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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.
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Weier, Annette 1960. "Demutualisation in the Australian life insurance industry." Monash University, Dept. of Economics, 2000. http://arrow.monash.edu.au/hdl/1959.1/8371.
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Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
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[Truncated abstract] This thesis examines competing asset-pricing models in Australia with the goal of establishing the model which best explains cross-sectional stock returns. The research employs Australian equity data over the period 1980-2001, with the major analyses covering the more recent period 1990-2001. The study first documents that existing asset-pricing models namely the capital asset pricing model (CAPM) and domestic Fama-French three-factor model fail to meet the widely applied Merton?s zero-intercept criterion for a well-specified pricing model. This study instead documents that the US three-factor model provides the best description of Australian stock returns. The three US Fama-French factors are statistically significant for the majority of portfolios consisting of large stocks. However, no significant coefficients are found for portfolios in the smallest size quintile. This result initially suggests that the largest firms in the Australian market are globally integrated with the US market while the smallest firms are not. Therefore, the evidence at this point implies domestic segmentation in the Australian market. This is an unsatisfying outcome, considering that the goal of this research is to establish the pricing model that best describes portfolio returns. Given pervasive evidence that liquidity is strongly related to stock returns, the second part of the major analyses derives and incorporates this potentially priced factor to the specified pricing models ... This study also introduces a methodology for individual security analysis, which implements the portfolio analysis, in this part of analyses. The technique makes use of visual impressions conveyed by the histogram plots of coefficients' p-values. A statistically significant coefficient will have its p-values concentrated at below a 5% level of significance; a histogram of p-values will not have a uniform distribution ... The final stage of this study employs daily return data as an examination of what is indeed the best pricing model as well as to provide a robustness check on monthly return results. The daily result indicates that all three US Fama-French factors, namely the US market, size and book-to-market factors as well as LIQT are statistically significant, while the Australian three-factor model only exhibits one significant market factor. This study has discovered that it is in fact the US three-factor model with LIQT and not the domestic model, which qualifies for the criterion of a well-specified asset-pricing model and that it best describes Australian stock returns.
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Oliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.
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Following the important work on unit roots and cointegration which started in the mid-1980s, a great deal of econometric works has been devoted to the study of the subtleties and varieties of near nonstationarity and persistence that characterize so many economic and financial time series. In recent years research activity has gained importance with outstanding contributions made on estimation and testing of a wide variety of long memory processes, together with many interesting and imaginative applications over a wide variety of different fields of economics and finance. For these reasons, this study provides empirical evidence to an aspect of fractional differencing and long memory processes, or the long memory of volatility. Evidence of long memory persistence is explored using stock price indices for eight emerging economies in both Asian and Latin American markets. The concern with the presence of long memory in higher moments of return series was first drawn by Ding, Granger and Engle (1993), using asset returns. Baillie, Bollerslev and Mikkelsen (1996) developed the fractionally integrated GARCH, or FIGARCH, process to represent long memory in volatility. The measure of long-memory persistence in the volatility is employed either using the original rescaled range statistic by Hurst (1951) and its modified version proposed by Lo (1991). Further analysis of the presence of long memory persistence is conducted using autocorrelation analysis. All the findings point in the same direction, that is, the existence of long memory in volatility irrespective of the measure chosen. Estimation of different models of volatility is undertaken beginning with the ARCH specification and until the FIGARCH model. The results show the effects to be higher in Latin American countries than in the Asian ones. This result seems consistent with the degree of intervention in the Latin American markets, known to be much higher.Other possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study.
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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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Enzinger, Sharn Emma 1973. "The economic impact of greenhouse policy upon the Australian electricity industry : an applied general equilibrium analysis." Monash University, Centre of Policy Studies, 2001. http://arrow.monash.edu.au/hdl/1959.1/8383.
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Forrester, David Edward Economics Australian School of Business UNSW. "Market probability density functions and investor risk aversion for the australia-us dollar exchange rate." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/27199.
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This thesis models the Australian-US Dollar (AUD/USD) exchange rate with particular attention being paid to investor risk aversion. Accounting for investor risk aversion in AUD/USD exchange rate modelling is novel, so too is the method used to measure risk aversion in this thesis. Investor risk aversion is measured using a technique developed in Bliss and Panigirtzoglou (2004), which makes use of Probability Density Functions (PDFs) extracted from option markets. More conventional approaches use forward-market pricing or Uncovered Interest Parity. Several methods of estimating PDFs from option and spot markets are examined, with the estimations from currency spot-markets representing an original application of an arbitrage technique developed in Stutzer (1996) to the AUD/USD exchange rate. The option and spot-market PDFs are compared using their first four moments and if estimated judiciously, the spot-market PDFs are found to have similar shapes to the option-market PDFs. So in the absence of an AUD/USD exchange rate options market, spot-market PDFs can act as a reasonable substitute for option-market PDFs for the purpose of examining market sentiment. The Relative Risk Aversion (RRA) attached to the AUD/USD, the US Dollar-Japanese Yen, the US Dollar-Swiss Franc and the US-Canadian Dollar exchange rates is measured using the Bliss and Panigirtzoglou (2004) technique. Amongst these exchange rates, only the AUD/USD exchange rate demonstrates a significant level of investor RRA and only over a weekly forecast horizon. The Bliss and Panigirtzoglou (2004) technique is also used to approximate a time-varying risk premium for the AUD/USD exchange rate. This risk premium is added to the cointegrating vectors of fixed-price and asset monetary models of the AUD/USD exchange rate. An index of Australia???s export commodity prices is also added. The out-of-sample forecasting ability of these cointegrating vectors is tested relative to a random walk using an error-correction framework. While adding the time-varying risk premium improves this forecasting ability, adding export commodity prices does so by more. Further, including both the time-varying risk premium and export commodity prices in the cointegrating vectors reduces their forecasting ability. So the time-varying risk premium is important for AUD/USD exchange rate modelling, but not as important as export commodity prices.
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Ji, Inyeob Economics Australian School of Business UNSW. "Essays on testing some predictions of RBC models and the stationarity of real interest rates." Publisher:University of New South Wales. Economics, 2008. http://handle.unsw.edu.au/1959.4/41441.
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This dissertation contains a series of essays that provide empirical evidence for Australia on some fundamental predictions of real business cycle models and on the convergence and persistence of real interest rates. Chapter 1 provides a brief introduction to the issues examined in each chapter and provides an overview of the methodologies that are used. Tests of various basic predictions of standard real business cycle models for Australia are presented in Chapters 2, 3 and 4. Chapter 2 considers the question of great ratios for Australia. These are ratios of macroeconomic variables that are predicted by standard models to be stationary in the steady state. Using time series econometric techniques (unit root tests and cointegration tests) Australia great ratios are examined. In Chapter 3 a more restrictive implication of real business cycle models than the existence of great ratios is considered. Following the methodology proposed by Canova, Finn and Pagan (1994) the equilibrium decision rules for some standard real business cycle are tested on Australian data. The final essay on this topic is presented in Chapter 4. In this chapter a large-country, small-country is used to try and understand the reason for the sharp rise in Australia??s share of world output that began around 1990. Chapter 5 discusses real interest rate linkages in the Pacific Basin region. Vector autoregressive models and bootstrap methods are adopted to study financial linkages between East Asian markets, Japan and US. Given the apparent non-stationarity of real interest rates a related issue is examined in Chapter 6, viz. the persistence of international real interest rates and estimation of their half-life. Half-life is selected as a means of measuring persistence of real rates. Bootstrap methods are employed to overcome small sample issues in the estimation and a non-standard statistical inference methodology (Highest Density Regions) is adopted. Chapter 7 reapplies the High Density Regions methodology and bootstrap half-life estimation to the data used in Chapters 2 and 5. This provides a robustness check on the results of standard unit root tests that were applied to the data in those chapters. Main findings of the thesis are as follows. The long run implications of real business cycle models are largely rejected by the Australia data. This finding holds for both the existence of great ratios and when the explicit decision rules are employed. When the small open economy features of the Australian economy are incorporated in a two country RBC model, a country-specific productivity boom seems to provide a possible explanation for the rise in Australia??s share of world output. The essays that examine real interest rates suggest the following results. Following the East Asian financial crisis in 1997-98 there appears to have been a decline in the importance of Japan in influencing developments in the Pacific Basin region. In addition there is evidence that following the crisis Korea??s financial market became less insular and more integrated with the US. Finally results obtained from the half-life estimators suggest that despite the usual findings from unit root tests, real interest rates may in fact exhibit mean-reversion.
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Kummerow, Max F. "A paradigm of inquiry for applied real estate research : integrating econometric and simulation methods in time and space specific forecasting models : Australian office market case study." Curtin University of Technology, School of Economics and Finance, 1997. http://espace.library.curtin.edu.au:80/R/?func=dbin-jump-full&object_id=11274.
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Office space oversupply cost Australia billions of dollars during the 1990-92 recession. Australia, the United States, Japan, the U.K., South Africa, China, Thailand, and many other countries have suffered office oversupply cycles. Illiquid untenanted office buildings impair investors capital and cash flows, with adverse effects on macroeconomics, financial institutions, and individuals. This study aims to develop improved methods for medium term forecasting of office market adjustments to inform individual project development decisions and thereby to mitigate office oversupply cycles. Methods combine qualitative research, econometric estimation, system dynamics simulation, and institutional economics. This research operationalises a problem solving research paradigm concept advocated by Ken Lusht. The research is also indebted to the late James Graaskamp, who was successful in linking industry and academic research through time and space specific feasibility studies to inform individual property development decisions. Qualitative research and literature provided a list of contributing causes of office oversupply including random shocks, faulty forecasting methods, fee driven deals, prisoners dilemma game, system dynamics (lags and adjustment times), land use regulation, and capital market issues. Rather than choosing among these, they are all considered to be causal to varying degrees. Moreover, there is synergy between combinations of these market imperfections. Office markets are complex evolving human designed systems (not time invariant) so each cycle has unique historical features. Data on Australian office markets were used to estimate office rent adjustment equations. Simulation models in spreadsheet and system dynamics software then integrate additional information with the statistical results to produce demand, supply, and rent forecasts. Results include ++models for rent forecasting and models for analysis related to policy and system redesign. The dissertation ends with two chapters on institutional reforms whereby better information might find application to improve market efficiency.Keywords. Office rents, rent adjustment, office market modelling, forecasting, system dynamics.
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Milunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.
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This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this This thesis investigates implications of interdependence between stock market prices in the context of several financial applications including: portfolio selection, tests of market efficiency and measuring the extent of integration among national stock markets. In Chapter 2, I note that volatility spillovers (transmissions of risk) have been found in numerous empirical studies but that no one, to my knowledge, has evaluated their effects in the general portfolio framework. I dynamically forecast two multivariate GARCH models, one that accounts for volatility spillovers and one that does not, and construct optimal mean-variance portfolios using these two alternative models. I show that accounting for volatility spillovers lowers portfolio risk with statistical significance and that risk-averse investors would prefer realised returns from portfolios based on the volatility spillover model. In Chapter 3, I develop a structural MGARCH model that parsimoniously specifies the conditional covariance matrix and provides an identification framework. Using the model to investigate interdependencies between size-sorted portfolios from the Australian Stock Exchange, I gain new insights into the issue of asymmetric dependence. My findings not only confirm the observation that small stocks partially adjust to market-wide news embedded in the returns to large firms but also present evidence that suggests that small firms in Australia fail to even partially adjust (with statistical significance) to large firms??? shocks contemporaneously. All adjustments in small capitalisation stocks occur with a lag. Chapter 4 uses intra-daily data and develops a new method for measuring the extent of stock market integration that takes into account non-instantaneous adjustments to overnight news. This approach establishes the amounts of time that the New York, Tokyo and London stock markets take to fully adjust to overnight news and then uses this
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King, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.
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Stock return volatility has been shown to occasionally exhibit discrete structural shifts. These shifts are particularly evident in the transition from ‘normal’ to crisis periods, and tend to be more pronounced in developing markets. This study aims to establish whether accounting for structural changes in the conditional variance process, through the use of Markov-switching models, improves estimates and forecasts of stock return volatility over those of the more conventional single-state (G)ARCH models, within and across selected African markets for the period 2002-2012. In the univariate portion of the study, the performances of various Markov-switching models are tested against a single-state benchmark model through the use of in-sample goodness-of-fit and predictive ability measures. In the multivariate context, the single-state and Markov-switching models are comparatively assessed according to their usefulness in constructing optimal stock portfolios. It is found that, even after accounting for structural breaks in the conditional variance process, conventional GARCH effects remain important to capturing the heteroscedasticity evident in the data. However, those univariate models which include a GARCH term are shown to perform comparatively poorly when used for forecasting purposes. Additionally, in the multivariate study, the use of Markov-switching variance-covariance estimates improves risk-adjusted portfolio returns when compared to portfolios that are constructed using the more conventional single-state models. While there is evidence that the use of some Markov-switching models can result in better forecasts and higher risk-adjusted returns than those models which include GARCH effects, the inability of the simpler Markov-switching models to fully capture the heteroscedasticity in the data remains problematic.
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Magliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.
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This three year indepth study was prompted after a decade of working as a corporate advisor for numerous stockbroking firms' corporate advisory and listing divisions. An overwhelming lack of discernible pricing methodology for IPOs on the JSE's Main Board and failed Venture Capital and Development Capital Markets was transferred to the new Alternative Exchange (AltX). This prompted lengthly discussions with former head of JSE's AltX Noah Greenhill. Such discussions are set out in this dissertation and relate to pricing methodologies and the lack of guidance or legislation as set out in the JSE's schedule 21 of Listing requirements. The focus of this dissertation is thus centred on whether the current adopted methodologies to establish a fair and reasonable pre-IPO share price is effective. To achieve this, global pricing methodologies were assessed within the framework of various valuation techniques used by South African Designated Advisors.
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Casas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.
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The aim of this thesis is to estimate the volatility function of continuoustime stochastic models. The estimation of the volatility of the following wellknown international stock market indexes is presented as an application: Dow Jones Industrial Average, Standard and Poor’s 500, NIKKEI 225, CAC 40, DAX 30, FTSE 100 and IBEX 35. This estimation is studied from two different perspectives: a) assuming that the volatility of the stock market indexes displays shortrange dependence (SRD), and b) extending the previous model for processes with longrange dependence (LRD), intermediaterange dependence (IRD) or SRD. Under the efficient market hypothesis (EMH), the compatibility of the Vasicek, the CIR, the Anh and Gao, and the CKLS models with the stock market indexes is being tested. Nonparametric techniques are presented to test the affinity of these parametric volatility functions with the volatility observed from the data. Under the assumption of possible statistical patterns in the volatility process, a new estimation procedure based on the Whittle estimation is proposed. This procedure is theoretically and empirically proven. In addition, its application to the stock market indexes provides interesting results.
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Fodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.
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Thesis (MBA) -- University of New Brunswick, Faculty of Administration, 2003.Typescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
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Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.
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Fratus, Brian J. "Rational asset pricing : book-to-market equity as a proxy for risk in utility stocks /." Thesis, This resource online, 1994. http://scholar.lib.vt.edu/theses/available/etd-11242009-020322/.
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Mnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.
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In 1993, Kenya liberalised its trade policy and allowed the Kenyan Shillings to freely float. This openness has left Kenya's domestic prices vulnerable to the effects of exchange rate fluctuations. One of the objectives of the Central Bank of Kenya is to maintain inflation levels at sustainable levels. Thus it has become necessary to determine the influence that exchange rate changes have on domestic prices given that one of the major determinants of inflation is exchange rate movements. For this reason, this thesis examines the magnitude and speed of exchange rate pass-through (ERPT) to domestic prices in Kenya. In addition, it takes into account the direction and size of changes in the exchange rates to determine whether the exchange rate fluctuations are symmetric or asymmetric. The thesis uses quarterly data ranging from 1993:Ql - 2008:Q4 as it takes into account the period when the process of liberalization occurred. The empirical estimation was done in two stages. The first stage was estimated using the Johansen (1991) and (1995) co integration techniques and a vector error correction model (VECM). The second stage entailed estimating the impulse response and variance decomposition functions as well as conducting block exogeneity Wald tests. In determining the asymmetric aspect of the analysis, the study followed Pollard and Coughlin (2004) and Webber (2000) frameworks in analysing asymmetry with respect to appreciation and depreciation and large and small changes in the exchange rate to import prices. The results obtained showed that ERPT to Kenya is incomplete but relatively low at about 36 percent in the long run. In terms of asymmetry, the results showed that ERPT is found to be higher in periods of appreciation than depreciation. This is in support of market share and binding quantity constraints theory. In relation to size changes, the results show that size changes have no significant impact on ERPT in Kenya.
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Duong, Lien Thi Hong. "Australian takeover waves : a re-examination of patterns, causes and consequences." UWA Business School, 2009. http://theses.library.uwa.edu.au/adt-WU2009.0201.
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This thesis provides more precise characterisation of patterns, causes and consequences of takeover activity in Australia over three decades spanning from 1972 to 2004. The first contribution of the thesis is to characterise the time series behaviour of takeover activity. It is found that linear models do not adequately capture the structure of merger activity; a non-linear two-state Markov switching model works better. A key contribution of the thesis is, therefore, to propose an approach of combining a State-Space model with the Markov switching regime model in describing takeover activity. Experimental results based on our approach show an improvement over other existing approaches. We find four waves, one in the 1980s, two in the 1990s, and one in the 2000s, with an expected duration of each wave state of approximately two years. The second contribution is an investigation of the extent to which financial and macro-economic factors predict takeover activity after controlling for the probability of takeover waves. A main finding is that while stock market boom periods are empirically associated with takeover waves, the underlying driver is interest rate level. A low interest rate environment is associated with higher aggregate takeover activity. This relationship is consistent with Shleifer and Vishny (1992)'s liquidity argument that takeover waves are symptoms of lower cost of capital. Replicating the analysis to the biggest takeover market in the world, the US, reveals a remarkable consistency of results. In short, the Australian findings are not idiosyncratic. Finally, the implications for target and bidder firm shareholders are explored via investigation of takeover bid premiums and long-term abnormal returns separately between the wave and non-wave periods. This represents the third contribution to the literature of takeover waves. Findings reveal that target shareholders earn abnormally positive returns in takeover bids and bid premiums are slightly lower in the wave periods. Analysis of the returns to bidding firm shareholders suggests that the lower premiums earned by target shareholders in the wave periods may simply reflect lower total economic gains, at the margin, to takeovers made in the wave periods. It is found that bidding firms earn normal post-takeover returns (relative to a portfolio of firms matched in size and survival) if their bids are made in the non-wave periods. However, bidders who announce their takeover bids during the wave periods exhibit significant under-performance. For mergers that took place within waves, there is no difference in bid premiums and nor is there a difference in the long-run returns of bidders involved in the first half and second half of the waves. We find that none of theories of merger waves (managerial, mis-valuation and neoclassical) can fully account for the Australian takeover waves and their effects. Instead, our results suggest that a combination of these theories may provide better explanation. Given that normal returns are observed for acquiring firms, taken as a whole, we are more likely to uphold the neoclassical argument for merger activity. However, the evidence is not entirely consistent with neo-classical rational models, the under-performance effect during the wave states is consistent with the herding behaviour by firms.
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Nyasha, Sheilla. "Financial development and economic growth : new evidence from six countries." Thesis, 2014. http://hdl.handle.net/10500/18576.
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Using 1980 - 2012 annual data, the study empirically investigates the dynamic
relationship between financial development and economic growth in three
developing countries (South Africa, Brazil and Kenya) and three developed countries
(United States of America, United Kingdom and Australia). The study was motivated
by the current debate regarding the role of financial development in the economic
growth process, and their causal relationship. The debate centres on whether
financial development impacts positively or negatively on economic growth and
whether it Granger-causes economic growth or vice versa. To this end, two models
have been used. In Model 1 the impact of bank- and market-based financial
development on economic growth is examined, while in Model 2 it is the causality
between the two that is explored. Using the autoregressive distributed lag (ARDL)
bounds testing approach to cointegration and error-correction based causality test,
the results were found to differ from country to country and over time. These results
were also found to be sensitive to the financial development proxy used. Based on
Model 1, the study found that the impact of bank-based financial development on
economic growth is positive in South Africa and the USA, but negative in the U.K –
and neither positive nor negative in Kenya. Elsewhere the results were inconclusive.
Market-based financial development was found to impact positively in Kenya, USA
and the UK but not in the remaining countries. Based on Model 2, the study found
that bank-based financial development Granger-causes economic growth in the UK,
while in Brazil they Granger-cause each other. However, in South Africa, Kenya and
USA no causal relationship was found. In Australia the results were inconclusive.
The study also found that in the short run, market-based financial development
Granger-causes economic growth in the USA but that in South Africa and Brazil, the
reverse applies. On the other hand bidirectional causality was found to prevail in
Kenya in the same period.Economics
DCOM (Economics)
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Chandrashekar, Satyajit. "Three new perspectives for testing stock market efficiency." Thesis, 2006. http://hdl.handle.net/2152/3757.
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"Essays in monetary theory and finance." 2004. http://library.cuhk.edu.hk/record=b5891997.
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Cheung Ho Sang.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 185-187).
Abstracts in English and Chinese.
Curriculum Vitae --- p.ii
Acknowledgments --- p.iii
Abstract --- p.v
Table of Contents --- p.viii
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- The behavior of income velocity of money --- p.3
Chapter 2.1 --- Introduction --- p.3
Chapter 2.2 --- Literature Review --- p.4
Chapter 2.3 --- Data Description --- p.9
Chapter 2.4 --- Methodology --- p.9
Chapter 2.5 --- Empirical Result --- p.16
Chapter 2.6 --- Conclusion --- p.26
Chapter Chapter 3. --- The behavior of equity premium --- p.106
Chapter 3.1 --- Introduction --- p.106
Chapter 3.1 --- Literature Review --- p.106
Chapter 3.2 --- Data Description --- p.112
Chapter 3.3 --- Methodology --- p.112
Chapter 3.4 --- Empirical Result --- p.120
Chapter 3.5 --- Conclusion --- p.130
Data Appendices --- p.182
Bibliography --- p.185
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"Threshold autoregressive model with multiple threshold variables." 2005. http://library.cuhk.edu.hk/record=b5892601.
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Chen Haiqiang.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 33-35).
Abstracts in English and Chinese.
Chapter 1. --- Introduction --- p.1
Chapter 2. --- The Model --- p.4
Chapter 3. --- Least Squares Estimations --- p.6
Chapter 4. --- Inference --- p.7
Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7
Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13
Chapter 5. --- Modeling --- p.16
Chapter 5.1 --- Generic Consistency of the Threshold Estimators under specification errors --- p.17
Chapter 5.2 --- Modeling Procedure --- p.20
Chapter 6. --- Monte Carlo Simulations --- p.21
Chapter 7. --- Empirical Application in the Financial Market --- p.24
Chapter 7.1 --- Data Description --- p.26
Chapter 7.2 --- Estimated Results --- p.26
Chapter 8. --- Conclusion --- p.30
References --- p.33
Appendix 1: Proof of theorem1 --- p.36
Appendix 2: Proof of theorem2 --- p.39
Appendix 3: Proof of theorem3 --- p.43
List of Graph --- p.49
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Jones, Timothy Gordon 1978. "Essays on money, inflation and asset prices." 2008. http://hdl.handle.net/2152/17968.
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This dissertation explores different aspects of the interaction between money and asset prices. The first chapter investigates how a firm’s financing affects its decision to update prices: does linking interest rates to inflation alter the firm’s optimal price updating strategy? Building on the state dependent pricing models of Willis (2000) and the price indexing literature of Azariadis and Cooper (1985) and Freeman and Tabellini (1998), this model investigates the financing and price updating decisions of a representative firm facing state-dependent pricing and a cash-in-advance constraint. The model shows the circumstances under which a firm’s financing decision affects its price updating decision, and how the likelihood of changing prices affects the amount borrowed. It also illustrates how the use of nominal (as opposed to inflation-linked) interest rates leads to a lower frequency of price updating and higher profits overall for a firm facing menu costs and sticky prices. The second chapter extends the bank run literature to present a theoretical mechanism that explains how money supply can affect asset prices and asset price volatility. In a two period asset allocation model, agents faced with uncertainty cannot perfectly allocate assets ex-ante. After income shocks are revealed, they will be willing to pay a premium over the future fundamental value for an asset in order to consume in the current period. The size of this premium is directly affected by the supply of money relative to the asset. This paper explores the relationship between economy-wide monetary liquidity on the mean and variance of equity returns and in relation to market liquidity. At an index level, I test the impact of money-based liquidity measures against existing measures of market liquidity. I proceed to do a stock level analysis of liquidity following Pastor and Stambaugh (2003). The results indicated that measures of aggregate money supply are able to match several of the observed relationships in stock return data much better than market liquidity. At an individual stock level, monetary liquidity is a priced factor for individual stocks. Taken together, these papers support the idea that changes in the money supply have consequences for the real economy.text
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"Exploit market abnormal return using data mining with application to optimal portfolio selection." 2004. http://library.cuhk.edu.hk/record=b5892005.
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Tsui Chuk Wah.Thesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 69-70).
Abstracts in English and Chinese.
Abstract --- p.iv
Chapter 1 --- Introduction --- p.1
Chapter 2 --- Data --- p.8
Chapter 3 --- Methodology --- p.23
Chapter 4 --- Results --- p.45
Chapter 5 --- Conclusion and Further Development --- p.59
Appendix --- p.63
Reference --- p.69
25
Ogotseng, Onthatile Tiny. "Stock returns behaviour and the pricing of volatility in Africa's equity markets." Thesis, 2017. http://hdl.handle.net/10539/23050.
Full textAbstract:
This Paper empirically investigates the behavior of Africa’s stock price volatility over time in ten African equity markets. It also attempts to establish the existence of a relationship between volatility and expected returns in the chosen equity markets. The effect of volatility on the stock prices is also investigated, together with establishing variations in the stock return volatility risk premia. Lastly, an investigation of whether volatility is transmitted from international markets to African markets is also undertaken. The sample period starts from November 1998 until December 2016.
The preliminary empirical results show a mixed finding in the mean-variance tradeoff theory. Based on the GARCH-type models, the empirical results show that volatility of stock returns show the characteristics of volatility clustering, leptokurtic distribution and leverage effects over time for all the Africa equity markets. A weak relationship between volatility and expected returns is also found in all the African equity markets studied.
The results also showed that as volatility increases, the returns correspondingly decrease by a factor of the coefficient for most of the equity markets. These results negate the theory of a positive risk premium on stock indices. It was also observed that stock return volatility risk premia have variations over time. The study also established that there was volatility transmission from the international markets into Africa equity markets.MT2017
26
"Determining the contributions to price discovery of China cross-listed stocks." 2005. http://library.cuhk.edu.hk/record=b5892498.
Full textAbstract:
Su Qian.Thesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 66-70).
Abstracts in English and Chinese.
Abstract --- p."i,ii"
Acknowledgements --- p.iii
Table of Content --- p.iv
List of Tables and Figures --- p.v
List of Abbreviation --- p.vi
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Literature Review --- p.4
Chapter 2.1 --- Benefits of Cross-listing --- p.4
Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8
Chapter 2.3 --- Previous studies on Chinese cross-listed stocks --- p.2
Chapter Chapter 3. --- China Overseas Listing --- p.15
Chapter 3.1 --- The history of overseas listing --- p.15
Chapter 3.2 --- Methods of overseas listing --- p.17
Chapter 3.3 --- The motivation for Chinese firms to list overseas --- p.18
Chapter 3.4 --- The prospects of China Overseas listing --- p.21
Chapter Chapter 4. --- Price-discovery contributions to China-backed stocks cross-listed on SEHK and NYSE --- p.23
Chapter 4.1 --- Data --- p.23
Chapter 4.2 --- Methodology --- p.25
Chapter 4.3 --- Empirical Results and Interpretation --- p.31
Chapter 4.4 --- Cross-Sectional analysis of NYSE contributions to the price-discovery process --- p.40
Chapter Chapter 5. --- Price-discovery contributions to the cross-listed H share and A share --- p.45
Chapter 5.1 --- Data and Sample details --- p.46
Chapter 5.2 --- Methodology --- p.49
Chapter 5.3 --- Empirical results and interpretation --- p.54
Chapter 5.4 --- A brief analysis of cointegration determinants --- p.57
Chapter 5.5 --- The cointegration between H share and A share- Daily analysis --- p.61
Chapter Chapter 6. --- Conclusion --- p.64
Reference --- p.66
Tables --- p.71
27
"Stock return volatility of emerging markets." 1998. http://library.cuhk.edu.hk/record=b5896256.
Full textAbstract:
by Poon Yeuk Wan, Tsang Fei.Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 54-55).
Acknowledgements --- p.i
Abstract --- p.iii
Table of Contents --- p.iv
List of Tables --- p.vi
List of Appendix --- p.vii
Chapter Chapter1 --- Introduction --- p.1
Chapter 1.1 --- Project Objective --- p.1
Chapter 1.2 --- Project Structure --- p.2
Chapter 1.3 --- Data --- p.3
Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5
Chapter 2.1 --- Latin America --- p.5
Argentina --- p.5
Brazil --- p.7
Chile --- p.7
Colombia --- p.8
Mexico --- p.8
Peru --- p.9
Venezuela --- p.9
Chapter 2.2 --- Eastern Europe --- p.10
Czech Republic --- p.10
Poland --- p.10
Slovakia --- p.11
Hungary --- p.11
Russia --- p.11
Chapter 2.3 --- Middle East --- p.12
Israel --- p.12
Jordan --- p.12
Chapter 2.4 --- Implication For Further Analysis --- p.13
Chapter Chapter 3 --- Analysis and Findings I: Descriptive Statistics Analysis --- p.14
Chapter 3.1 --- Objective of Descriptive Statistic Analysis --- p.14
Chapter 3.2 --- Findings --- p.16
Eastern Europe --- p.16
Latin America --- p.16
Middle East --- p.17
Chapter 3.3 --- Conclusion --- p.18
Chapter Chapter 4 --- Analysis and Findings II: Day-of-the- Week (Monday effect) Test --- p.19
Chapter 4.1 --- Objective --- p.19
Chapter 4.2 --- Literature Review --- p.19
Chapter 4.3 --- Methodology --- p.21
Chapter 4.4 --- Data --- p.23
Chapter 4.5 --- Analysis --- p.24
Chapter 4.6 --- Empirical findings --- p.25
Chapter I. --- The equality of return test --- p.25
Eastern Europe --- p.26
Latin America --- p.26
Middle East --- p.26
Overall --- p.27
Local currency versus US currency --- p.27
Chapter II. --- Comparison of Monday return with returns of other days within the week --- p.27
Chapter l. --- Without exchange rate effect --- p.28
Chapter 4.7 --- Monday effect一-an overview --- p.31
Comparison by region --- p.31
Eastern Europe --- p.31
Latin America --- p.31
Middle East --- p.32
The effect of exchange rate --- p.32
Chapter Chapter 5 --- Analysis And Findings III: Correlation Analysis --- p.33
Chapter 5.1 --- Literature Review --- p.33
Chapter 5.2 --- Objective --- p.35
Chapter 5.3 --- Methodology --- p.35
Chapter 5.4 --- Findings --- p.38
Chapter I --- Correlations Within Regions --- p.38
Eastern Europe --- p.33
Latin America --- p.40
Middle East --- p.42
Chapter II. --- Correlation Among Regions --- p.43
Eastern Europe vs. Latin America --- p.43
Latin America vs. Middle East --- p.44
Eastern Europe vs. Middle East --- p.45
Chapter III. --- Correlations with the United States --- p.46
US vs. Eastern Europe --- p.46
US vs. Latin America --- p.46
US vs. Middle East --- p.47
Chapter 5.5 --- Conclusion --- p.43
Chapter Chapter 6 --- Conclusions and Implications --- p.49
Implications on market integration --- p.52
BIBLIOGRAPHY --- p.54
APPENDIX --- p.56
28
"Market effects of changes in the composition of the Hang Seng Index." 1998. http://library.cuhk.edu.hk/record=b5889419.
Full textAbstract:
by Chiu Mei-Yee, Pamela, Pong Kwok-Hung, Patrick.Thesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaf 52).
ABSTRACT --- p.ii
TABLE OF CONTENT --- p.iii
LIST OF ILLUSTRATIONS --- p.iv
LIST OF TABLES --- p.v
ACKNOWLEGEMENTS --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- OBJECTIVES --- p.3
Chapter III. --- LITERATURE REVIEW --- p.4
Chapter IV. --- THE SAMPLE --- p.9
Chapter V. --- METHODOLOGY --- p.14
The Market Model --- p.15
Methods to Estimate the Excess Returns --- p.16
Chapter VI. --- RESULTS AND ANALYSIS --- p.19
Price Effects on Inclusion in HSI --- p.19
Price Effects on Exclusion from HSI --- p.33
Comparison between Inclusion and Exclusion --- p.41
Chapter VII. --- IMPLICATIONS --- p.42
Chapter VIII. --- CONCLUSION --- p.45
APPENDIX --- p.47
BIBLIOGRAPHY --- p.52