Dissertations / Theses: 'Behavioural exchange'

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Griffin, Deborah, and N/A. "Social Issue Exchange: An Exploration of Determinants and Outcomes." Griffith University. Department of Marketing, 2007. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20070910.111229.

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It has been argued that marketing contributes to society by finding solutions to a diverse range of social issues. Importantly, research within the (social) marketing domain recognises that the concept of exchange is a fundamental aspect of influencing people to take on positive social issue behaviours (Andreasen, 1995; Rothschild, 1999). However, regardless of the influence of social marketing, ultimately the behavioural exchange resides with the individual. This infers that exchange can be considered from the individuals (i.e., consumers) point of view, of intrapersonal or self-exchange (Gould, 1994). Furthermore, the conditions that facilitate or constrain this form of exchange are found within the individual and relate to for example, individual differences. However, in recent years there has been limited interest in exchange theory within the marketing domain and, in particular, exchange as a fundamental consumer behaviour phenomenon (Anderson et al, 1999; Gould, 1994). This study seeks to extend current consumer behaviour and social marketing knowledge in the areas of exchange theory and personality. Based on an examination of the extant literature, a model of determinants and outcomes of Social Issue Exchange was developed and empirically tested. The Social Issue Exchange Model proposed in this study accounts for a number of associations which includes a representation of personality termed pro-social orientation along with social issue involvement, attitude toward social issues, subjective assessment of negative consequences and feelings. The determinants of social issue exchange included the multi-component variable pro-social orientation comprising the traits risk aversion, locus of control, consideration of future consequences, susceptibility to normative influence and social responsibility along with the variables social issue involvement and attitude towards social issues. The outcomes of social issue exchange include the variables of subjective assessment of negative consequences and feelings. The study adopted a quantitative methodology using an Internet administered questionnaire that allowed for the measurement of the determinants and outcomes of social issue exchange. The construction of the questionnaire followed a sequential process which involved developing new measures, utilising and adapting existing measures and then pre-testing these measures to ensure the development of a psychometrically sound and respondent-friendly survey instrument. The final survey used Excess Alcohol Consumption and Speeding social issues as stimuli for the study. Data collection resulted in 1146 (comprising 559 for Speeding social issue, and 587 for Excess Alcohol Consumption social issue) useable surveys for subsequent analysis. Analysis included a number of statistical procedures including correlation analysis, exploratory factor analysis, reliability analysis and tests of the model via Partial Least Squares (PLS) analysis. Overall, the findings provided support for the proposed Social Issue Exchange Model. In terms of the measurement model, the findings show that pro-social orientation accounted for different amounts of variance in the five traits, with consideration for further consequences accounting for the most variance and susceptibility to normative influence accounting for the least. In terms of the inner model, all the hypothesised paths were supported with the exception of attitude towards social issues and social issue exchange. A comparison of the smaller models (i.e., Speeding and Excess Alcohol Consumption) with the overall model indicated that largely the relationships were consistent, with the exception of social issue involvement and attitude towards social issues which was not supported in the Excess Alcohol Consumption model. The findings provide a number of theoretical and practical implications for research. From a theoretical perspective, broadening the concept of exchange to account for self-exchange in the context of social issue behaviours contributes to the body of knowledge on exchange. Moreover, aggregating traits to form the multi-component construct pro-social orientation takes a holistic approach to personality and thereby, provides greater clarification of the psychological processes that drive individuals to respond positively or negatively to social issues and associated behaviours. From a practical perspective, this study may lead to a better understanding of how personal characteristics can shape an individuals response to social issues as well as their behaviours. In summary, the importance of understanding the processes that influence individuals social issue behaviours provides a justification for this study. Accordingly, this study offers valuable insights into how exchange is an integral feature of individual behaviour change, as well as positive social change for society.

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Griffin, Deborah. "Social Issue Exchange: An Exploration of Determinants and Outcomes." Thesis, Griffith University, 2007. http://hdl.handle.net/10072/367920.

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It has been argued that marketing contributes to society by finding solutions to a diverse range of social issues. Importantly, research within the (social) marketing domain recognises that the concept of exchange is a fundamental aspect of influencing people to take on positive social issue behaviours (Andreasen, 1995; Rothschild, 1999). However, regardless of the influence of social marketing, ultimately the behavioural exchange resides with the individual. This infers that exchange can be considered from the individual’s (i.e., consumer’s) point of view, of intrapersonal or self-exchange (Gould, 1994). Furthermore, the conditions that facilitate or constrain this form of exchange are found within the individual – and relate to for example, individual differences. However, in recent years there has been limited interest in exchange theory within the marketing domain and, in particular, exchange as a fundamental consumer behaviour phenomenon (Anderson et al, 1999; Gould, 1994). This study seeks to extend current consumer behaviour and social marketing knowledge in the areas of exchange theory and personality. Based on an examination of the extant literature, a model of determinants and outcomes of Social Issue Exchange was developed and empirically tested. The Social Issue Exchange Model proposed in this study accounts for a number of associations which includes a representation of personality termed pro-social orientation along with social issue involvement, attitude toward social issues, subjective assessment of negative consequences and feelings. The determinants of social issue exchange included the multi-component variable pro-social orientation comprising the traits risk aversion, locus of control, consideration of future consequences, susceptibility to normative influence and social responsibility along with the variables social issue involvement and attitude towards social issues. The outcomes of social issue exchange include the variables of subjective assessment of negative consequences and feelings. The study adopted a quantitative methodology using an Internet administered questionnaire that allowed for the measurement of the determinants and outcomes of social issue exchange. The construction of the questionnaire followed a sequential process which involved developing new measures, utilising and adapting existing measures and then pre-testing these measures to ensure the development of a psychometrically sound and respondent-friendly survey instrument. The final survey used Excess Alcohol Consumption and Speeding social issues as stimuli for the study. Data collection resulted in 1146 (comprising 559 for Speeding social issue, and 587 for Excess Alcohol Consumption social issue) useable surveys for subsequent analysis. Analysis included a number of statistical procedures including correlation analysis, exploratory factor analysis, reliability analysis and tests of the model via Partial Least Squares (PLS) analysis. Overall, the findings provided support for the proposed Social Issue Exchange Model. In terms of the measurement model, the findings show that pro-social orientation accounted for different amounts of variance in the five traits, with consideration for further consequences accounting for the most variance and susceptibility to normative influence accounting for the least. In terms of the inner model, all the hypothesised paths were supported with the exception of attitude towards social issues and social issue exchange. A comparison of the smaller models (i.e., Speeding and Excess Alcohol Consumption) with the overall model indicated that largely the relationships were consistent, with the exception of social issue involvement and attitude towards social issues which was not supported in the Excess Alcohol Consumption model. The findings provide a number of theoretical and practical implications for research. From a theoretical perspective, broadening the concept of exchange to account for self-exchange in the context of social issue behaviours contributes to the body of knowledge on exchange. Moreover, aggregating traits to form the multi-component construct pro-social orientation takes a holistic approach to personality and thereby, provides greater clarification of the psychological processes that drive individuals to respond positively or negatively to social issues and associated behaviours. From a practical perspective, this study may lead to a better understanding of how personal characteristics can shape an individual’s response to social issues as well as their behaviours. In summary, the importance of understanding the processes that influence individuals’ social issue behaviours provides a justification for this study. Accordingly, this study offers valuable insights into how ‘exchange’ is an integral feature of individual behaviour change, as well as positive social change for society.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Department of Marketing
Griffith Business School
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Potgieter, Janette. "Fundamentals of the rand/euro exchange rate : a behavioural approach / Janette Potgieter." Thesis, North-West University, 2005. http://hdl.handle.net/10394/1369.

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Li, Zhiyong. "Essays on the foreign exchange market : the market microstructure and evidence of the behavioural theory." Thesis, University of Nottingham, 2015. http://eprints.nottingham.ac.uk/30531/.

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Chen, Gary. "Behavioural heterogeneity in ASX 200 a dissertation submitted to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business (MBus), 2009 /." Click here to access this resource online, 2009. http://hdl.handle.net/10292/758.

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Zwedala, Sibulele. "The effect of real exchange rate misalignment on economic growth in South Africa / S. Zwedala." Thesis, North-West University, 2013. http://hdl.handle.net/10394/9871.

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The growth performance of the South African economy over the past two and a half decades has been disappointing. The economy has not reached the high growth rates of the 1960s, which is desperately needed to alleviate poverty in the country. While the sources of growth have been a subject of much debate, recently the notion that the Real Exchange Rate (RER) level of a country matters for growth has attracted attention. While it is generally expected that the value of the currency should not remain constant and that the exchange rate fluctuates over time, in the long-term, it is expected to converge to an equilibrium level South Africa follows an inflation targeting framework and a free floating exchange rate regime. The exchange rate has been highly volatile since the abolishment of the dual exchange rate system in 1995. This implies that there were periods of overvaluation and undervaluation from the equilibrium level; in other words the rand experienced times of misalignment. In the event of misalignments, the RER is moved to levels which make it difficult for an economy to sustain international competitiveness over the long-run, and this is harmful to growth rates in the economy. This is especially true for countries, such as South Africa, which is heavily dependent on exports. The RER is therefore very powerful and has been argued to be the cause of loss of competitiveness and growth slowdowns. This study investigates this notion for South Africa. The main aim of this study is therefore to investigate the effects of RER misalignment on economic growth in South Africa. This implies that the study aims to determine the level of RER equilibrium, the misalignment in the real value of the rand, and how this misalignment has affected economic growth in the country. The Behavioural Equilibrium Exchange Rate (BEER) approach is followed to determine the Equilibrium Exchange Rate (EER), which allows for the use of fundamental macroeconomic variables to determine the real equilibrium level of the rand. Identified fundamental variables, which are the main drivers of the current RER in South Africa, include GDP per capita, trade openness, terms of trade, gross fixed capital formation and the real interest rate differential. A Vector Error-Correction Mechanism (VECM) is used in the estimation of the Real Equilibrium Exchange Rate (REER). Misalignment is calculated as the difference between the actual and the equilibrium real exchange rate. It is found that during the period under investigation (1985 to 2011) there have been substantial misalignments in the RER of the rand, though the currency was mostly overvalued. It is also shown that the rand does revert to its equilibrium level over time. The least square method is used to determine the effect of this RER misalignment on economic growth. Additional variables such as the initial level of GDP per capita, trade openness, terms of trade as well as gross fixed capital formation, are included in the growth specification. Trade reforms emphasise the importance of export-led growth in a commodity-rich economy, such as South Africa. The results indicate that the RER misalignment has a positive coefficient; this implies that a misalignment in the rand has not necessarily been harmful to economic growth. Therefore, it can be concluded that in the case of South Africa, misalignment is generally stimulating growth, but more so when the currency is undervalued. The results therefore show that the RER should be kept at competitive levels in order to boost economic growth in the country. The results also show support for the strategy of export-led growth in South Africa.
Thesis (MCom (Economics))--North-West University, Potchefstroom Campus, 2013.

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Al-Hajieh, H. "Market efficiency and volatility in an Islamic financial market interpreted from a behavioural finance perspective : a case study of the Amman Stock Exchange." Thesis, Coventry University, 2011. http://curve.coventry.ac.uk/open/items/cfff00ca-c72c-49d7-a818-03e03ea3bcb5/1.

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The research undertaken aims to contribute to the debate about market efficiency and market volatility in an Islamic context. The research relates to the Amman Stock Exchange (ASE) and covers the period 1992 to 2007. It undertakes quantitative analysis involving two key elements: first, testing for random walk and calendar anomaly effects in market returns and, second, modelling volatility in market returns. The thesis applies a series of standard econometric and statistical techniques to this issue. The key ‘novel’ contributions of this study relate to the focus on Islamic religious holiday effects and also the application of behavioural finance theoretical models to explain the findings in terms of the influence of social mood (mood misattribution) effects. These are approaches that have not been previously applied in the literature within an Islamic context. The author argues that the econometric and statistical techniques applied are ‘fit for purpose’. Standard methods are applied; however, these are applied in ‘novel’ ways in parts of the thesis. For example, moving-date calendar effects are modelled for the first time and the modelling of volatility makes use of interaction effects to explore the impact of interactions between different mood-influencing variables. The study begins by identifying that the ASE index returns do not follow a Random Walk. It then goes on to identify day-of-the-week effects. First trading day of the week effects found in relation to the first trading day that follows the Muslim holy day of Friday. Monthly calendar effects were also found. January or turn-of-the-year effects were found in the ASE similar to those found previously in some Western markets. However, the largest monthly effects were found in relation to the holy month of Ramadan. Most significantly, Ramadan was found to be the only month where the average daily returns were both statistically different from the other months in the year and also positive. This, it is argued in the thesis, is due to social mood (or mood misattribution) effects. The research looks beyond informational efficiency and develops a number of ‘novel’ contributions to research in this area in terms of both the empirical findings and the behavioural finance-related interpretation of these findings, as well as the influence of Islamic ethics in Amman’s stock market returns. The thesis also examines the relationship between seven behavioural mood-proxy variables and stock market returns. Fama (1991) argues that efficiency and volatility are unrelated. In this thesis, however, evidence is uncovered which suggests that this may not be the case. High levels of volatility were found at the start and at the end of the Ramadan holy festival; this volatility, it is argued, is related to social mood. This issue is examined further by exploring previously unstudied interactions between mood-related Ramadan effects and mood-related weather and biorhythmic effects. The results of this thesis, the author believes, provide strong evidence for the existence of Muslim religion investment decision biases associated with social mood effects (mood misattribution). It is argued that these social mood effects in the case of Jordan relate mainly to Islamic ethics and cultural issues, as they are found predominantly during the Ramadan religious holiday. Despite the existence of decision biases within the ASE, no profitable trading anomaly opportunities were identified. This may be due, in part, to Jordan having high trading transaction costs. It is possible, however, that profitable trading opportunities related to Islamic holidays may exist in countries that follow stricter religious observance. The author believes that there is an opportunity to extend this research to countries such as Bahrain.

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Kozlik, Petr. "EXPLORING DIGITAL CURRENCIES: Designing a peer-to-peer exchange with use of Blockchain." Thesis, Malmö högskola, Fakulteten för kultur och samhälle (KS), 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:mau:diva-22275.

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Digital currencies represent complementary alternatives to fiat money in the conventional mental models of exchange. Blockchain, as the underlying technology of Bitcoin, holds a potential to influence a peer-to-peer exchange in the perspective of trust and ownership. The underlying technologies of digital currencies may be part of concepts, where designers have a possibility to define their own exchange articles for specific needs of the exchange. The ambition of this report is to illustrate the possibilities for the initiation of a peer-to-peer exchange with use of the underlying technologies beyond Bitcoin. The explorative approach provided me material for the retrospective reflection to achieve this ambition. The thesis project consisted three iterations, one experiment, and a literature overview. The main conceptual work illustrates the result of explorative research, where blockchain ensures trust between participating parties. This ecosystem uses the principles of sharing economy for initialisation of exchange within the community. This concept demonstrates potential opportunities for future transactions, in which the exchange article replaces fiat money.

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Zhang, Jiaying, and jiaying zhang@rmit edu au. "Understanding Host Community Attitudes towards Tourism and Resident-Tourist Interaction: A Socio-Behavioural Study of Melbourne's Urban-Rural Fringe." RMIT University. Management, 2008. http://adt.lib.rmit.edu.au/adt/public/adt-VIT20080801.144715.

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The fast development of the tourism industry has created both positive and negative impacts on host communities. Reacting to these impacts, host residents hold various attitudes towards tourism and tourists. It has come to common agreement that a supportive host community plays a vital role in the successful and long-term development of community tourism. In order to explain the antecedents of community attitudes towards tourism, researchers have investigated the topic from both the extrinsic perspective (such as stage-based models) and the intrinsic perspective (such as the Social Exchange Theory). Nevertheless, there are still several important research gaps and deficiencies within the existing literature. First, the influence of psychological factors (personality) on attitudes towards tourism is somewhat neglected. Second, when examining the relationship between community attitudes towards tourism and the influential factors, the majority of previous studies do not distinguish the orthogonal dimensions of attitudes (such as positive dimension and negative dimension). Third, the existing literature has not addressed the issue of whether specific attitudes towards tourism will lead to a corresponding behaviour when interacting with tourists, and what other factors are determinant in host-guest interactive behaviour. Aiming to address such research gaps and deficiencies, this study has a major objective of developing a theoretical model (encompassing attitude element) to understand the antecedents of host-guest interaction. A quantitative approach was employed for the entire project. A self-administrated questionnaire survey was used to collect primary data. A total of 878 useful questionnaires were returned for analyses. Stratification sampling methods were utilized in communities where population database was accessible, while random sampling methods were used in other communities. The findings from this study confirmed the two major hypotheses in terms of community attitudes towards tourism. First, there was a significant relationship between an individual's personality and his/her attitudes towards tourism. Residents being high on Openness, Conscientiousness, Extraversion and Agreeableness traits and low on the Neuroticism trait tended to be more positive towards tourism than their counterparts. Second, while some factors were found to be influential on both positive and negative dimensions of attitudes towards tourism, others only demonstrated influences on one dimension. The Resident-Tourist Interaction Model developed in this study provided a comprehensive theoretical framework in modelling and predicting host residents' interactive behaviour towards tourists. Drawing on the evaluation results of three leading behavioural theories belonging to the school of cognition, the Model identified attitudinal, volitional, social, motivating and habitual factors for the prediction of resident-tourist interactive behaviour. Motivating factor (intention) was the critical and immediate element for action, which, in turn, was best predicted by subjective norms. External factors (gender, age and personality traits) only moderated the predictive power of the Model by less than two percent. The Model was valid and reliable for the current data. The present study advanced resident-tourist interactive behavioural study by establishing a sound theoretical framework. It also consolidated the body of knowledge in understanding community attitudes towards tourism. Findings from this study have significant practical implications for community tourism planning and management.

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Halari, Anwar. "An analysis of monthly calendar anomalies in the Pakistani stock market : a study of the Gregorian and Islamic calendars." Thesis, University of Dundee, 2013. https://discovery.dundee.ac.uk/en/studentTheses/ef1d3ef3-4cda-4a39-83eb-aa3ba3d46689.

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Most of the prior research in the area of monthly regularities has been based on the Gregorian calendar; by contrast, little attention has been given to other calendars based on different religions or cultures. This thesis examines monthly calendar anomalies in the Pakistani stock market for both the Gregorian calendar and its Islamic counterpart. This is one of the first studies to investigate both calendars for monthly seasonality in one investigation on the same dataset. Empirical studies of the Pakistani stock market that have examined monthly calendar anomalies are relatively sparse when compared with investigations from other emerging markets throughout the world. Even the findings from the small number of Pakistani investigations that have examined for the presence of monthly calendar anomalies have arrived at different conclusions about the predictability of equity returns at different times within a year. Since the conclusions of these findings have been mixed, the current study undertakes further work on this topic to offer some clarity in this area; this thesis arrives at a firm conclusion about the monthly calendar anomaly. For the purpose of this thesis, both qualitative and quantitative research methods were employed. Firstly, 19 face-to-face interviews were conducted with brokers, regulators and individual investors to ascertain their views about share price regularities with regards to monthly calendar anomalies and to gain some insights about the role of investor sentiment in the Pakistani stock markets. Secondly, share returns for a sample of 106 companies listed on the KSE over the 17 year period from 1995 to 2011 were analysed to determine whether Pakistani stock markets are weak-form efficient or whether security price changes can be predicted from knowledge of the month when the return is earned; it also investigates whether there is a change in the risk (volatility) of shares in different months which might explain any pattern in returns. To answer these questions various research methods were employed. The results of the interviews suggest that most respondents believed that share prices exhibit patterns in certain months of the year. The most common pattern highlighted by the interviewees related to the month of January for the Gregorian calendar and Ramadan for the Islamic calendar. Interviewees also argued that volatility declined during the religious month of Ramadan; they attributed these changes to investor sentiment and religious duties. Overall, the results suggested that monthly calendar anomalies may be present in the market and that these are studied by investors in an attempt to earn profit. The results from the quantitative analyses supported the findings from the interviews. Initial analyses suggested that returns varied significantly during certain months which indicate that the market might not be efficient. Further, investigations for seasonality in both the mean and volatility of returns offered conflicting evidence; very little statistical evidence of monthly seasonal anomalies was identified in average returns. However, monthly patterns were present in the variance of equity price changes in Pakistan. Overall, the results confirm that whatever monthly seasonality may be present in the equity prices of Pakistani companies, it is more pronounced in the volatility data than in the mean return numbers. These findings may have useful implications for trading strategies and investment decisions; investors may look to gain from managing the risk of their portfolios due to time varying volatility documented in the findings of this thesis. Further, the results of this thesis have interesting implications for our understanding of the dynamics of equity volatility in the Pakistani stock market.

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Stråle, Johansson Nathalie, and Malin Tjernström. "The Price Volatility of Bitcoin : A search for the drivers affecting the price volatility of this digital currency." Thesis, Umeå universitet, Företagsekonomi, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-98397.

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Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. At this moment, the amount of available research is however limited. With a focus on the price volatility of bitcoin and an aim of finding drivers of this volatility, this study is taking a unique position. The research has its basis in the philosophical position of positivism and objectivism. This has shaped the research question as well as the construction of the study. The result is a describing and explaining research with a deductive research approach, a quantitative research method and an archival research strategy. This has in turn stimulated an extensive literature review and information search. Areas of discussion are microstructure theory, the efficient market hypothesis, behavioural finance and informational structures. Due to the limited amount of previous bitcoin research within the area of price volatility, the study has drawn extensively on research performed on more classical assets such as stocks. Nevertheless, when available, bitcoin research has been used as a foundation/reference and an inspiration. Reviews of academic literature and economic theories, as well as public news helped to identify the variables for the empirical study. These variables are; information demand, trade volume, world market index, trend and six specified events, occurring during the chosen sample period and included in the study as dummy variables. The variables are all analysed and included in a GARCH (1,1) model, modified following a similar research by Vlastakis & Markellos (2012) on stocks. This GARCH (1,1) model is then fitted to the bitcoin volatility registered for the sample period and is able thereby able to generate data of if and how the variables affect the bitcoin volatility. The test result suggests that five of the ten variables are significant on a 5 %-level. More specifically it suggests that information demand is a significant variable with a positive influence on the bitcoin volatility, something that corresponds to the literature on information demand and price volatility. This also relates to the events found significant, as they generated bitcoin related information. The significant events of the Cypriot crisis and the failure of the bitcoin exchange MtGox are thus specific examples of how information affects price volatility. Another significant variable is trade volume, which also displays a positive influence on the volatility. The last significant variable turned out to be a constructed positive trend, suggesting that increasing acceptance of bitcoin decreases its volatility.

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Mabhunu, Mind. "The market efficiency hypothesis and the behaviour of stock returns on the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002762.

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While the Efficient Market Hypothesis (EHM) has been widely accepted as robust by many researchers in the field of capital markets, the hypothesis’ robustness has been under increased scrutiny and question lately. In the light of the concerns over the robustness of the EMH, the weak form efficiency of the JSE is tested. Stock returns used in the analysis were controlled for thin trading and it was discovered that once returns are controlled for thin trading, they are independent of each other across time. Some of the previous studies found the JSE to be inefficient in the weak form but this research found that the JSE is efficient in the weak form. A comparison is also made between the JSE and four other African stock markets and the JSE is found to be more efficient than the other markets. The developments on the JSE, which have improved information dissemination as well as the efficiency of trading, contributed to the improvement of the JSE’s efficiency. The improvement in operational efficiency and turnover from the late 1990s has also made a major contribution to the improvement in the weak form efficiency of the JSE. Theory proposes that if markets are efficient then professional investment management is of little value if any; hence the position of professional investment managers in efficient markets is investigated. Although the JSE is found to be efficient, at least in the weak form, it is argued that achieving efficiency does not necessarily make the investment manager’s role obsolete. Investment managers are needed even when the market can be proved to be efficient.

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Haghpanahan, Houra. "Essays on exchange rates behaviour." Thesis, University of Leicester, 2015. http://hdl.handle.net/2381/37226.

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This thesis aims to investigate the exchange rate behaviour and its abnormal movements. By doing so, I introduce a novel instrument which contributes to analyse the exchange rate behaviour. I then apply the new instrument, called wavelet analysis, to investigate the relation of exchange rate to price ratio (PPP proposition) and the relation of exchange rate and interest rates (UIRP proposition). Finally, I concentrate on the specific movements in exchange rate that leads to currency crises. The second chapter introduces wavelet analysis which has been extensively applied to many situations with favourable results. Many researchers are expanding wavelet application in a variety of fields such as signal processing, physics and astronomy. It has remarkable potential properties that can be applied in the disciplines of economics and financial. The first attempt of this chapter is to introduce wavelet analysis in an intuitive manner. The next step involves reviewing the potential and possible contributions of wavelet analysis in empirical economic and finance literature. I also examine the validity of short-run and long-run purchasing power parity (PPP) hypothesis applying wavelet analysis. The results indicate that the impact of price ratio on exchange rates are positive and close to unity. The findings confirm that the PPP holds for long-run horizon. The third chapter deals with examining the relationship between spot exchange rates and the interest rate differentials (UIRP) for ten bilateral currencies against the Pound Sterling in short and long time horizons, simultaneously. The distinguishing feature of this study is to apply wavelet transform to decompose the time series into short-run and long-run time horizons. I find out both negative and positive relationships between exchange rates and interest rate differentials. The former is supported by the fixed-price model in short-run and the latter is supported by flexible-price model in long-run. In the forth chapter, I evaluate the potential leading indicators of a currency crash by applying a quarterly panel of 26 developing and developed countries. I split the definition of currency crashes according to different generations of the currency crises in the literature. Based on two different definitions, I use two binomial logit models, which provide estimations of the probability of a currency crash occurring. The empirical results reveal that domestic credit growth rate, ratio of reserves to GDP, current account, output growth rate, and ratio of national debt to GDP are consistently associated with the early warning theory. According to definitions provided by this chapter, the findings show that current account and GDP growth rate in the developing countries and current account and national debt in the developed countries are significantly related to the crash incident. This chapter also criticizes the previous papers for their construction of exchange rate overvaluation indicator and proposes a recursive Kalman filter to express overvaluation. The findings confirm that overvaluation of exchange rate is not an appropriate predictor of currency crashes unlike previous studies.

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Olalere, Durodola Oludamola. "An empirical investigation into the determinants of stock market behaviour in South Africa." Thesis, Rhodes University, 2007. http://hdl.handle.net/10962/d1002733.

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The argument with regards to whether macro-economic fundamentals determine stock market behaviour is very important because of the roles it plays in an economy. Such roles include: pooling and trading of risks, mobilization of savings, provision of liquidity and allocation of capital. However, the stock market will only perform such roles effectively if the macro-economic environment is conducive. This study examined the behaviour of the All Share Index (ALSI) and market capitalization on the Johannesburg Stock Exchange in response to changes in the domestic and international macro-economic fundamentals such as the consumer price index, rand-dollar real exchange rates, domestic GDP, yield on South African government bonds, yield on United States government bonds and United States GDP. The study used cointegration and error correction techniques proposed by Johansen and Juselius (1990) to test for long run relationship. Two separate models were estimated and results obtained show that the two proxies for the stock market behaviour (All share Index and market capitalization) are true endogenous variables, but react differently to economic fundamentals. The consumer price index has a significant negative impact on the JSE share price index while market capitalization is determined predominantly by the yield on South African government bonds. The exchange rate seems to have had little or no influence on the share price index, but becomes negative and significant in the case of market capitalization. The yield on United States government bonds also produced a strong influence on both the share price index and market capitalization. While it has a negative significant impact on share prices, it produced a positive significant impact on market capitalization. In order to ascertain whether the South African interest rate or the United States interest rate is more important in explaining the share price and market capitalization, each of the variables were estimated in the model separately, the result obtained reveals that the United States interest rate is more important than the domestic interest rate in explaining the share price and market capitalization on the JSE. This implies that investors need to observe the USA interest rate before investing in South African equities. A comparison of the responses of share price index and market capitalization to impulses from the macro-economic variables tested reveals that both proxies elicit a positive response from aggregate output. The share price index responds more significantly to impulses from output growth than the market capitalization, meaning that, as aggregate production increases, the share price index tends to respond positively and quickly. The exchange rate produced mixed result from the two proxies, while it produced a positive response from the market capitalization; an initial positive response was noted in the share price index that immediately turned negative. Another glaring contrast was identified in the response of both proxies to impulses from the United States interest rate. The share price index responded positively while the market capitalization produced a negative response. This finding reveals that the two proxies actually respond differently to macro-economic variables. The variance decomposition of both stock prices and market capitalization reveals that the yield on United States government bonds has a more significant absorption potential than the South African government bonds. However, the absorption process is slower in the case of the market capitalization. The exchange rate has a greater impact on the market capitalization than stock prices. The overall assessment shows that share prices respond faster than market capitalization to macro-economic fundamentals. The study also shows that the increased openness of the South African economy by way of relaxation of the exchange control on capital account transaction has allowed the USA market to play a crucial role in equity prices in South Africa. Three main policy recommendations results from the study. Firstly, if inflation is well monitored, then the local equity market is bound to perform strongly resulting in strong shares earning growth. Secondly, the exchange rate should be made to be less volatile so that long term investment plans across borders can be further enhanced. Thirdly, financial analyst and investors in South Africa need to analyse macro-economic developments in the United States before investing in equities in South Africa.

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Willett, Thomas Clifford. "Magnetic adsorbents displaying switchable ion-exchange behaviour." Thesis, University of Birmingham, 2009. http://etheses.bham.ac.uk//id/eprint/507/.

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Magnetic bioseparations based on non-porous adsorbents offer a low-fouling alternative to the porous materials required by conventional adsorbent separation techniques. Interest in magnetic bioseparations has been limited by the high cost of suitable magnetic absorbents. In this study a variety of techniques - including Ce(IV) initiation, surface ATRP and sulfonyl activation – were used to graft ion-exchanging polyelectrolyte surfaces on low cost non-porous polyvinyl alcohol-magnetite supports. Grafting of poly(2-vinyl pyridine) and poly(methacrylic acid) was fully characterised using solid and liquid state FTIR. Dense polyelectrolyte layers were seen, with Ce(IV) grafted layers accounting for up to 49% of grafted support mass. Values for ATRP and tresyl activations were 41% and 25% of support mass respectively. These included layers which correspond to the brush regime (2R$_f$/D > 8), as determined by Flory Radius calculations. The above matrices were subsequently analysed with bind and elute studies using a model mixture of acidic and basic proteins. Switchable ion-exchange behaviour was demonstrated, with anion binding capacity >25 mg/g support at pH 5 and cation binding >25 mg/g seen for Ce(IV) grafted supports. Improved elution by pH was also seen, with up to 73% of bound lysozyme removed during a single elution at pH 5.

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Allsopp, Louise. "The behaviour of speculators in foreign exchange markets." Thesis, University of York, 1999. http://etheses.whiterose.ac.uk/10813/.

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17

Mapenda, Rufaro. "Exchange rates behaviour in Ghana and Nigeria: is there a misalignment?" Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002710.

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Exchange rates are believed to be one of the major driving forces behind sustainable macroeconomic growth and it is therefore important to ensure that they are at an appropriate level. Exchange rate misalignment is a situation where the actual exchange rate differs significantly from its equilibrium value, resulting in either an overvalued or an undervalued currency. The problem with an undervalued currency is that it will increase the domestic price of tradable goods whereas an overvalued currency will cause a fall in the domestic prices of the tradable goods. Persistent exchange rate misalignment is thus expected to result in severe macroeconomic instability. The aim of this study is to estimate the equilibrium real exchange rate for both Ghana and Nigeria. After so doing, the equilibrium real exchange rate is compared to the actual real exchange rate, in order to assess the extent of real exchange rate misalignment in both countries, if any such exists. In order test the applicability of the equilibrium exchange rate models, the study draws from the simple monetary model as well as the Edwards (1989) and Montiel (1999) models. These models postulate that the variables which determine the real exchange rate are the terms of trade, trade restrictions, domestic interest rates, foreign aid inflow, income, money supply, world inflation, government consumption expenditure, world interest rates, capital controls and technological progress. Due to data limitations in Ghana and in Nigeria, not all the variables are utilised in the study. The study uses the Johansen (1995) model as well as the Vector Error Correction Model (VECM) to estimate the long- and the short-run relationships between the above-mentioned determinants and the real exchange rate. Thereafter the study employs the Hodrick-Prescott filter to estimate the permanent equilibrium exchange rate. The study estimates a real exchange rate model each for Ghana and Nigeria. Both the exchange rate models for Ghana and Nigeria provide evidence of exchange rate misalignment. The model for Ghana shows that from the first quarter of 1980 to the last quarter of 1983 the real exchange rate was overvalued; thereafter the exchange rate moved close to its equilibrium value and was generally undervalued with few and short-lived episodes of overvaluation. In regard to real exchange rate misalignment in Nigeria prior to the Structural Adjustment Program in 1986 there were episodes of undervaluation from the first quarter of 1980 to the first quarter of 1984 and overvaluation from the second quarter of 1984 to the third quarter of 1986; thereafter the exchange rate was generally and marginally undervalued.

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Barnsley, Lester Clinton. "Exchange Bias in Manganese Alloys with Mixed Magnetic Behaviour." Thesis, Griffith University, 2012. http://hdl.handle.net/10072/367858.

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Exchange bias has been a well known property of materials consisting of a ferromagnet interfaced with an antiferromagnet for many years, and the anisotropy resulting from the interaction has recently been nominated as a possible means for overcoming the superparamagnetic limit in high-density magnetic information storage media. However, a generalized theoretical description of the phenomenon remains elusive. More recently, analogues between the exchange bias eect and the behaviours of spin glass materials have become increasingly recognized. In this thesis, the analogues between exchange bias and spin glass systems are explored in a set of concentrated spin glass samples that exhibit a strong sensitivity to short range order of magnetic entities. A number of models were developed to analyze and account for the measurements of magnetization made on these samples. The rst was a simple, empirical model, based on an approximation of non-interacting, monodisperse, superparamagnetic clusters against a paramagnetic background to t single branches of minor hysteresis loops. In this model, the parameter to describe the coercive eld was added ad hoc. Another, more sophisticated, model was based on a modied Stoner-Wohlfarth expression for magnetic clusters and applied to the data using Monte Carlo simulations. The best ts resulted from this model when the cluster easy axis orientations were allowed to have a Gaussian distribution.
Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
School of Biomolecular and Physical Sciences
Science, Environment, Engineering and Technology
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19

Gwebu, Excellent Zibhekele. "Transient boiler heat exchanger thermal behaviour analysis." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/13230.

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Includes bibliographical references.
Coal fired power plants that were built in the past four decades are aging. The main aging mechanisms are creep and thermal fatigue. Creep results from the high temperatures at which the components operate. Thermal fatigue is due to thermal stresses and these stresses result from temperature gradients within the material. Cycling of these thermal stresses accelerate the creep in a process called creep- fatigue aging. The boiler and its final heat exchangers and headers are the main components that are affected by these mechanisms. The aging of these components results in high maintenance costs, reduction of the plant reliability and availability, and contribute to increased safety risks for the plant and personnel. Therefore, there is a need to understand the steady state and dynamic behaviour of the components of these plants in order to predict the stresses that the material experience. This report discusses an investigation to the possibility of modelling the thermal dynamic behaviour of typical boiler heat exchanger components which have to withstand the highest temperature of a Pulverised Fuel Rankine cycle power plant. Thus, illuminating the issues that need to be addressed in modelling such heat exchangers. Modelling approaches of heat exchangers are systematically presented, starting with the use of exact analytical solutions. This is followed by the application of finite volume numerical method. Finishing off with the use of the Flownex software. The exact analytical solutions are used to characterise the transient temperature distribution in solid materials with simplified heat transfer, highlighting the dependence of the solutions on the Fourier number and Biot number. These solutions are further used to calculate thermal stresses generated in the material, illustrating the relationship between thermal stresses and temperature gradients. Furthermore, a finite volume solution is applied to modelling an infinitely long tube. I t is illustrated that for transient conduction heat transfer problems, the solution depends on both physical space discretisation and time- wise discretisation. The numerical solution is verified against the exact analytical solution. Finally, the Flownex software is used to illustrate the issues that need to be addressed when modelling the transient behaviour of a heat exchanger . For this purpose only the average area discretisation scheme is used since it allows for any generic solid structure to be modelled, provided that the appropriate level of discretization is applied. The Flownex modelling starts by modelling transient conduction heat transfer within an infinitely long tube. The Flownex solution is verified against the finite volume numerical solution. The Flownex solution depends on thickness discretisation, especially for thick cylindrical components. Finite tubes are also modelled on Flownex including axial discretisation and layout simplification of the tubes. Flownex is also used to model a heat exchanger bundle using two methods; a tube by tube method and a method that involves the combination of all ii the tubes into one tube. The product of the thermal resistance and the capacitance of the system governs the transient simulations for both methods.

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Katechos, Georgios. "The short term behaviour of exchange rates : a middle ground approach." Thesis, University of Hertfordshire, 2012. http://hdl.handle.net/2299/8731.

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The understanding of the mechanism determining exchange rates is still an unsolved puzzle in the field of international economics. In the search for the underlying causes of the failure of existing approaches to explain a large proportion of short term exchange rate movements, our review of methodology literature revealed that a significant number of scholars consider the methodological approach employed by mainstream economics as a main cause for the disappointing result of established approaches. In particular, the excessive use of formal modelling and quantitative data as well as the use of oversimplified assumptions has been criticized. In response to this critique we chose to use a more pluralistic approach in our research methodology by employing both qualitative as well as quantitative data analysis. For the analysis of qualitative data, we employed an approach based on grounded theory principles, where we analyze Reuters Foreign exchange market reports. The findings of the qualitative data analysis show that, based on market practitioners commentary, there are two predominant variables affecting exchange rates. First, expectations on interest rate changes appears to be a major variable affecting currency value. An upward revision of interest rate expectations usually suggests an increase in the value of the currency concerned and vice versa. Second major variable affecting exchange rates appear to be global equity returns. In contrast to interest rates, which is a country specific variable, global equity returns is a global variable affecting currencies based on their relative interest rate levels and safe haven attributes. In particular, it is suggested that higher yielding currencies’ value is positive related to global equity returns, while low/lower yielding and safe haven currencies’ value is negatively related to global equity returns. The empirical test we performed to explore the relationship between exchange rates and global equity returns suggest that they are indeed linked. The sign of the relationship depends on the characteristics of the currencies examined. When equity prices increase, currencies with higher interest rates tend to appreciate, whereas currencies with lower interest rates tend to depreciate and vice versa. In addition, the strength of the relationship depends to some extent on relative interest differentials. A stronger relationship is observed when interest differentials are relatively large, while the explanatory power of the model is reduced when interest rate differentials are relatively narrow. Our study presents evidence on the role of stock markets in exchange rate determination which is considerable different to the focus of current theory. Whereas current research focuses on stock market’s relative stock market returns in the respective countries, the findings of this thesis suggests that global stock market returns affect exchange rate movements based on differentiated characteristics of different currencies. Another important contribution of this thesis is that we illustrate the complexity of interactions and links among different variables. For example, whereas interest changes were seen as positively correlated to the home currency value, the relationship was seen as being reversed because of the possible effect of higher interest rates on the subprime crisis. Another example of complex links is the relationship between exchange rates and equity markets. For example, whereas the USD effective exchange rate was not related equity returns during the initial stages of the subprime crises, the strength of the relationship increased significantly when the crisis escalated and the demand for USD increased due to safe haven flows.

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Merz, Florian. "Random-bonds Ising models, quantum localisation and critical behaviour in two dimensions." Thesis, University of Oxford, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.275257.

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Polatoğlu, İlker Özkan Fehime. "Chemical behaviour of clinoptilolite rich natural zeolite in Aqueous medium /." [S.l. : s.n.], 2005. http://library.iyte.edu.tr/tezler/master/kimyamuh/T000352.pdf.

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Thesis (Master)--İzmir Institute Of Technology, İzmir, 2005.
Keywords: Natural zeolite, clinoptilolite, aqueous media, ion exchange, adsorption. Includes bibliographical references (leaves . 70-73).

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Marshall, Peter John 1960. "Rational versus anchored traders : exchange rate behaviour in macro models." Monash University, Dept. of Economics, 2001. http://arrow.monash.edu.au/hdl/1959.1/9048.

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Bing, Wang. "The Renminbi exchange rate long-run behaviour and its determinants." Master's thesis, Instituto Superior de Economia e Gestão, 2009. http://hdl.handle.net/10400.5/1178.

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Mestrado em Economia e Estudos Europeus
There has been an enormous global focus on the renminbi foreign exchange regime since 2002, which led a strong currency appreciation expectation. In this paper, we try to estimate the renminbi long-run exchange rate behaviour from economic point of view. When one asks whether the value of the renminbi should appreciate substantially in the future, we should be aware there is a distinction between appreciation pressure and necessity of appreciation. Therefore, at beginning of this paper, we fist analyze the background of this topic and introduce specific Chinese foreign exchange regime. In order to attempt to estimate the renminbi long-run exchange rate behaviour, we measured the size of misalignment between the renminbi real exchange rate and the equilibrium exchange rate with a co integration reduced single equation method. We also analyze the renminbi revaluation determinates and the impacts to Chinese long term economic growth.
Nos últimos anos, o regime monetário chinês tem sido objecto de um crescente atenção a nível mundial. Alguns defendem que um novo equilíbrio entre a China e os EUA está em formação, o que levará a uma nova relação entre as moedas chinesa e americana, e a uma desvalorização do renminbi. Existe também um sentimento de que à um não balanceamento macroeconómico considerável na economia mundial. O processo de ajustamento deste equilíbrio irá envolver vários elementos, um dos quais se espera ser a taxa de câmbio da moeda chinesa. Esta tese, procura estimar o comportamento a longo prazo da taxa de câmbio do renminbi do ponto de vista económico. Quando se questiona se o valor do renminbi se ira reforçar substancialmente no futuro, deveremos ter em atenção que existe uma distinção entre a pressão para se apreciar e necessidade de se apreciar. Nesta tese, para se ter o correcto enquadramento, é analisado o regime chinês de taxa de câmbio ao longo da história. Para tentar estimar a longo prazo o comportamento da taxa de câmbio do renminbi, é medido o diferencial entre a taxa de câmbio real do renminbi e a taxa de câmbio de equilíbrio, com a ajuda do método de equação única reduzida de co- integração. A análise dos factores que influenciam a alteração do valor do renminbi, e o impacto no crescimento a longo prazo da economia chinesa, são também objecto de estudo.

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Elliott, Lawrence. "Needle exchanges : service delivery, uptake and risk behaviour." Thesis, University of Glasgow, 1995. http://theses.gla.ac.uk/38967/.

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HIV among drug injectors had become a major problem in Scotland by the early 1990s. Of a total of 1,943 HIV infections reported in Scotland up to the end of 1991, 991 (51%) were related to injecting drug use (IDU). The threat of HIV spreading among drug injectors in Glasgow was intensified by a dramatic increase in the number of injectors in the early 1980s. This increase in injecting, together with the threat of HIV posed an enormous problem for existing drugs services in Glasgow. In 1986, the World Health Organisation suggested that supplying sterile needle and syringes to drug injectors could contribute to HIV. The decision to set up needle exchanges in the UK was made by Government in 1986. The first three needle exchanges in Scotland were opened in Glasgow (Ruchill Hospital), Dundee and Edinburgh in 1987. By 1992 there were eight needle exchanges operating in Glasgow. Research conducted up to 1991, (when the work for this thesis began), indicated that were eight key questions which should be answered in the course of an evaluation into needle exchanges. The answers to these questions were debated in the published literature. Four related to service delivery and four to service impact. These are central to this thesis.

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Laferrere, Alice Marie. "Corrosion behaviour of extruded heat exchanger aluminium alloys." Thesis, University of Manchester, 2012. https://www.research.manchester.ac.uk/portal/en/theses/corrosion-behaviour-of-extruded-heat-exchanger-aluminium-alloys(b87d214e-88fd-49e1-87a8-3b58f53748f6).html.

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Extruded Al-Mn alloy are used in heat exchanger applications due to their light weight and good thermal conductivity. Depending on the application, the units may be subjected to external corrosion, which can lead to perforation of the tube. The industrial test most commonly used to assess heat exchanger alloys is the seawater acetic acid test (SWAAT). This is a cyclic fog at 40°C and pH 2.9. In the present study, it was found that pits developing in extruded Al-Mn tubes during the SWAAT test are purely crystallographic. Furthermore, a mechanistic understanding for crystallographic pitting has been developed. The SWAAT test can be of relatively long duration and, typically, does not yield information on the underlying corrosion initiation and propagation mechanisms. In the present study, alternate methods to assess pitting corrosion were elaborated. A drop testing procedure has been successfully implemented to study the mechanism of pit initiation. It was revealed that pits initiated within the aluminium matrix in the vicinity of grain boundaries. A close link between large second-phase particles and pit initiation was established. No preferred grain orientation for pit initiation was evident. Scanning electron microscopy and associated tomography were undertaken for the first time to clarify the mechanism of pit propagation. The pit walls were oriented {100}, while the fast-dissolving planes were {110} and {111}. The findings were in accordance with previous literature. Corrosion penetrated deeper into the alloy when the corrosion front was close to a grain boundary. Pit walls were cathodic to the aluminium matrix, possibly due to enrichment of alloying elements at pit walls. The effect of alloy additions on the corrosion behaviour of extruded aluminium alloys was investigated. Alloys with varying copper, iron and manganese contents were compared. Shot noise analysis and post-mortem analyses were undertaken. The increased amount of manganese in solid solution delayed the transition from micropits to stable pitting. This delay is attributable to second-phase particles that are less cathodic to the aluminium matrix in alloys with increased manganese content. Increasing copper decreased the size of the dissolved polyhedra during stable pitting. Furthermore, pits propagated faster in alloys rich in copper. This could be attributed to an increased level of copper enrichment at the pit walls. Finally, more second-phase particles were present in alloys with increased iron levels. Additionally, pits located in those alloys propagated deeper than pits located in alloys with low levels of iron. A competition between two different types of cathodes, enrichment layer and second-phase particles, is suggested. In conclusion, the effect of microstructure and alloy additions on the corrosion mechanism for crystallographic pitting developed during the project was clarified.

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Colyer, Lorna Marie. "Recrystallization processes in transition metal exchanged zeolite-A." Thesis, Keele University, 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.297204.

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28

Munetsi, Raramai Patience. "Testing the influence of herding behaviour on the Johannesburg Securities Exchange." University of the Western Cape, 2018. http://hdl.handle.net/11394/6815.

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Magister Commercii - MCom
Since the discovery of herding behaviour in financial markets in the 1990s, it has become an area of interest for many investors, practitioners and scholars. Herding behaviour occurs when investors and market participants trade in the same direction during the same time period, as a result of the influence of other investors. Studies on herding behaviour have been undertaken in both the developed and developing economies and majority of these studies have confirmed the existence of herding behaviour in the stock markets. Despite its tremendous growth, the South African financial markets are not immune to such market anomaly. Herding behaviour on the JSE was first investigated in 2002 focusing in the unit trust industry on the South African stock market. Motivated by this, this study assessed the presence of herding behaviour using the Johannesburg Securities Exchange tradable sector indices. Four indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period from January 2007 to December 2017. The industrials index ((FINI15) constitutes of 25 largest industrial stocks by market capitalization, the financials index (FINI15) comprises of 15 largest financial stocks by market capitalization, the resources index (RESI10) which represents 10 largest resources stocks by market capitalization and lastly the FTSE/JSE All Share Index defined as a market capitalization-weighted index which is made up of 150 JSE listed companies and is the largest index in terms of size and overall value JSE. The FTSE/JSE All Share Index was used as a benchmark for investors to check how volatile an investment is. The South African economy experienced the effects of the 2008 global financial crisis from 01 July 2007 to 31 August 2009. This study split the examination period into three categories namely before the global financial crises which was the period starting from 1 January 2007 to 30 June 2007, then the period during the global financial crisis which was from 1 July 2007 to 31 August 2009 and lastly the period after the global financial crises which was from 1 September 2009 to 31 December 2017. Apart from the diversity of the indices, the length of the examination period also had a significant influence towards the magnitude of herding behaviour on the JSE.

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Coen, Stephanie. "NEXUS Portal Vol. 3, No. 2 (Spring 2009) ~ Special issue on knowledge exchange." NEXUS, 2009. http://hdl.handle.net/2429/15375.

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30

Fernando, Santos Almeida Alvaro. "Monetary policy strategy and the behaviour of exchange rates : an empirical investigation." Thesis, London School of Economics and Political Science (University of London), 1998. http://etheses.lse.ac.uk/2611/.

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This thesis studies several aspects of the strategy which central banks follow in implementing monetary policy and its implications for the behaviour of exchange rates. The first chapter provides an introduction to the thesis and a review of the relevant literature. The following two chapters analyse the effects of information releases on the high frequency behaviour of the DEM/USD exchange rate, and investigate how these effects are related to the central banks' policy decisions and their strategy for disclosing information to the market. Chapter 2 studies the effects of monetary policy signals released by the Deutsche Bundesbank and the US Federal Reserve, showing that they have a strong impact on exchange rates, and that these effects depend on the channel used to release the policy information, and on when the information is released. Chapter 3 extends this analysis by examining the reaction to publicly announced macroeconomic information emanating from Germany and the US, and associates this reaction with market expectations regarding future monetary policy decisions and the timing of the announcement of those decisions. Alternative monetary policy frameworks and their implication for the behaviour of exchange rates are the topic of the following three chapters. Chapter 4 examines the policy framework in 44 developing countries, covering topics such as the choice of price stability as the objective for monetary policy, the potential conflicts between achieving this objective and other functions of the central bank (in particular the maintenance of financial stability), and central bank independence. Chapter 5 analyses the experience of seven countries that have adopted a policy strategy centered on inflation targets, and investigates how this affected the behaviour of the central banks. Chapter 6 investigates the implications of the strategies analysed in the previous chapters for the stability of financial markets, using price data for several financial assets from a panel of eighteen OECD countries. Finally, Chapter 7 summarises the conclusions of the thesis and provides suggestions for further work.

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Luo, Jinhui. "Order flow, information and trading behaviour in foreign exchange and equity markets." Thesis, London School of Economics and Political Science (University of London), 2004. http://etheses.lse.ac.uk/1724/.

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It has been shown in the literature that under asymmetric information, trading process itself is a part of pricing mechanism and order flow is the vehicle of information transmission and has a profound impact on prices. This thesis is composed of three major closely connected parts on order flow economics: (1) exchange rate determination and inter-market order flow effect, (2) market conditions and order flow impact and (3) limit order execution and microstructure factors. The first part of this thesis empirically investigates the price impact of order flow in four major currency markets and the results show that order flow has strong impact on exchange rates in all four markets and over various sampling frequencies. In a new result, inter-market effect is discovered where exchange rate movements in one market can be explained by the order flow in other relevant markets. In terms of forecasting ability, the order flow model out-performs random walk model that has so far beaten all macro-based exchange rate models. The second part addresses the dependence structure between flow and price change in the FX markets and finds that flow-return relationship is not linear as assumed in the previous literature. Order flow tends to be more informative and has larger impact on prices when market spreads are large, volume is low or volatility is high. These results cannot be fully explained by existing micro structure models. The last part of thesis studies how limit order execution probability is affected by microstructure factors. Using the tick data from the London Stock Exchange, it is demonstrated that price aggressiveness, spread and potential market pressure have significant impacts on the limit order execution.

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Lai, Man Kit. "Market transparency and intra day trade behaviour in the London Stock Exchange." Thesis, London Business School (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243805.

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Van, der Meulen Nicholas. "Ion exchange behaviour of 42 selected elements on AG MP-50 cation exchange resin in nitric acid and citric acid mixtures." Thesis, Stellenbosch : University of Stellenbosch, 2003. http://hdl.handle.net/10019.1/16452.

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Thesis (MSc)--University of Stellenbosch, 2003.
ENGLISH ABSTRACT: The equilibrium distribution coefficients of 42 elements [Li(I), Na(I), K(I), Rb(I), Cs(I), Sc(III), Ti(IV), V(IV), V(V), Mn(II), Fe(III), Ni(II), Zn(II), Al(III), Ga(III), As(V), Y(III), Zr(IV), Nb(V), Mo(VI), Cd(II), In(III), Sn(IV), Sb(V), Ta(V), W(VI), Pb(II), Bi(III), La(III), Ce(III), Th(IV), U(VI), Co(II), Ag(I), Ge(IV),Mg(II), Sr(II), Ba(II), Tb(III), Yb(III), Cr(III) and Cu(II)] on Bio Rad AG MP-50 macroporous cation exchange resin in varying citric acid – nitric acid mixtures were successfully determined. The equilibrium distribution coefficients of these selected elements were determined in 0.1 M and 0.25 M citric acid at various concentrations of nitric acid, namely, 0.2 M, 0.5 M, and 1.0M, respectively. Two component [Mo(VI)-Y(III); Zr(IV)-La(III) and As(V)-Zn(II)] and three component [Nb(V)-Ta(V)-V(V)] elemental separations on a 10 ml AG MP-50 resin column were successfully determined to illustrate how the results of the above equilibrium distribution coefficients can be utilised. From the equilibrium distribution coefficients obtained for magnesium(II) and sodium(I), a proposal was put forward to modify the current sodium-22 production performed at iThemba LABS. While the results did not predict a possible separation between the two elements, a theory concerning the use of citric acid in the production was proven not to hold under the chosen conditions.
AFRIKAANSE OPSOMMING: Die ewewig verdelingskoëffisiënte van 42 elemente [Li(I), Na(I), K(I), Rb(I), Cs(I), Sc(III), Ti(IV), V(IV), V(V), Mn(II), Fe(III), Ni(II), Zn(II), Al(III), Ga(III), As(V), Y(III), Zr(IV), Nb(V), Mo(VI), Cd(II), In(III), Sn(IV), Sb(V), Ta(V), W(VI), Pb(II), Bi(III), La(III), Ce(III), Th(IV), U(VI), Co(II), Ag(I), Ge(IV),Mg(II), Sr(II), Ba(II), Tb(III), Yb(III), Cr(III) en Cu(II)] is op Bio Rad se AG MP-50 makroporeuse kationiese uitruilerhars in verskillende sitroensuur – salpetersuur mengsels met sukses bepaal. Die verdelingskoëffisiënte is in 0.1 M en 0.25 M sitroensuur met verskillende konsentrasies van salpetersuur (0.2 M, 0.5 M en 1.0 M) bepaal. Twee-komponent [Mo(VI)-Y(III); Zr(IV)-La(III) en As(V)-Zn(II)] en drie-komponent [Nb(V)-Ta(V)-V(V)] skeidings op ’n 10 ml AG MP-50 harskolom is suksesvol bepaal om te demonstreer hoe die verdelingskoëffisiëntresultate gebruik kan word. As ’n uitvloeisel van die verdelingskoëffisiëntresultate vir Mg(II) en Na(I), is ’n voorstel ingedien om die huidige natrium-22 produksiemetode, tans in gebruik by iThemba LABS, te modifiseer. Die resultate het nie ’n skeiding tussen die twee elemente voorspel nie, maar het bewys dat ’n teorie oor die gebruik van sitroensuur in die produksie nie heeltemal korrek was onder die huidige toestande nie.

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Tang, Leilei. "International market issues in Shanghai stock price behaviour." Thesis, University of Southampton, 2001. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.364728.

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35

Marais, Carl. "An evaluation of the South African equity market’s progress towards developed market behaviour." Diss., University of Pretoria, 2008. http://hdl.handle.net/2263/23147.

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Over the period from January 1997 to December 2007 the South African equity market has been the target of a number of reforms initiated by both the Johannesburg Securities Exchange (JSE) and the South African government. From a review of current emerging markets and financial liberalisation literature, we identify the market attributes that differ between emerging and developed equity markets or that are changed significantly by the financial liberalisation process. The attributes are: · Correlation with major world equity markets · Distribution of returns · Market efficiency · Share price volatility · Stock price synchronicity · Implicit transaction costs Using the FTSE/JSE Top 40 Index as the basis, we conducted a longitudinal study contrasting the values of these attributes for the period 1997 to 1998 with those for the period 2006 to 2007. We then used these results to assess whether the South African equity market has become more like a developed equity market in its behaviour. We find that the South African equity market has made statistically significant progress towards developed market behaviour for all attributes apart from stock price synchronicity. We ascribe the higher level of stock price synchronicity to an increase in the number of resource and industrial shares included in the FTSE/JSE Top 40 Index. Overall we conclude that the South African equity market has become significantly more like a developed market in its behaviour. Copyright
Dissertation (MBA)--University of Pretoria, 2008.
Gordon Institute of Business Science (GIBS)
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36

Takaendesa, Peter. "The behaviour and fundamental determinants of the real exchange rate in South Africa." Thesis, Rhodes University, 2006. http://eprints.ru.ac.za/516/.

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37

Molele, Mashukudu Hartley. "Foreign exchange risk exposure, hedging behaviour, and corporate valuations: Evidence from South Africa." Thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/28412.

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The international business and finance literature documents a so-called exchange rate exposure puzzle. The exchange rate exposure puzzle refers to the apparent lack of empirical support for theories posited in the finance literature which predict that in the advent of an increasingly globalising world economy, nonfinancial firms should report high levels of foreign exchange risk exposure. The majority of the studies are based on the developed market context and the emerging markets of the ASEAN region. However, there is scant literature in the context of the emerging markets of the African continent. Considering that the estimation of foreign exchange risk exposure is based on the application of asset pricing models, and the fact that emerging markets are generally found to be partially segmented, the so-called exchange rate exposure puzzle cannot be generalised to the emerging markets of Africa. The general aim of the study was to examine the level of foreign exchange exposure of nonfinancial firms in South Africa, hedging behaviour and their effect on corporate value, taking into account idiosyncratic factors. Foreign exchange risk exposure were estimated at more than 40% for all for proxy currencies on the basis of the standard augmented market model. However, after controlling for idiosyncratic factors exposure levels were found to range between 6.5% and 12%. These results indicate the importance of controlling for the effects of idiosyncratic factors in the estimation of foreign exchange risk exposure in the context of emerging markets. Furthermore, the study found exposure levels to be time-varying with respect to the trade-weighted exchange rate. An indirect test of asymmetric exposure revealed results that are similar to those estimated on the basis of a more direct test in the form of a Nonlinear ARDL model and these were found to be higher than those estimated on the basis of the standard model. iii The study established that South African nonfinancial firms are likely to hedge using foreign currency derivatives when they have foreign sales, have lower interest coverage, have access to capital markets, are highly liquid, have higher gearing, and whose management have equity stakes in the firm. In contrast, South African nonfinancial firms were found to be more likely to hedge using foreign currency denominated debt when they are small in size, have foreign sales, are highly leveraged, have less growth opportunities, are highly liquidy. The magnitude of the marginal effects show that foreign sales is the single most important determinant of the decision to hedge using foreign currency denominated debt. In contrast, managerial incentives play no role in the decision to hedge using foreign currency denominated debt. Corporate currency risk management using foreign currency derivatives and foreign currency denominated debt was found to have no beneficial effects on corporate value. However, foreign currency denominated debt use was found to be much more effective than the use of foreign currency derivatives. The study identified the need for South African firms to adopt a more strategic approach in the management of economic foreign exchange risk exposure.

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38

Patel, Zubair. "Investors' Fear and Herding in the Johannesburg Stock Exchange (JSE)." Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/33929.

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Investors herd when they follow the investment decisions of other market participants and ignore their own private information, causing asset valuations to deviate from their fundamentals. This paper examines herding in the South African equity market by examining the impact of investor fear on herding behavior, using a survivorship-bias free daily dataset of companies within the JSE All Share Index over the period: 3 May 2002 to 31 December 2019. Using the cross-sectional absolute deviation (CSAD), this study examines market-wide herding behavior over multiple sub-periods, which consists of before, during and after the global financial crisis of 2007/08. The results suggest no evidence of herding towards the market return; on the contrary there is evidence of ‘anti-herding' behaviour during periods of market stress. However, there is significant herding towards the domestic fear index, which becomes more pronounced during the crisis period. Furthermore, investor herd behaviour appears to be sensitive to spill-over effects from the US investor fear-gauge, suggesting interconnectedness with global financial markets. Therefore, these findings suggest that fear plays an important role in enforcing irrational behaviour.

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Hansch, Oliver. "Aspects of the microstructure of competitive dealership markets : some empirical studies on the London Stock Exchange." Thesis, London Business School (University of London), 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243978.

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Lindgren, Kristina. "The Behaviour of the Latent Heat Exchange Coefficient in the Stable Marine Boundary Layer." Thesis, Uppsala University, Department of Earth Sciences, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-9140.

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Knowledge of the turbulent fluxes at the sea surface is important for understanding the interaction between atmosphere and ocean. With better knowledge, improvements in the estimation of the heat exchange coefficients can be made and hence models are able to predict the weather and future climate with higher accuracy.

The exchange coefficients of latent and sensible heat during stable stratification vary in the literature. Therefore it is necessary to investigate the processes influencing the air-sea exchange of water vapour and heat in order to estimate these values. With measurements from a tower and a directional waverider buoy at the site Östergarnsholm in the Baltic Sea, data used in this study have been sampled from the years 2005-2007. This site represents open-ocean conditions during most situations when the wind comes from the south-east sector. The neutral exchange coefficients, CEN and CHN, have been calculated along with the non-dimensional profile functions for temperature and wind to study the dependence of stability and other parameters of relevance.

It was found that CEN increased slightly with wind speed and reached a mean value of approximately 1.45×10-3. The highest values of CEN were observed during near neutral conditions and low wave ages. CHN attained a mean value of approximately 0.77×10-3 and did not show any relation to wind speed or to wave age. No significant dependence with wind or wave direction could be shown for either CEN or CHN in the sector 80-220°. The stability correction, performed to reduce the dependence on stratification for CEN and CHN, was well performed for stabilities higher than 0.15. The stability is represented by a relationship between the height and the Obukhov-length (z/L).

Validity of the non-dimensional profile functions for temperature and wind showed that, for smaller stabilities, these functions gave higher values than the corresponding functions recommended by Högström (1996). The profile funtions for temperature was shown to have a larger scatter while the profile functions for wind was less scattered and deviated more from the functions given by Högström

Kunskap om turbulenta flöden i det marina gränsskiktet är viktigt för att förstå växelverkan mellan atmosfär och hav. Med bättre kunskap kan förbättringar i bestämningen av utbyteskoefficienterna för latent och sensibelt värme erhållas. Det medför att modeller kan prognostisera väder och framtida klimat med högre noggrannhet.

Utbyteskoefficienterna för latent och sensibelt värme har för stabil skiktning olika värden i litteraturen. Detta gör det nödvändigt att undersöka de processer som påverkar utbytet av vattenånga och värme mellan luft och hav för att kunna bestämma dessa värden. Data som har använts i den här studien insamlades mellan år 2005 och 2007 från en boj och ett torn vid mätplatsen Östergarnsholm i Baltiska havet. För det flesta situationer, när vinden blåser från syd-ost, representerar mätplatsen ett förhållande likvärdigt det över öppet hav. De neutrala utbyteskoefficienterna, CEN och CHN, och de dimensionslösa profilfunktionera för temperatur och vind, och , har beräknats för att studera beroendet av stabilitet samt andra relevanta parametrar.

Beräkningarna visade att CEN ökade något med vindhastighet och hamnade på ett medelvärde av ungefär 1.45×10-3. De högsta värdena på CEN observerades vid nära neutrala förhållanden och låga vågåldrar. CHN uppmättes till att ha ett medelvärde på ungefär 0.77×10-3 och uppvisade inget beroende med vindhastighet eller vågålder. Inget märkbart beroende med vind- eller vågriktning kunde visas för CEN eller CHN i sektorn 80-220°. Stabilitetskorrektionen, utförd för att reducera beroendet av atmosfärens skiktning för CEN och CHN, var bra för stabiliteter högre än 0.15. Stabiliteten representeras av förhållandet mellan höjden och Obukhov-längden (z/L).

Utvärdering av de dimensionslösa funktionerna för temperatur och vind visade att dessa funktioner, för små stabiliteter, gav högre värden än motsvarande funktioner som rekommenderas av Högström (1996). Värdena på profilfunktionerna för temperatur hade större spridning än värdena på profilfunktionerna för vind och avvek mer från funktionerna givna av Högström.

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Suleiman, Hassan. "Oil price shocks, exchange rate dynamics and stock market behaviour : empirical evidence from Nigeria." Thesis, Abertay University, 2012. https://rke.abertay.ac.uk/en/studentTheses/239cb4ff-47e7-4512-a187-1cf3ec6e99bd.

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This thesis explores the relationship between oil price shocks, exchange rate dynamics and stock market behaviour in Nigeria using a variety of econometric specifications. The response of exchange rates and stock markets to oil price fluctuations is an issue of great interest to policy makers, monetary authorities and investors in both oil exporting and oil importing economies. Despite over 30 years of empirical research, there is still no consensus on their relationship, in addition there have been limited empirical efforts exploring this relationship for Nigeria. First, the thesis applies a Multivariate Vector Error Correction Model (VECM) and a Structural Vector Autoregression (SVAR) to investigate the interaction between real oil price, real exchange rate and productivity differentials. On the one hand results from the VECM suggest that, as predicted by the theoretical literature, oil price exercise a significant positive influence on Nigeria’s real exchange rate but contrary to the Balassa-Samuelson hypothesis, productivity differential exerts a significant negative influence on Nigeria’s real exchange rate. On the other hand, results from the SVAR analysis using short run restrictions do not offer much support for the theoretical literature on the impact of oil price shocks on exchange rates. The response of real exchange rate and productivity differentials to an oil price shock although positive is not statistically significant. Second, the thesis applies Generalised Autoregressive Conditional Heteroscedasticity (GARCH) class models to explore the influence of oil price return on exchange rate return in Nigeria during periods of extreme oil price volatility. Empirical estimates suggest that over the study period oil price return in Nigeria exercised a significant negative influence on exchange rate return. Third, on the relationship between oil price shocks and the stock market, the thesis employs a multivariate VAR along with a Generalised Impulse Response Function (GIRF) and Variance Decomposition (VDC) as well as an Ordinary Least Square (OLS) and Quantile Regression (QR) technique to examine the role of oil price on the Nigerian stock market. Results of the VAR analysis, OLS and quantile regression indicates that oil price changes do not play an important role in affecting real stock return in Nigeria. However, by employing the QR technique on a recent sample, overall results point to the importance of negative oil price changes in explaining movements in the Nigerian stock market lending credence to the view that the impact of oil price on the stock market occurs in the short run. Finally the thesis applies a DCC-IGARCH (1,1) to evaluate the dynamic correlation between oil prices and the Nigerian stock market. The dynamic correlation findings demonstrate a number of notable positive and negative correlations between the two. While the Nigerian stock market does not always move in the same direction with oil price, correlations between the two tend to increase and decrease over time. The results of this study are of value to policy makers and investors who are interested in understanding the response of exchange rates and stock markets to an oil price shock in Nigeria. In addition, the results are also transferable and generalizable to other oil exporting economies.

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42

Willis, Michael 1957. "The evaluation of behavioural, structural and educational delivery factors relating to the perceived success of Sino foreign university alliances." Monash University, Dept. of Marketing, 2004. http://arrow.monash.edu.au/hdl/1959.1/5446.

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Viljoen, Christo. "Price discovery, price behaviour, and efficiency of selected grain commodities traded on the agricultural products division of the JSE securities exchange." Thesis, Rhodes University, 2004. http://hdl.handle.net/10962/d1002686.

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Agricultural commodity derivatives were first introduced in South Africa in 1996 after the deregulation of the former marketing system. In the context of its proposed functions, namely price discovery and risk management, the question arose as to whether the futures market developed over time to performed its role efficiently. According to the Efficient Markets Hypothesis (EMH) an efficient market is one that accurately incorporates all information available at any point in time. The purpose of the research was to address the issue of price discovery efficiency, firstly, focusing on the weak-form methodology. Secondly, considering the behaviour of futures prices over time, the study addressed the concern of anomalies in daily returns – phenomena contradictory to the EMH by implication. Thirdly, as a means of defining the sources of inefficiency, the role of scheduled public information and its impact on futures prices was examined. Therefore, the primary objective of the research was to investigate and identify the main components of agricultural futures market inefficiency within the unique price formation structure of South African grain markets. The assessment of this problem is important in terms of evaluating the growth and development of the futures market for different grain commodities to date. The Exchange needs to review rules and regulations on a frequent basis in order to ensure proper functioning at all times especially in the case of a relatively new and fast growing market. The study contributed to the knowledge of understanding the price adjustment process and its implications for market efficiency in the context of the three grain markets considered. The weak-form efficiency was tested using a co-integration based model. Analysing daily spot and futures prices of white maize, yellow maize, and wheat, results indicated that all three markets were efficient and unbiased. Non-parametric tests revealed the significant presence of day-of-the-week and turn-of-the-month effects in the futures returns of the three commodities. Further non-parametric analyses suggested a high degree of uncertainty in futures returns around scheduled agricultural and macroeconomic information release dates also contributing significantly to the identified anomalies. It was concluded that (1) the markets’ ability to anticipate the contents of future information to be released, (2) the current skewed size distribution of broking members, (3) the significant role of the R/$ exchange rate in the price formation process of South African grains and, therefore, (4) the relationship to and influence of the broader economy enhanced the return effects (anomalies) creating opportunity for profitable arbitrage. This conclusion was mainly attributed to South Africa’s status as a price-taker in the world grain complex as well as the relatively short existence of the local agricultural futures markets.

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Mohamed, El-Emam A. E. "Analysis of behaviour and predictability of stock returns and volatility on the Egyptian stock exchange." Thesis, University of York, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.422541.

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45

Zhong, Mingdong. "The influence of leader-member exchange relationships on team members' relationships and knowledge sharing behaviour." Thesis, University of Warwick, 2017. http://wrap.warwick.ac.uk/103084/.

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The importance of innovation for organizational competitive advantage and effectiveness is widely accepted (Love et al., 2011). Because of its potential to increase innovation, knowledge sharing (KS) has been of growing interest to researchers and managers (Kamaşak & Bulutlar, 2010). It is suggested that knowledge sharing is more likely to occur in supportive conditions when individuals have high-quality relationships with their leaders and co-workers (Carmeli et al., 2013). The purpose of the present study is to examine the association between the workplace relationships in teams and knowledge sharing, and how the pattern of knowledge sharing in teams is associated with team innovation and team performance. Social exchange theory and the norm of reciprocity served as the theoretical foundation of the present study. A cross-sectional survey was utilized for data collection. The sample consisted of 223 members and 51 leaders from 51 teams which were collected from ten primary and middle schools as well as an aircraft corporation in Southern China. The results of the study demonstrated that both Leader-Member Exchange (LMX) and Team-Member Exchange (TMX) are positively associated with knowledge sharing at the individual and team levels. Furthermore, the results suggested a mediating effect of TMX between LMX and team-level knowledge sharing (team KS). In Addition, the result of the comparison of an individual’s own LMX with the average LMXs in the team (RLMX) was found to moderate the relationship between LMX and TMX. However, the expected negative relationship between the variation in LMX relationships in a team (LMX differentiation) and TMX was not statistically significant. Finally, the study also found that the pattern of knowledge sharing in teams is positively related to team innovation and team performance, such that teams with more people sharing knowledge have better innovation and performance than teams with only a few people sharing knowledge. The overall findings indicate that both LMX and TMX have a unique influence on knowledge sharing, and our understanding of how supportive social relationships influence wok outcomes should be expanded from looking at the vertical leader-follower relationship and the horizontal relationship with a team in isolation. Rather, the multi-level interactions of these two types of relationships should be considered together.

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46

Abdullah, Mat Saad. "Behaviour of the Kuala Lumpur Stock Exchange 1984-1994 : some comparative, descriptive and inferential analyses." Thesis, University of Warwick, 1996. http://wrap.warwick.ac.uk/73522/.

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The behaviour of a nation's stock market is increasingly seen as a barometer of its economic growth, strength and stability. While the behaviour of well established equity markets is well researched and documented, the behaviour of small and developing exchanges is still not much studied. This thesis examines and analyses some aspects of the behaviour of an emerging equity market known as the Kuala Lumpur Stock Exchange (KLSE) - the national stock exchange for Malaysia. To serve as the groundwork for our empirical investigation, this study begins with a survey of the related literature. The literature on efficient market hypothesis (EMH); the literature on various theories and models which are complementary and contradictory to the EMH - are reviewed. Empirically, four major aspects of the behaviour of the KLSE are examined. Using both share price indices and individual company share prices/returns for a sample period 1984:01 through 1994: 12, we study some statistical properties of stock returns, correlations with other markets, stock market forecastability and the presence of mean reversion/mean aversion in stock returns. The behaviour of the KLSE market indices are compared in several respects with the indices of selected developed markets. Our study has resulted a number of findings, some of which could be considered as intriguing and novel for a relatively unresearched market like the KLSE. Similar to many previous researches, our study has provided evidence that the distributions of stock returns are not normal. Rather, they are leptokurtic. Variances/standard deviations of stock returns on the KLSE were found to be large compared with, for example, the New York and London stock exchanges, but the realised returns were not significantly different for the period of study. The KLSE is found to be positively correlated with most foreign exchanges, although these correlations are far from unity. These correlations however, are not constant/stable through time. Our evidence also suggests that the Malaysian market tends to exhibit strong regional links. Additionally, the KLSE appears to have significant lagged correlations with a number of developed exchanges. Three equity markets are identified as the most influential foreign exchanges to the KLSE in terms of their comovements (and/or lagged correlations). They are, the Stock Exchange of Singapore, the Hong Kong Stock Exchange and the New York Stock Exchange. We found no evidence that the "forecastability" of stock prices/returns on the KLSE could be improved when an 'out-of-sample' forecasting procedure known as the multi-process models was employed. Moreover, we have found that the returns for some stocks are more forecastable than others. Variance ratio tests indicate that over long horizons, some stocks listed on the KLSE tend to exhibit mean reversion, some are mean aversive and the rest seem to follow a random walk. The present research has also raised a number of issues which might be interesting for further study. These issues are discussed in Chapter Seven of the thesis.

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Janari, Emile. "The behaviour of style anomalies on the Australian Stock Exchange : a univariate and multivariate analysis." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/15905.

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Includes bibliographical references.
Recent attempts to empirically verify the Sharpe (1964), Lintner (1965), Moss in (1966), and Black (1972) Capital Asset Pricing Model (CAPM) have identified numerous inconsistencies with the model's predictions. A number of variables have displayed evidence of the ability to explain the cross-sectional variation in share returns beyond that explained by data. These anomalous effect have become known as "style effects " or "style characteristics". This thesis sets out to examine the existence and behaviour of these style-characteristics over the period June 1994 to May 2004. A data set of 207 firm-specific attributes is created for all Australian Stock Exchange (ASX) All Ordinaries stocks listed on 1 September 2004. The data are adjusted for both thin trading and look-ahead bias. The study largely follows the tests of van Rensburg and Robertson (2003) who adopt the characteristic-based approach of Fama and Macbeth (1973). Attributes are tested for the ability to explain the cross-sectional variation in ASX share returns beyond that explained by the CAPM and a principal-components-derived APT model. Similar significant characteristics are found when unadjusted and both risk-adjusted returns sets are examined. The set of significant characteristics d e rived from the unadjusted returns test is then simplified using correlation analysis and an agglomerative hierarchical clustering algorithm, resulting in a list of 27 variables that are not highly correlated with each other. These characteristics are divided into nine interpretation groups or combinations thereof, namely: (1) Liquidity; (2) Momentum; (3) Performance; (4) Size; (5) Value; (6) Change in Liquidity; (7) Change in Performance; (8) Change in Size; and (9) Change in Value. While the existence of the anomalies found in prior Australian literature (size, price-per-share, M/B, cashflow-to-price, and short- to medium-term momentum) is confirmed, the PIE effect is not found to be significant in this study. As these previously documented anomalies only cover five of the final 27 characteristics, this paper identifies 2 2 new Australian anomalies. Six style-timing models are evaluated for the ability to forecast the monthly payoffs to the 27 characteristics. A twelve-lag autoregressive model convincingly displays the best performance against moving average and historic mean models. Parametric and nonparametric tests find inconclusive evidence of seasonality in the monthly payoffs to the attributes. The 27 significant style characteristics are then used to construct a multifactor style-characteristics model which comprises a set of factors that are significant when simultaneously cross-sectionally regressed on share returns. The employed construction method yields a five-factor style model for the ASX and comprises: (1) prior twelve-month momentum; (2) book-to-market value; (3) two-year percentage change in dividends paid; (4) cashflow-to-price; and (5) two-year percentage change in market-to-book value. Finally, a step wise procedure is performed using six style-timing models. Five dynamic multifactor expected return models are created and contrast with a static multifactor expected return model similar to that used in van Rensburg and Robertson (2003). The derived expected return models have between three and thirteen factors. While all six models display good forecasting ability, the dynamic (trailing moving average) models all perform better than the static (historic mean) model. This is convincing evidence that the asset pricing relationship follows a dynamic model.

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Schmidt, Markus A. "Information or market power : what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates /." Frankfurt, M. ; Berlin Bern Bruxelles New York, NY Oxford Wien : Lang, 2008. http://d-nb.info/989530582/04.

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Johanns, Renée C. "Exchange relationships at work, impact of violation, trust and commitment on employee behaviours and employer obligations." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk2/ftp04/mq24477.pdf.

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Sofat, Prakriti. "Do we need nominal rigidity? : accounting for exchange rate and inflation behaviour within a classical framework." Thesis, Cardiff University, 2006. http://orca.cf.ac.uk/55431/.

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In section two of the thesis the objective is to show that the degree of inflation persistence -- that is the extent to which an inflation shock does not fade away in subsequent quarters -- is not an inherent fixed characteristic of an economy, but if fact depends on the stability and transparency of the monetary policy regime in place. Given the large econometric evidence of high inflation persistence for the US and other OECD countries, many macroeconomists have concluded that high inflation persistence is a 'stylised fact' and that furthermore it is evidence for a 'New Keynesian' Phillips Curve in which inflation depends to a high degree on past inflation -- 'nominal rigidity'. To examine these claims for the UK, I begin by estimating regressions of inflation on its own past values for separate sample periods, for each of which the monetary policy regime was different.

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Dissertations / Theses on the topic 'Behavioural exchange'

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