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Research on the Structure of Valuation Effects: A Comparative Analysis Based on the Developed and Emerging Market Countries

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  • Jiaqian Liu

Abstract

The PVAR model is constructed based on the international panel data of 1991-2014. This paper aims to study the different characteristics of the fluctuation of valuation effects in developed market countries and emerging market countries. The variance decomposition found that the valuation effects fluctuation of emerging market countries was mainly caused by the equity balance index and exchange rate fluctuation, while valuation effects fluctuation of developed market countries was mainly caused by the stock returns and the structure of net foreign assets. Furthermore, the impulse response found that the policy of managing valuation effect by stock return rate of emerging market countries can only be effective in the short term and long-term turned invalid. Policy of improving the equity balance index to manage valuation effects fluctuation is more effective in the emerging market countries than in the developed market countries.

Suggested Citation

  • Jiaqian Liu, 2016. "Research on the Structure of Valuation Effects: A Comparative Analysis Based on the Developed and Emerging Market Countries," International Journal of Marketing Studies, Canadian Center of Science and Education, vol. 8(4), pages 155-162, August.
    • Handle: RePEc:ibn:ijmsjn:v:8:y:2016:i:4:p:155-162
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    References listed on IDEAS

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    2. Philip R. Lane & Gian Maria Milesi-Ferretti, 2008. "International Investment Patterns," The Review of Economics and Statistics, MIT Press, vol. 90(3), pages 538-549, August.
    3. Devereux, Michael B. & Sutherland, Alan, 2010. "Valuation effects and the dynamics of net external assets," Journal of International Economics, Elsevier, vol. 80(1), pages 129-143, January.
    4. Lane, Philip & Milesi-Ferretti, Gian Maria, "undated". "External Wealth of Nations," Instructional Stata datasets for econometrics extwealth, Boston College Department of Economics.
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    More about this item

    Keywords

    valuation effects; panel VAR; equity balance index; stock returns; exchange rates;
    All these keywords.

    JEL classification:

    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General
    • Z0 - Other Special Topics - - General

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