK ASSESSMENT IN EMERGING ECONOMIES-SIMULATION OF TWO STRUCTURED CASE STUDIES FOR THE GCC STOCK MARKETS -- Description of the Dataset: -- Statistical Inference of Correlation Patterns -- Simulation of Trading Risk Exposure for Structured Equity Portfolios: -- SUMMARY AND CONCLUDING REMARKS -- ACKNOWLEDGMENT -- APPENDIX I: DERIVATION OF LIQUIDITY-ADJUSTED VALUE AT RISK (LVAR) FORMULA -- APPENDIX II: EXHIBITS OF THE RISK-ENGINES SIMULATION OUTCOMES AND STRUCTURED CASE STUDIES OF THE GCC FINANCIAL MARKETS -- REFERENCES -- FURTHER READING -- BIOGRAPHICAL NOTES.

AFRICA'S EMERGING CAPITAL MARKETS AND THE FINANCIAL CRISIS -- ABSTRACT -- INTRODUCTION AND BACKGROUND -- OVERVIEW OF AFRICAN CAPITAL MARKETS -- Africa's emerging stock markets -- Stylized Facts of African Stock Markets -- Banking Sector -- Bond markets -- 3. THE SUBPRIME BUBBLE: BACKDROP -- 4. THE FINANCIAL CRISIS AND AFRICAN CAPITAL MARKETS -- The Subprime Contagion -- 5. CHANNELS OF CRISIS TRANSMISSION -- Private Capital Flows -- Direct Investment -- Bank Lending -- Remittances -- Impact on Stock Market -- Index performance -- IPOs -- 6. RESPONSE TO THE CRISIS AND REFORM -- NOTES -- REFERENCES -- STOCK MARKET BUBBLES AND CRISES: THE CASE OF EAST ASIAN EMERGING MARKETS -- ABSTRACT -- 1. INTRODUCTION -- 2. MEASURES OF DEVIATIONS FROM FUNDAMENTAL PRICE -- 2.1 Constant Dividend Growth Rate -- 2.2 Predictable Time Variation in the Dividend Growth Rate -- 2.3 Predictable Time Variation in the Dividend Growth Rate and in the Discount Rate -- 2. ECONOMETRIC METHODOLOGY -- 3. EMPIRICAL ANALYSIS -- 3.1 Data -- 3.2 Model selection -- 3.3 Estimation results -- 3.4 Examination of Two Historical Stock Market Crises -- CONCLUSIONS -- REFERENCES -- MARKET REACTIONS TO THE DISCLOSURE OF INTERNAL CONTROL WEAKNESSES UNDER THE JAPANESE SARBANES-OXLEY ACT OF 2006∗ -- ABSTRACT -- INTRODUCTION -- Literature Review, Background, and Hypothesis Development -- Literature Review -- Japan Setting and Hypothesis Development -- Research Design and Sample Selection -- Event Study Analysis -- Cross-sectional analysis -- Cross-sectional analysis -- Empirical Results -- Event Study Analysis -- Cross-sectional analysis -- CONCLUDING REMARKS -- REFERENCES -- ADAPTIVE WAVE MODELS FOR OPTION PRICING EVOLUTION -- Abstract -- 1.Introduction -- 2.Nonlinear Adaptive Wave Model for General Option Pricing -- 2.1.Adaptive NLS Model -- 2.2.Adaptive Manakov System -- 3.Financial Rogue Waves.

4.Quantum Wave Model for Low Interest-Rate Option Pricing -- 5.A New Stock-Market Research Program -- 6.Conclusion -- References -- RECONSIDERING STOCK RETURNS AND EQUITY MUTUAL FUND FLOWS IN THE U.S. STOCK MARKET: A MACRO APPROACH -- Abstract -- 1.Introduction -- 2.Econometric Methodologies -- 3.Empirical Results -- 4.Conclusion -- 5.Appendix -- 5.1.Unit Root Tests -- References -- REEXAMINING COVARIANCE RISK DYNAMICS IN GLOBAL STOCK MARKETS USING QUANTILE REGRESSION ANALYSIS* -- ABSTRACT -- 2. MODEL SPECIFICATION -- 2.1 ICAPM wth Single Beta -- 2.2 ICAPM with Quantile-Varying Betas -- 2.3 ICAPM with Time-varying Betas -- 2.4 ICAPM with State-Varying Betas -- 3. EMPIRICAL RESULTS -- 3.1 Data -- 3.2 One-Single Beta versus Quantile-Varying Betas -- 3.3 Quantile-varying Versus Time-varying and State-varying Betas -- 4. CONCLUSIONS AND EXTENSIONS -- REFERENCES -- STOCK MARKET VOLATILITY AND THE GREAT MODERATION: NEW EVIDENCE BASED ON THE G-7 ECONOMIES* -- ABSTRACT -- INTRODUCTION -- THE GREAT MODERATION AND STOCK MARKETS -- STRUCTURAL BREAKS IN THE G-7 STOCK MARKET VOLATILITY -- EMPIRICAL EVIDENCE ON STOCK MARKET VOLATILITY ACROSS THE G-7 ECONOMIES -- Some Initial Stylized Facts -- Estimation of Statistical GARCH Models -- CONCLUSION -- REFERENCES -- INDEX.