For my thesis I would like to examine numerous events (Lehman collaspe, September 11, and other major global events and examine the impact/correlation on the BRICS and G7 nations.
I would like to do an event study using the Market Model, but as I understand, I do not think i can use AR (Abnormal Returns) as I am not looking at specific stocks, but using the major indices in each country (E.G. MOEX, IBOVESPA, CAC40, DAX30 etc.)
I have come across the FTSE Global Equity Index Series (GEIS), https://www.ftse.com/products/indices/geis-series but do not have access to the data. Alternatively, I have found on Datastream MSCI World, FTSE Developed, FTSE Emerging, FTSE All World, and FTSE Global. Would one of these suffice?
My main research idea is to examine whether the investor risk tolerance between emerging (BRICS) and developed nations (G7) differs significantly by seeing how the markets react to each event and volumes traded.
Any help in this matter would be greatly appreciated.
Dear Joseph Bentley,
I agree with the thesis that in developing countries with a higher GDP growth rate, as well as increases in valuations of securities, increases in stock exchange indices may be faster in comparison with highly developed countries. Such diverse approach in the investment strategy is also used by international operating funds and investment banks that invest in securities issued by enterprises and financial institutions (stocks) and the state treasury of a given country (state treasury bonds). Diversified in the investment strategy is to accept a higher level of risk with a correspondingly higher return on securities issued by enterprises, financial institutions and the state treasury of fast developing countries. On the other hand, as part of the diversification, investment portals may include securities of developing and developed countries.
Best wishes
On the other hand, sometimes these different investment strategies may lead to high speculation on the markets of small developing countries, where large global banks and investment funds are able to influence capital formation trends in the exchange rates of stock markets in smaller countries. I described these issues in my articles, and I analyzed the sources of the global financial crisis in 2008.
The issues of risk management in the context of determinants of the global financial crisis, globalization processes, technological progress and other factors I described in the publications:
Article Anti-crisis state intervention and created in media images o...
Article ACTIVATING INTERVENTIONIST MONETARY POLICY OF THE EUROPEAN C...
Article Determinants of credit risk management in the context of the...
Article THE SHADOW BANKING AS AN EXAMPLE OF INEFFICIENCIES IN THE FU...
I invite you to discussion and cooperation.
Best wishes
i dont see why you can examine overall market returns, and any changes in these.
returns for the market in general or overall, should be very possible. hence, market portfolios.
you may also consider alternative proxies and metrics, like (investor) confidence.
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