Proactive Structural
Emerging Markets BRIC ETF Asset
Pricing, Allocation and Risks Early Warning :
Dynamic Simulation, Spline-GARCH, Granger Analysis of
Daily SP BRIC 40 Index
Warren
Huang OSA Intl Operations Analysis
website
www.osawh.com / www.osaglobalstrategicmanagement.com
San Francisco, Ca. , USA, wh3928@yahoo.com /
osawh@sina.com
Fenglan Zhang, Zhejiang University, Hangzhou,
Zhejiang, China joycezhang001@yahoo.com.cn,
Abstract
This paper demonstrated Huang’s
30 years pioneering proactive, structural US and
Emerging
markets BRIC ( Brazil, Russia, India,
China) stocks, bond, housing , oil, commodities asset prices bubbles bursts
simulation and , mortgage default crisis early warning
Thousands simulators have been developed, implemented for tracking last 20 years proactive strategic asset pricing,
investment, markets, credit risks early warning for 30 million China, US Taiwan
15 cities 30 million institutional, private investors, Asian, European finance,
capital market QFII, QDII, real estate, multinational oil CEO, seniors traders,
asset managers lectures, workshops and 24 global central bank governors, risks
management conferences.
These proactive structural artificial intelligence neural net based integrated
macro financial, industrial economic, corporate
performance Operation Simulation Analysis (OSA) tracking, forecast years,
months ahead of the causes, onset, spread, recovery, early warning of last 20 years global and BRIC
banking, financial and asset bubble burst crisis.
These dynamic deterministic OSA tracking
global, BRIC central banks monetary, economic, fiscal policy impact on
macroeconomic inflation, GDP, daily interest rates, currency, BRIC
components oil, commodities,
banking, finance, housing, IT industries demand, prices performance, credit
rating, defaults, systemic and corporate governance scandals specific risks,
recovery modeling, financial futures, credit derivatives, asset allocation,
pricing, hedging risks early
warnings, supporting financial, systems investment，macro-economic systemic risks
, Basel II credit, markets ,
operational risks control.
Huang directed Zhang to extend these OSA simulators to R. Engles
Spline GARCH estimation and Granger co-integration,
in which SSgA BRIC 40 index (BIK) component
stocks oil (40 %) financial (28 %),
IT（14 %）industrial
sector and index pricing are related to China Shanghai-Shenzhen
300 index ( cover major China housing, banking, IT, materials industry), oil
prices( covering China, Russia, Brazil oil companies), and Hang Sang index
(cover China banking, IT, oil stocks) and Nasdaq
index ( covering Indian, China IT stocks )
This paper also cover E-GARCH
simulation of China monetary supply
growth , RMB currency, housing prices bubble, fixed investment and US Subprime default Dow Jones stock index impact on daily Shanghai-Shenzhen 300 index futures prices These unconditional ETF
and stock index prices is estimated
for US , BRIC, oil, housing, stock prices bubbles, and accurately
predicted recent US sub-prime crisis drag Dow Jones 10 % correction and Hang
Sang, Shanghai-Shenzhen 300 index , oil stocks PetroChina 20 % correction resulted BIK plunged 14 % from
35 to 31 over the recent US and China, housing and oil price boom and bust
cycle.
These models replacing
current 30 year old probabilistic, statistical CAPM asset pricing and Monte Carlo
default modeling simulation, oversimplified macroeconomic, inflation, interest
rates, currency, commodities, financial futures, real estate asset prices,
avoided trillion dollars loss due to betting on the wrong side of credit
derivatives, bond spread , speculation over the business, economic news
resulted past , current mortgages loan default and stock market crash.
Keyword : BRIC ETF ,Housing
Bubbles, Equities bubbles, Oil bubble Operations Simulations
Analysis, proactive structural
CAPM credit risk, market risks, currency interest rates Asset pricing. allocation
, risks hedging
Submitted to 7th ANNUAL DARDEN
INTERNATIONAL FINANCE CONFERENCE INVESTING IN EMERGING MARKETS,