Financial Emerging Markets Revisited

Carlos Armando Franco Ruiz () and Guillermo Benavides Perales ()
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Carlos Armando Franco Ruiz: Tecnologico de Monterrey, EGADE Business School
Guillermo Benavides Perales: Banco de Mexico

A chapter in Data Analytics Applications in Emerging Markets, 2022, pp 75-91 from Springer

Abstract: Abstract This chapter analyzes the financial markets of the economic group MIST (Mexico, Indonesia, South Korea, and Turkey) by studying the ETFs related to these countries. The previous economic group is crucial because it has the potential of becoming a leading participant in emerging markets. The document examines their financial time series by identifying outliers, volatility models, time series decomposition, and detecting mildly explosive processes (“financial bubbles”). The results obtained show significant negative outliers, non-constant volatility, and the identification of five exuberant behaviors in Mexico’s ETF.

Keywords: MIST; Stylized facts; ETFs (search for similar items in EconPapers)
JEL-codes: G10 G15 O54 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-981-19-4695-0_4

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DOI: 10.1007/978-981-19-4695-0_4

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