Giguere 1

Nicholas Giguere

Dr. T. Clark

ENGW3304

23 May 2021

Annotated Bibliography

Caporale, G.M., Gil-Alana, L.A., & You, K. (2021, April 2). Stock market linkages between the

ASEAN countries, China and the US: A fractional integration/cointegration approach.

Emerging Markets Finance and Trade. https://doi.org/10.1080/1540496X.2021.1898366

In this case study, the authors examined stock market integration between the five

ASEAN countries and China and the US. This study was published by the Emerging Markets

Finance and Trade Journal, a large emerging markets journal focused on the Asian markets. The

purpose of this article is to inform experts in the emerging markets investment industry of their

findings regarding connections between ASEAN countries’ stock markets and China and the US.

Caporale et a. (2021) do this by showing aggregate data over an 18-year period in a time-series

graph (p. 5), and showing the results of equations and correlations in table and time-series graph

formats (p. 6-10). The study found that, among other findings, ASEAN markets are more closely

impacted by the Chinese stock markets, but are becoming increasingly more independent as their

links with both the US and China are weakening.

Gonzalez-Sanchez, M. (2021, March 17). Term structure of risk factor premiums used for

pricing asset: Emerging vs developed markets. Emerging Markets Finance and Trade.

https://doi.org/10.1080/1540496X.2021.1873128
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In this comparison study, the author compared the term structure of risk factor premiums

of developed markets to emerging ones. This research report was published by a leading

international financial research journal with a large presence in Asian markets. The purpose of

this journal entry was inform experts in the international investment industry of research results

conducted by the author. The purpose of the research was to develop term structures of risk

factor premiums in developed markets. Gonzalez-Sanchez (2021) accomplishes this by using a

multitude of equations such as wavelet differentiation and multi-factor models (p. 4-5) to display

the tables of information presented by his research in concise time-series graphs (p. 7-13, p. 15-

17), with heavy use of financial terminology throughout the report. The study was successful in

creating term structures, finding that market risk-free rates had the largest impact on the

structures over time horizons and various other metrics calculated.

Kwon, D. (2021, April 02). What drives emerging stock market returns? A factor-augmented

VAR approach. Emerging Markets Finance and Trade.

https://doi.org/10.1080/1540496X.2020.1860748

This article reports the research findings of a study in the driving factors of returns in

emerging markets in a highly regarded international finance and trade journal. The purpose of

this article was to inform experts in international finance of research findings to better advise

their practices in reacting to global market shocks. Kwon (2021) makes heavy use out of time-

series graphs to display data analyzed from a 20-year time horizon (p. 7-10, p. 13). The author

reports results to an expected audience knowledge base of popular financial theories and

concepts, and reports a large list of academic references that aided the study. The findings

suggest emerging markets experience greater impact on returns from positive global growth,
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while also experience greater volatility during times of global uncertainty and USD exchange

rate shocks.

Salomons, R., Grootveld, H. (2003, June). The equity risk premium: Emerging vs developed

markets. Emerging Markets Review, 4(2), 121-144. https://doi.org/10.1016/S1566-

0141(03)00024-4

This article is an informative research report that was published in an informative

research journal that focuses on emerging markets. The authors carried out this research to

determine the risk difference investors are exposed to when investing in emerging markets

compared to developed markets. The purpose of this article was to inform investment experts of

these risk differences. The authors did this by analyzing data collected over multiple decades to

visualize the highly technical results in numerous time-series graphs and statistical distributions.

The authors aided these visual representations with industry jargon as well as providing

statistical distribution data in skewness and kurtosis graphs (p. 136). The study found that equity

risk premiums are more correlated with economic cycles rather than market liberalizations, and

thus investors should be more concerned with downside risk instead of total risk. While this is an

older source, the information provided on risk premium comparisons between developed and

emerging markets is important information to consider with the work done by Gonzalez-Sanchez

(2021) on term structure of risk and Zhang et al. (2021) on stock market volatility spillovers.

Switzer, L.N., Picard, A. (2015, September). Idiosyncratic volatility, momentum, liquidity, and

expected stock returns in developed and emerging markets. Multinational Finance

Journal, 19(3), 149-221.

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http://www.mfsociety.org/modules/modDashboard/uploadFiles/journals/googleSchola

r/1106.html

This peer reviewed article is a research report published in a respected international

finance journal. The purpose of the article is to inform experts in the international finance

industry of risk behavior in existing developed market findings, as well as present newly

conducted research into emerging markets. This is done with the use of equations, extensive use

of tables and graphs charting research findings of dozens of countries, and through the use of

heavy financial industry jargon. The authors discovered a difference in the relationship between

idiosyncratic risk and return between developed and emerging markets, finding a positive

relationship in emerging markets, but no such relationship in developed markets. The research

results on stock market returns provided in this study (Switzer & Picard, 2015) is significant

when considered with the findings of Kwon (2021) regarding driving factors to emerging market

returns.

Zhang, P., Sha, Y., & Xu, Y. (2021, April 21). Stock market volatility spillovers in G7 and

BRIC. Emerging Markets Finance and Trade.

https://doi.org/10.1080/1540496X.2021.1908256

This article presents research results conducted by the authors and was published in a

significant international finance journal focusing on emerging markets. The purpose of this

article is to inform experts in the international finance industry, as well as policy makers around

the world of the risk relationship between developed and emerging markets in the G7 and BRIC,

respectively. The authors accomplish this through the use of many equations and computations,

as well as the use of time-series and directional-acyclic graphs to display findings (Zhang et al.,
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2021, p. 4, p. 6-11). The authors also included aggregate data results in tables for further analysis

by readers. The study found that over the period the developed countries leveled more total

systematic and volatility spillover onto the emerging countries, especially during the more

volatile cycles over the time period.