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1
Yuan, Chunming. "Essays on exchange rate behavior and financial anomalies." Diss., Restricted to subscribing institutions, 2008. http://proquest.umi.com/pqdweb?did=1621833961&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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2
Kashani, Mohammad Feghhi. "Exchange rate regimes and financial repression." Thesis, University of York, 1998. http://etheses.whiterose.ac.uk/2467/.
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3
Dong, Xue. "Foreign exchange rate and financial market imperfections." Thesis, Cardiff University, 2018. http://orca.cf.ac.uk/111019/.
Повний текст джерелаАнотація:
The thesis discusses exchange rate dynamics in a small open economy Real Business Cycle model with financial frictions, aiming to investigate whether financial frictions in the global capacity to bear exchange rate risk had influences on Sterling real exchange rate dynamics between 1975 and 2016. In the model, international financial intermediaries as arbitrageurs face credit constraints and bear the risks caused by imbalances in the supply and demand of international bonds. The model has been estimated by using a simulation-based Indirect Inference approach, which provides a natural framework for testing the hypothesis implied by the model. The basic idea of Indirect Inference estimation is to search across model’s parameter space for the parameter set that the simulated data and the observed data look statistically the same from the vantage point of the chosen auxiliary model. The result shows that a comfortable non-rejection of the hypothesis that exchange rate dynamics are affected by financial forces at 5% significant level. It implies that financiers indeed require a risk premium to intermediate capital flows, and the uncovered interest parity fails to hold. Monte Carlo experiments support that the power of the Indirect Inference test to reject a false hypothesis is high; hence the results could be relied on. Empirical studies based on estimated model address that financial frictions will act as amplifiers of external shocks on the real exchange rate and other key UK macroeconomic variables. In addition, shocks to financial forces are the main driving forces behind large and sudden depreciations of the sterling exchange rates in the aftermath of the collapse of Lehman Brothers and the Brexit vote.
4
Yang, Dan. "Financial fraud in Chinese stock exchange listed companies." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=163152.
Повний текст джерелаАнотація:
This thesis develops an analysis of the prevalence and determinants of financial fraud as identified in the Chinese listed firms over the period 1996 to 2007. First, theoretical analysis on the determinants of financial fraud, from its subjective, objective and conditional aspects, provides an understanding of why financial fraud happened as it did. The conditional aspect (corporate governance mechanisms) is highlighted since it is controllable in reducing the probability of fraudulent reporting. Data from the Chinese stock market is accessed, organised, and analyzed to support the analysis. Second, the prevalence and nature of fraud uncovered in the supervision of listed companies in Chinese stock exchanges is identified. From data reported by the China Securities Regulatory Commission, the incidence and prevalence of cases of fraud identified through regulation is investigated. I show how fraudulent activity can be categorised, how its nature has evolved over time, how business sectors are differentially prone to fraud, and what modes of fraudulent activity have been recorded. Third, the key interest of this research lies in the investigation of the argument that companies are more, or less, prone to fraudulent reporting by reason of: Their ownership structure; Their corporate governance characteristics; and/or Their numerical characteristics in financial reporting. 82 fraudulent financial statements from 40 listed companies identified by the China Securities Regulatory Commission are selected as the study sample, and 82 control peers are selected, to correspond to the study sample as closely as possible, regarding the assets size and industries. Findings challenge the conventional arguments which have been supported based on data from western countries. Conventional arguments show financial fraud is associated with weakness of governance in western companies (e.g. Beasley et al., 2000) and with patterns of ownership that would indicate reduced agency control by shareholders. However, my finding reveals that in China ownership concentration is negatively associated with reported fraud; and as for some oft-discussed corporate governance characteristics (e.g. the supervisory board, audit committee, independent directors), the fraud firms and their non-fraud peers are not statistically distinct, suggesting that corporate governance mechanisms that are designed to reduce the probability of financial fraud fail to work in the Chinese market. The negative results in this research contribute by updating our understanding of the determinants of financial statement fraud; the supervision of China’s equity markets; and whether it can be considered effective in uncovering financial fraud.
5
Yudaeva, Ksenia 1970. "Essays on financial sector, inflation and exchange rates." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/10111.
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6
Slavtcheva, Dessislava. "Financial Development, Exchange Rate Regimes, and Productivity Growth." Thesis, Boston College, 2011. http://hdl.handle.net/2345/2172.
Повний текст джерелаАнотація:
Thesis advisor: Fabio GhironiMy doctoral dissertation studies the interaction between financial development, exchange rate regimes and productivity growth. The first chapter provides a microfounded, quantitative model that rationalizes recent empirical evidence by Aghion et al (2009), who find that fixed exchange rate regimes lead to higher long-run productivity growth in countries with low financial development, while the effect in financially developed countries is insignificant. The channel that explains this evidence in my model is the following: A fixed exchange rate regime leads to lower inflation when the money growth is otherwise high. In turn, lower inflation results in higher long-run productivity growth since financial intermediaries hold a fraction of deposits as reserves, whose return is lower than the market rate and, thus, is affected by inflation. The lower return paid on reserves drives a wedge between the return paid on deposits and the return paid on loans by reducing the former and increasing the latter. In turn, this reduces entry of new innovators in the economy and, consequently, productivity growth. I show that the negative effect of flexible exchange rate regimes on growth is larger for countries with lower levels of financial development because inflation and the fraction of deposits held as reserves are higher in these countries. In the second chapter, I perform panel-data analysis to find how much of the effect of exchange rate regimes on productivity growth, documented previously by Aghion et al. (2009), can be accounted for by the channel proposed in the first chapter of my dissertation. I use data for 83 countries over the period 1960-2000. The data comes from the Penn World Table, World Development Indicators, International Financial Statistics, and the Reinhart and Rogoff classification of exchange rate regimes. I use the GMM system estimator and regress productivity growth on financial development, a variable describing the exchange rate regime, growth controls, as well as bank reserve ratios. I find that when the interaction effect of inflation and financial development or the interaction of the reserve ratio and financial development are added to the regression used by Aghion et al. (2009), the exchange rate regime effect on productivity growth in less financially developed countries is no longer significant. This implies that the channel proposed in the first chapter of my dissertation can explain most of the initial empirical results. The third chapter explores the short-run effect of exchange rate regimes on the macroeconomic performance of a small open economy with endogenous productivity growth and underdeveloped financial markets when the home economy is subject to shocks. I use the model introduced in the first chapter, add nominal price rigidities, and calculate impulse responses, given a productivity shock and a shock to the foreign nominal interest rate. I also calculate second moments implied by the model and compare them to empirical second moments. The results show that after a positive exogenous productivity shock, productivity growth, output and consumption increase more under the flexible exchange rate regime. However, given an increase in the foreign nominal interest rate, productivity growth falls but the reduction in productivity growth is smaller under the fixed exchange rate regime. In addition, output and consumption fall after the shock, however, the reduction of consumption and output is higher under the fixed exchange rate regime. I also find that after both shocks analyzed here, welfare is higher under the fixed exchange rate regime. The model is also able to match some features of business cycles in developing countries
Thesis (PhD) — Boston College, 2011
Submitted to: Boston College. Graduate School of Arts and Sciences
Discipline: Economics
7
Rosowsky, Y. I. "Financial space : pattern recognition for foreign exchange forecasting." Thesis, University College London (University of London), 2013. http://discovery.ucl.ac.uk/1407699/.
Повний текст джерелаАнотація:
We investigate the use of rejection applied to supervised learning for predicting the price direction of five foreign exchange currencies. We present two novel models which specifically take into account the random walk hypothesis when learning and predicting financial datasets. Both models project and then search a feature space for patterns and neighbourhoods unlikely to have arisen from a random process. The models invoke the human reply to an unfamiliar question of ‘I don’t know’ by rejecting (ignoring) training and/or test samples which do not satisfy checks for spurious relationships. The novel algorithms within this thesis are shown to significantly improve on both forecasting accuracy and economic viability when compared to several supervised learning reject and non-reject algorithms - the k-nearest neighbour and support vector machine algorithms are the main source of comparison. Reject-based models in general are shown to improve on the non-reject methods. Furthermore, several other contributions are noted within this thesis, namely: i) introducing intra-day data for forecasting daily price changes improves accuracy, ii) reducing the size of the time steps from one day to five minutes increased accuracy across all models; iii) forecasting accuracy was nearly always shown to reduce, across all models, after the events of the credit crisis (the years 2007 and 2009 are compared).
8
Watermeyer, Renen. "The JSE Stock Exchange News Service : the impact of SENS announcements on trading activity on the JSE securities exchange." Master's thesis, University of Cape Town, 2011. http://hdl.handle.net/11427/11418.
Повний текст джерелаАнотація:
Includes bibliographical references (leaves 90-92).Almost all models of market behaviour in some way or another, suppose some causality between news or information, and market prices. This study seeks to explore the relationship between information and the behaviour of investors. Specifically, it will examine the impact of Stock Exchange News Service Announcements (SENS Announcements) on trading volumes.
9
Lai, Shu-Ching. "Essays on financial economics." Diss., Georgia Institute of Technology, 2003. http://hdl.handle.net/1853/28934.
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10
Bagdatoglou, George. "Exchange rate determination and cross-border financial market interdependence." Thesis, Brunel University, 2007. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.436537.
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11
Koh, Kyung Hee S. M. Massachusetts Institute of Technology. "Currencies' exchange rate trend-before and after financial crisis." Thesis, Massachusetts Institute of Technology, 2010. http://hdl.handle.net/1721.1/59301.
Повний текст джерелаАнотація:
Thesis (S.M.)--Massachusetts Institute of Technology, Sloan School of Management, 2010.Cataloged from PDF version of thesis.
Includes bibliographical references.
Do financial crises tend to arise together? Recent financial crisis that has originated from credit crisis in US in 2008 spread throughout countries ranging from Asia, to Europe, to Africa. Generally a shock to one country's asset market that causes changes in asset prices in another country's financial market is called financial contagion. While financial turbulence from Lehman bankruptcy spread crisis over a large number of countries, can we say that there is financial contagion? Were countries in different regions of the globe affected in the same way? This thesis will analyze credit crisis by looking into the extent to which it affected 34 countries in six different regions of the world. Foreign exchange markets are often in conjunction with a banking system crisis. In recent credit crunch a banking problem led exchange rate movement. The thesis is particularly focusing on recent volatility of exchange rates in the world.
by Kyung Hee Koh.
S.M.
12
Su, Xiaojing. "Essays on financial and international economics." Thesis, [College Station, Tex. : Texas A&M University, 2007. http://hdl.handle.net/1969.1/ETD-TAMU-1474.
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13
Al-Yaqout, Abdullah A. "The usefulness of quarterly financial reports to Kuwaiti financial users in the Kuwait Stock Exchange." Thesis, Loughborough University, 2006. https://dspace.lboro.ac.uk/2134/7799.
Повний текст джерелаАнотація:
This thesis contributes to the literature on financial reporting in less developed countries, with special reference to the Kuwait Stock Exchange (KSE) and the Gulf Co-Operated Countries GCC area in particular. The study aims to examine the usefulness of quarterly financial reports (QFRs) to investors in Kuwait. It draws attention to the importance of quarterly accounting information and emphasises the critical theoretical and practical roles that quarterly accountings tatementsc an play in helping financial usersm ake financial decisions. The main findings indicate that quarterly financial reports in the Kuwait Stock Exchange are useful to Kuwaiti investors; however, such reports need further refinement and closer regulation in order to increase their usefulness, especially in relation to companies' expected performance and the future expectations of companies. In addition, the study shows that QFRs increase investor confidence when making and subsequently monitoring investments, evaluating management performance, making predictions about the future performance of companies, and predicting the future values of dividends and share prices. The findings also revealed that respondents believed that the prices and volumes of shares traded on the KSE are sensitive to financial information contained in QFRs. Specifically, the results indicate that company earnings, dividends payments, annual reports, quarterly reports and management experience were the most influential factors affecting purchasing attitudes and share prices. With regard to QFRs the majority of respondentsb elieved that auditor involvement in QFRs improved their reliability; however, most of the users expressed dissatisfaction with the current reporting lag of 45 days and would ideally like to see this reduced to less than 30 days. Respondents were also generally dissatisfied with current disclosures and wanted more information relating to the financial position of companies incorporated in to QFRs. Finally, the results indicate that information on the financial and capital leverage (or gearing) of the company, the risk exposure of the firm and an information on the type of industry in which the businesso perates,w ere the most likely factorst o increaset he demandf or QFRs.
14
Lippert, Joe Mark. "An examination of the price reaction to the announcement of bond issues by Johannesburg Stock Exchange listed companies on the Bond Exchange of South Africa." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/11318.
Повний текст джерелаАнотація:
Includes abstract.Includes bibliographical references (leaves 80-84).
This paper examines the effect of straight debt announcements on the daily stock returns of Johannesburg Stock Exchange (JSE) listed companies, on The Bond Exchange of South Africa (BESA), during the period 2000 to 2008. The study is an event study that uses the market model to generate expected returns. The average abnormal returns are standardised by their time series standard errors of regression and tested for significance by the t-test. The evidence indicates that the null hypothesis should not be rejected. Furthermore, the study is examined within the context of contemporary capital structure theory.
15
Alur, Rushikesh. "Short-term share price overreaction : evidence from the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2016. http://hdl.handle.net/11427/21748.
Повний текст джерелаАнотація:
The Overreaction Hypothesis and share price overreaction has been a widely researched phenomenon since the 1980s, although most work has focused on longer-term share return reversals. As an emerging market and part of the BRICS collective, South Africa provides an interesting investment environment within which to investigate this phenomenon. Limited research has been done in South Africa on share price overreaction, again nearly all focusing on the longer term. This dissertation examined short term overreaction (over 1 and 5-day periods) on the Johannesburg Stock Exchange (JSE) over the period July 2000 to June 2015. Furthermore, periods of financial crisis were isolated from the full sample period and tested separately, in order to assess whether periods of financial instability affect the magnitude of share price overreaction on the JSE. Whereas the common approach in this field is to investigate overreaction on a relative basis (for example by ranking share returns over a prior period and focusing on extreme relative performances), this thesis follows other literature that examines share return reversals following extreme one-day share price changes beyond absolute cut-off values (in this case ±5% and ±10%). The methodology considered an abnormal returns measure based on total return index values, and used a multivariate regression to test for one day and five day share return reversals. The effect of average prior returns, market volatility, company size, value, price-to-earnings and book-to-market ratios on abnormal returns were also considered. Lastly, a portfolio strategy based on one day and five day return reversals following large positive or negative one-day returns was investigated to test for usability as a possible trading strategy.
16
Dean, Jacqueline. "Is there a Gross Profitability Premium on the Johannesburg Stock Exchange?" Master's thesis, Faculty of Commerce, 2021. http://hdl.handle.net/11427/32643.
Повний текст джерелаАнотація:
This study tests whether a gross-profit-to-assets premium exists on the Johannesburg Stock Exchange (JSE) by constructing portfolios over a 16-year time period from 2002 to 2018. The use of gross-profit-toassets as a stock selection tool has been found to be a viable investment strategy in some developed markets. However, this concept has not been tested on the JSE, which is a sophisticated stock exchange within a developing economy. This approach may also be a viable strategy for South African investors and, thus, is worth investigating. In addition, there exists the possibility of improving value strategies by adding a gross-profit-to-assets quality strategy overlay to hedge against the “value trap” to which the former method is susceptible. This study, therefore, compares value investing to quality investing strategies in terms of their returns by constructing both long and long-short portfolios using four metrics namely: gross-profit-to-asset ratios, book-to-price ratios, earnings-to-price ratios, and a double sort of gross-profit-to-assets ratios and bookto-price ratios. In addition, excess and abnormal returns are calculated, and portfolios are once again compared to each other. When excess returns are calculated, each separately constructed portfolio is compared to the market index, and then to the risk-free rate. Lastly, the individual portfolios are compared to expected returns, calculated using the Capital Asset Pricing and the Fama and French Five Factor (2015) asset pricing models. The study finds that long only portfolios constructed using gross-profit-to-assets outperformed both bookto-price and earnings-to-price metrics. Further, it is found that adding gross-profit-to-assets to a value strategy, using the book-to-price ratio, is an improvement on a simple value strategy – probably because it avoids the “value trap” problem. While the long only portfolios show positive results, the long-short portfolios are not as successful. For long-short portfolios, gross-profit-to-assets and the double-sort are still superior to book-to-price and earnings-to-price, but when compared to the market index, the portfolios all underperform. Regressions of the excess returns of both the long and long-short portfolios against the five factors of Fama and French's Five Factor Model (2015) show that the intercepts (alphas) of the various portfolio excess returns are not statistically significant and, in the case of the long portfolios, are weakly negative. Within the assumptions of this model, these findings, therefore, fail to confirm that the various factorbased investment strategies statistically outperform the market on a risk-adjusted basis.
17
Andersen, Jan D. "Financial Problems as Predictors of Divorce: A Social Exchange Perspective." DigitalCommons@USU, 2000. http://digitalcommons.usu.edu/etd/2685.
Повний текст джерелаАнотація:
By using a conceptual framework derived from social exchange theory, this study examined the relationship between financial problems and divorce. Nationally representative data from the " Marital Instability Over the Life Course" panel study was used to determine if financial problems reported at one interview could predict those who would divorce by the subsequent interview. A self-replicating design allowed data analyses for three separate time periods: 1980-1983 , 1983- 1988, and 1988-1992.
The sample used in this study consisted of l,620 married men and women under the age of 55. Additionally, the participants were in their first marriages.
Divorce was the only dependent variable. The independent variables inc luded eight financial problems: (a) husband's job interferes with family life, (b) husband 's job satisfaction, (c) wife's job satisfaction, (d) wife's work preference, (e) sat isfaction with spouse as breadwinner, (f) satisfaction with financial situation, (g) spending money
18
Kwetczer, Filip, and Carl Åkerlind. "Hedging Foreign Exchange Exposure in Private Equity Using Financial Derivatives." Thesis, KTH, Matematisk statistik, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-228213.
Повний текст джерелаАнотація:
This thesis sets out to examine if and how private equity funds should hedge foreign exchange exposure. To our knowledge the field of foreign exchange hedging within private equity, from the private equity firms’ point of view, is vastly unexplored scientifically. The subject is important since foreign ex-change risk has a larger impact on private equity returns now than historically due to increased competition, cross-boarder investments and foreign exchange volatility. In order to answer the research question a simulation model is constructed and implemented under different scenarios. Foreign exchange rates are simulated and theoretical private equity funds are investigated and com-pared under different performance measures. The underlying mathematical theory originates from the work of Black and Scholes. The main result of this thesis is that private equity funds cannot achieve a higher internal rate of return on average through hedging of foreign exchange exposure independent of the slope of the foreign exchange forward curve. However, hedging strategies yielding the same mean internal rate of return but performing better in terms of performance measures accounting for volatility of returns have been found. Furthermore, we found that the conclusions are independent of whether the current or forward foreign exchange rate is a better approximation for the future foreign exchange rate.Uppsatsens syfte är att undersöka om och i sådana fall hur private equity fonder ska hedgea valutaexponering. Ämnet är såvitt vi vet ej tidigare undersökt inom vetenskaplig forskning ur private equity företagens synvinkel. Ämnet är viktigt eftersom valutarisk har fått en större påverkan på private equity företagens avkastning jämfört med hur det har sett ut historiskt på grund av högre konkurrens, mer internationella investeringar samt ökad volatilitet i valutakurser. En simuleringsmodell har konstruerats och implementerats under olika scenarier för att besvara forskningsfrågan. Valutakurser simuleras och teoretiska private equity fonder undersöks samt jämförs utefter olika nyckeltal. Den underliggande matematiska modelleringen härstammar från Black och Scholes forskning. Uppsatsens viktigaste resultat är att private equity fonder inte kan uppnå en högre avkastning genom att hedgea valutaexponering oavsett lutningen av den förväntade valutautvecklingskurvan. Vi har dock funnit att det existerar hedgingstrategier som ger samma avkastning med lägre volatilitet. Vidare är slutsatserna oberoende av om nuvarande eller förväntad framtida valutakurs är den bästa approximationen av den framtida valutakursen.
19
Edlinger, Cécile. "Paris Stock Exchange 1870-1914 : financial information and portfolio choices." Thesis, Université de Lorraine, 2016. http://www.theses.fr/2016LORR0055.
Повний текст джерелаАнотація:
Cette thèse se compose de quatre chapitres dédiés à l'étude de la Bourse de Paris et des investissements français entre 1874 et 1914. Elle relève d'une démarche cliométrique : les faits historiques sont analysés en mobilisant les outils statistiques et théoriques de l'économie financière.Le premier chapitre participe à la réécriture de l'histoire de l'économie financière. Il démontre que les conseils financiers français avant 1914 relèvent d'une proto-science, prémices à la Théorie Moderne du Portefeuille (T.M.P.) développée à partir des années 1960s. Il justifie l'utilisation, dans le second chapitre, de la T.M.P. pour l'évaluation de la rationalité des choix de portefeuilles internationaux. Nous démontrons la rationalité des flux massifs de capitaux à l'étranger et en particulier à destination des pays européens. Nous constatons la rationalité de la préférence européenne des investisseurs français et le biais des investissements britanniques en faveur des "nouvelles nations". Le troisième chapitre présente une base de données inédite composée des rentabilités mensuelles de tous les types de titres cotés à la Bourse de Paris entre 1874 et 1914. Il s'agit d'un indicateur fiable des performances de la Bourse de Paris et de l'information publique en France sur cette période. Dans le quatrième chapitre, nous réalisons la première évaluation des conseils de l'analyste financier français A. Neymarck (1913), à la veille de 1914. Nous montrons que le risque de chaque catégorie d'actifs est correctement perçu, l'existence d'une hiérarchisation des portefeuilles proposés en fonction de la richesse de l'investisseur et mettons en avant les imperfections de ces conseilsThis PhD dissertation is composed of four chapters dedicated to the study of the Paris Stock Exchange and French investments from 1874 to 1914. It follows a cliometric approach, whereby historical facts are analysed using the statistical and theoretical tools of financial economics.The first chapter contributes to a re-evaluation of the history of financial economics. It shows that French financial advice before 1914 was part of a proto-science which laid the foundations for the Modern Portfolio Theory (M.P.T.) developed from the 1960s onwards. This finding justifies the use of the M.P.T in the second chapter to assess the rationality of international portfolio choices. We demonstrate the rationality of huge capital flows toward foreign countries and in particular toward European countries. We note the rationality of the French investor's preference for European securities, and the bias towards "young nations" in British investments. The third chapter introduces an original database composed of the monthly returns for all the types of securities listed on the Paris Stock Exchange from 1874 to 1914. It is a reliable indicator of Paris Stock Exchange performances and of the public information available in France at that time. In the fourth chapter, we make the first assessment of the advice provided by the French financial analyst A. Neymarck (1913), prior to 1914. We show that the risk of each asset category is correctly evaluated, evidence the ranking of the suggested portfolios according to the investors' wealth, and pinpoint the few imperfections of his advice
20
Anderson, Jan D. "Financial Problems as Predictors of Divorce: A Social Exchange Perspective." DigitalCommons@USU, 2000. https://digitalcommons.usu.edu/etd/2445.
Повний текст джерелаАнотація:
By using a conceptual framework derived from social exchange theory, this study examined the relationship between financial problems and divorce. Nationally representative data from the " Maritallnstability Over the Life Course" panel study was used to determine if financial problems reported at one interview could predict those who would divorce by the subsequent interview. A self-replicating design allowed data analyses for three separate time periods: 1980-1983 , 1983- 1988, and 1988-1992.
The sample used in this study consisted of l ,620 married men and women under the age of 55. Additionally, the participants were in their first marriages.
Divorce was the only dependent variable. The independent variables included eight financial problems: (a) husband's job interferes with family life, (b) husband 's job satisfaction, (c) wife's job satisfaction, (d) wife's work preference, (e) satisfaction with spouse as breadwinner, (f) satisfaction with financial situation, (g) spending money foolishly/unwisely, and (h) financial situation getting better or worse. Additionally, total number of financial problems, age at marriage, gender, income, and presence of children under age 6 were used as independent variables in the analyses. Bivariate correlation and discriminant analysis procedures were used to analyze the data.
The results indicated statistically significant relationships between financial problems and divorce for all independent variables except wife's job satisfaction, gender, and income. However, none of the independent variables (singularly or in combination) explained more than 5% of the variance in divorce;·financial problems were inadequate predictors of divorce.
Although the results of this investigation did not provide substantive support for the popular belief that money problems are a major cause of divorce, this research filled a gap in the divorce literature, posited a clearer definition of financial problems, and provided a more complete conceptual model of the relationships between marital problems and divorce. Finally, the unanswered questions raised by this study indicate the need for continued investigation of the impact that financial issues have on marital relationships.
21
Taguchi, Hiroyuki. "The East Asian currency crisis and exchange rate management /." Electronic version of summary Electronic version of examination, 2005. http://www.wul.waseda.ac.jp/gakui/gaiyo/3967.pdf.
Повний текст джерела
22
Appelbaum, Matthew. "Does Pairs trading work on the Johannesburg Stock Exchange?" Master's thesis, University of Cape Town, 2015. http://hdl.handle.net/11427/20026.
Повний текст джерелаАнотація:
In this study it was examined whether Pairs trading is a potentially profitable trading strategy on the Johannesburg Stock Exchange. Pairs trading is a quantitative based trading strategy, in which shares are paired up based on a historic price relationship and traded accordingly, in a contrarian manner, when they diverge from said historical relationship. The essence of Pairs trading is to take advantage of perceived market inefficiencies, which is a direct contradiction of the Efficient Markets Hypothesis (even in its weak form). This study tested Pairs trading on both an unrestricted (any two shares can be paired), as well as a sector-restricted (only pairs within the RESI and the FINDI sectors could be paired), sample of shares (the JSE Top80 - based on market capitalization). Furthermore, a number of different signals (which are based on standard deviations) to open and close pairs were tested, on both the unrestricted and sector-restricted samples. The aim of using different samples of shares, as well as different trading signals, was to determine whether or not different strategies could serve to bolster the performance of a Pairs trading strategy.
23
Mu, Lin. "Stock price reactions to dividend changes : evidence from the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/11578.
Повний текст джерелаАнотація:
Includes bibliographical references.This research paper examines stock price reactions to the changes in cash dividend payments for mature companies listed on the Johannesburg Stock Exchange (JSE). Prior South African research studies have employed the Market Model and Mean-Adjusted Return Model of event study to estimate "normal return" of the companies listed on the JSE. This study has employed the Market-Adjusted Return Model and short event window (-5, +5) to test the effect of dividend changes. The empirical results are based on 48 samples of mature companies with regular half yearly cash dividend records during the 2000- 2004 period. Using 4741 dividend change observations, it was found that the stock price reactions to increase announcements were greater than those for decrease announcements over the entire event days. It was further found that the stronger positive market reactions were associated with those announcements of larger percentage increases in dividends. These results lead to support the existence of the Dividend Signalling Hypothesis.
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Chotee, Deepika. "Evaluating value at risk models: an application to the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/18625.
Повний текст джерелаАнотація:
The management of market risk is an essential determinant of the stability of a financial institution, and by extension, of the overall financial system. There are various variables which impact on the accuracy of a market risk management system. For various reasons which are discussed in this study, Value at Risk (VaR) is used as a measure of market risk. VaR has certain key features which make it adaptable to several types of scenarios in order to provide a measure of market risk. In order to assess these features of VaR, this study evaluates VaR using a range of techniques. This study analyses the performance of some of the most popular VaR models using the JSE ALSI's total daily returns. The VaR estimates were calculated for each model using varying parameters for confidence level, risk horizon, distributional assumptions and other variables. The study evaluates the relative accuracy of each model analysed, over specific subsets of the data set under consideration, and performs five different backtests to determine the accuracy of each model. The aim of this analysis is to identify the model most suited to predicting VaR in the South African environment. A key feature of this study is that it includes data during and after the financial crisis, and can, therefore, model the respective volatility characteristics of the data during this period. The results of the analysis indicate that the asymmetric GARCH models outperform the other models over both the full sample period and the crisis and post-crisis subperiods, and that the t distribution assumption produces more accurate forecasts. This implies that such models are better suited to capturing the effects of volatility for data with these characteristics.
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Menzies, Gordon Douglas. "Currency and financial crises : dividing the (negative) spoil." Thesis, University of Oxford, 2001. http://ora.ox.ac.uk/objects/uuid:11c59ab0-52ae-41b0-9bfd-7bf188d12bfb.
Повний текст джерелаАнотація:
Following the 1997 Asian Crisis, a number of economies have been burdened with so-called Twin Crises, facing both vulnerable exchange rates and a distressed financial sector. The three papers in this thesis examine the resolution of a twin crisis in one such country - Indonesia. In debt overhang and exchange rate collapse, I adopt the simplest representation of the economy and the Asian crisis. The model is a modified Hecksher-Ohlin framework with labour as the sole domestic factor. The crisis is triggered by a terms of trade shock. The analysis implies that workers have already suffered a wealth loss in the form of a wage cut. If they are inclined to pay all the overhang, they will take another cut - a large one - due to the so-called overhang multiplier. In Indonesian cronies' tardy crisis resolution skills, both the underlying model and the description of the crisis are made more realistic. The model has another domestic factor added to allow for the existence of domestic capitalists. The crisis is triggered by two additional factors; a loss of confidence by foreign investors and an end to a domestic subsidy on foreign capital. Until agreement is reached on the overhang, the economy suffers so-called corporate decay. I introduce the cronies, and show that it may be optimal for them to stall agreement, even if there is perfect information. Contrary to conventional wisdom, bankruptcy reforms do not necessarily hasten agreement, though they do improve the payoffs to the international creditors. In debt forgiveness, I examine the pessimistic scenario that Indonesia becomes like a Highly Indebted Poor Country (HIPC), so that all the issues related to debt forgiveness become relevant. I improve a contract arising from a workhorse model of debt forgiveness, showing a better way to provide reform incentives for countries heavily in debt.
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Kornik, David. "The relationship between annual earnings and share returns on the JSE Securities Exchange." Master's thesis, University of Cape Town, 2005. http://hdl.handle.net/11427/5626.
Повний текст джерелаАнотація:
Includes bibliographical references (leaves 91-99).This research study investigates whether the relationship between accounting earnings and share returns observed predominantly in New York Stock Exchange (“NYSE”) studies also holds on the modern-day JSE Securities Exchange (“JSE”). Since the JSE is a relatively small stock exchange in comparison to the NYSE, with substantially different characteristics, the nature of the relationship may differ between the two exchanges. The study finds empirical evidence that this relationship between earnings and share returns is the same. As on the NYSE, accounting earnings disclosures in South Africa are found to have significant information content. Evidence is obtained which shows that accounting earnings do capture a significant portion of the information reflected in share returns, although they are not a timely source of information.
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Ngo, Chan Nam. "Secure, Distributed Financial Exchanges: Design and Implementation." Doctoral thesis, Università degli studi di Trento, 2019. http://hdl.handle.net/11572/242642.
Повний текст джерелаАнотація:
Blockchains and Byzantine Fault Tolerance form the basis of decentralized currencies and ledgers, such as Bitcoin, Ripple, ZeroCash, and Ethereum. Several studies have focused on the currency aspects (e.g. authenticity, integrity, anonymity, and independence from central banks). In this thesis, we start by exploring to understand the security challenges and practical solutions for building simple payment networks. Then, we leverage such understanding in identifying the security challenges of more advanced and complex systems, in particular Futures Exchanges. The decentralization of a Futures Exchange poses new security challenges: i) the interplay between the security and economic viability, i.e. using the Price Discrimination Attack one can strategically force a trader out of the market when the trader's anonymity is broken; ii) the non-monotonic security behavior of an Exchange, i.e. an honest action may invalidate security evidence; and iii) the proportional burden requirement in the presence of high-frequency participants. Our goal is to enucleate the non-trivial design principles to resolve these challenges for building secure and distributed financial exchanges. We demonstrate the application of the distilled design principles by building a cryptographic reference for a futures exchange called FuturesMEX. We also simulate the performance of a FuturesMEX Proof-of-Concept with the Lean Hog market data obtained from the Thomson Reuters Ticks History DB. The results show that the obtained protocol is feasible for a low-frequency market such as Lean Hog. Furthermore, we investigate an extension of public markets, i.e. dark pools (private markets), in which the order book information is conditionally visible to some (financially) suitable parties. We propose a new cryptographic scheme called Witness Key Agreement that makes dark trading possible by probing prices and volumes based on committed financial information Finally, we evaluate the theoretical and practical performance of the new scheme; using a simulation of the dark pool data collected from the aggressive Bloomberg Tradebook, we obtain positive results.
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Dogbey, John. "Spillover effects in financial and international development." Morgantown, W. Va. : [West Virginia University Libraries], 2009. http://hdl.handle.net/10450/10593.
Повний текст джерелаАнотація:
Thesis (Ph. D.)--West Virginia University, 2009.Title from document title page. Document formatted into pages; contains ix, 88 p. Vita. Includes abstract. Includes bibliographical references (p. 75-78).
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Bersch, Julia. "Financial globalization and the implications for monetary and exchange rate policy." Diss., lmu, 2009. http://nbn-resolving.de/urn:nbn:de:bvb:19-96579.
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McFie, James Boyd. "High quality financial reporting : the case of the Nairobi Stock Exchange." Thesis, University of Strathclyde, 2006. http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=21664.
Повний текст джерелаАнотація:
This thesis investigates, firstly, the meaning of the phrase "high quality financial reporting". The use of the phrase in the academic literature, and by professional and regulatory bodies, is examined critically to contribute to a deeper understanding of the phrase. Disclosure in the annual reports of all 47 companies listed on the Nairobi Stock Exchange is examined to see if it can be described as "high quality". "High quality disclosure" is measured in three ways: (1) a disclosure index is developed to measure compliance with International Financial Reporting Standards (this index is also used to measure disclosure in the interim report); (2) a disclosure index developed by Standard and Poor's to measure Transparency and Disclosure is used; (3) these are compared with the scores achieved by the same annual reports in the Financial Reporting Excellence Award 2003, decided by adjudicators in Kenya. The thesis also investigates the association between selected corporate characteristics and "high quality disclosure". Testable hypotheses are formulated based on disclosure theories and prior studies: univariate and linear regression analysis are used to test whether significant independent variables explain "high quality disclosure", with the aim of contributing to understanding the applicability of disclosure theories to a capital market in a developing country. Interview research is employed to explore further matters related to "high quality financial reporting" in this developing country setting and to complement the quantitative analysis, so as to contribute to understanding the relevance of International Financial Reporting Standards in achieving high quality disclosure in this capital market. Conclusions are made as to the usefulness of accounting theories and other influences in explaining "high quality disclosure" by Nairobi Stock Exchange companies. A definition of "high quality disclosure" is proposed. The implications of the research, its contribution and its limitations are discussed. Suggestions for further research are presented.
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Dawson, Paul Edward. "Five studies of the London International Financial Futures and Options Exchange." Thesis, City University London, 1995. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.281871.
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McCaney, Patrick Michael 1980. "Emotional response modeling in financial markets : Boston Stock Exchange data analysis." Thesis, Massachusetts Institute of Technology, 2004. http://hdl.handle.net/1721.1/28481.
Повний текст джерелаАнотація:
Thesis (M. Eng.)--Massachusetts Institute of Technology, Dept. of Electrical Engineering and Computer Science, 2004.Includes bibliographical references (leaves 57-58).
In this thesis, physiological data is analyzed in the context of financial risk processing, specifically investigating the effects of financial trading decisions and situations on the physiological responses of professional market makers. The data for this analysis comes from an experiment performed on market makers at the Boston Stock Exchange. This analysis involved significant preprocessing of large financial and physiological data sets. Short-term and long term analysis of financial and performance based event markers of the data are performed and the results interpreted. There are two main conclusions. First, negative performance events are found to be the the main driver of physiological responses; positive performance events have minimal deviations from baseline physiological signals. Second, a long term analysis of events yield more substantial physiological changes than a short term analysis.
by Patrick Michael McCaney.
M.Eng.
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Kamamkhudza, Charity. "Malawi’s trilemma: monetary policy independence, exchange rate stability and financial integration." Thesis, Rhodes University, 2017. http://hdl.handle.net/10962/41634.
Повний текст джерелаАнотація:
Malawi has, in the last few decades, undergone several reforms relating to monetary, exchange rate and financial integration policies in a bid to achieve sustainable economic growth. Despite these reforms, however, the country has barely attained desirable macroeconomic performance. This study sets out to establish if the need for these policy reforms is due to the fact that the country is constrained from the simultaneous achievement of optimal levels of monetary policy independence, exchange rate stability and financial integration, as postulated by the ‘trilemma’. The trilemma is evaluated using an approach introduced by Aizenman et al. (2008), in which the Ordinary Least Squares (OLS) method is applied to a model in which a constant is regressed on indices constructed for the policy intermediate goals; the results indicate that the trilemma is a binding constraint in Malawi and that the largest trade-off is between exchange rate stability and financial integration. Given these constraints, the study also considers the combination of the trilemma intermediate policy goals that has been dominant in the country in the last three decades, using predicted values from the model and a graphical analysis to explore this objective. The analysis reveals that Malawi has, on average, prioritised exchange rate stability and monetary policy independence at the expense of financial integration. The study also assesses how the trilemma intermediate policy goals affect macroeconomic performance, specifically regarding output growth rate and inflation. The results reveal that exchange rate stability is associated with faster output growth, financial integration is associated with higher inflation, and that monetary policy independence is not a significant factor. The results emphasise the importance of consistent stability of the exchange rate if Malawi is to achieve faster and sustainable economic growth. Given this, policy makers must be cautious, as the current floating exchange rate regime, combined with financial integration, could lead to slow growth and high inflation.
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Björklund, Thelma, and Hedvig Jonsson. "Financial Volatility and the Leverage Effect on the Swedish Stock Exchange." Thesis, KTH, Industriell ekonomi och organisation (Inst.), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-246067.
Повний текст джерелаАнотація:
In today’s financial markets, volatility is a fundamental concept in regards of the risk assessment of assets and instruments. Financial volatility is commonly used to measure the quantitative aspects of risk and is given a significant amount of attention in past literature and research. The leverage effect refers to the well-established negative relationship between return and future volatility. The relation is usually explained by the increased leverage ratio that arises from a drop in the share price for a firm. A lower price means lower value of the equity and while the debt remains unchanged, the leverage ratio will rise. The leverage ratio affect how risky the equity is from an investor’s perspective, hence affects the volatility of the stock. This paper aims to analyse whether the theory is applicable on the Swedish stock exchange and takes both individual stocks and the OMXS30-index into account. Further theories related to the model is acknowledged in order to enhance the analysis of the findings. The study is performed by a regression model where volatility, estimated through an EGARCH model, represents the dependent variable. Lagged return, together with a number of control variables, constitutes the explanatory variables. The findings claims that the leverage effect is present for individual stocks but can be rejected on the index level. Additionally, significant improvement was noticed when a dynamic approach was added to the model. The conclusions drawn is that the Swedish stock exchange facilitates the leverage effect for individual firms but it is off-set by other theories such as risk-return trade-off and volatility clustering for the index.I dagens finansiella marknader är volatilitet ett fundamentalt koncept som är ytterst relevant i risk bedömningen av tillgångar och instrument. Finansiell volatilitet används ofta för att mäta risk i kvantitativ form och har på senare tiden uppmärksammats i allt större utsträckning. Leverage effekten (en.”the leverage effect”) refererar till det! väletablerade negativa samband som finns mellan avkastning i nuvarande period och framtida volatilitet. Sambandet mellan dessa faktorer har av många förklarats av en ökning i skuldsättningsgraden för ett företag. Skuldsättningsgraden ökar enligt teorin som en konsekvens av att aktiekursen sjunker, innebärande en värdeminskning av det egna kapitalet, samtidigt som skulderna förblir oförändrade. Skuldsättningsgraden påverkar i sin tur aktiens volatilitet genom en uppfattning av hur stor risk som kan förknippas med en investering i aktien. För att stärka analysen diskuteras, förutom leverage effekten, ett antal teorier som kan relateras till modellen. Uppsatsen syfte är att avgöra om leverage effekten är signifikant applicerbar på den svenska aktiemarknaden, både för individuella aktier samt OMXS30 indexet. Studien utförs genom en regressions modell där volatiliteten, estimerad genom en EGARCH model, representerar den beroende variabeln. Avkastningen i föregående period samt ett antal kontroll variabler utgör de oberoende variablerna. Resultatet visar att leverage effekten har stor applicerbarhet på de individuella aktierna men kan uteslutas på en index nivå. Dessutom ökar relevansen signifikant när en dynamisk angreppsätt adderades till modellen. Slutsatsen är att leverage effekten är närvarande på en individuell nivå men neutraliseras av teorier så som ”risk return trade off” och ”volatilitets klustring” på index nivå.
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Li, Po-sing. "The study of the combination of technical analysis and qualitative model in financial forecasting /." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19878059.
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Graham, Mark. "Is there any evidence of a value-growth factor on the Johannesburg Stock Exchange?" Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/18286.
Повний текст джерелаАнотація:
New evidence suggests that share returns are cross-sectionally predictable in that shares which appear to be inexpensive relative to the company's underlying values (value shares), out-perform those shares that are perceived to provide substantial growth in the long run (growth shares). The magnitude of the return premium suggests that these returns are induced by factors other than risk or perhaps suggests that our measures of risk are incorrect. There now seems to be little doubt that the new evidence indicates that the cross-section of average returns are predictable and that abnormal returns can be obtained by holding value shares. This is the value-growth phenomenon. The existence of this phenomenon casts doubt on the two major paradigms of modem finance, the Capital Asset Pricing Model and the Efficient Market Hypothesis. There has been limited empirical testing in South Africa as to the existence of this internationally observed phenomenon. This study's objective is to investigate whether or not this value-growth phenomenon exists on the JSE. The study examined monthly excess returns on portfolios of value and growth shares over the period 1987 to 1996. The ratio of a company's market value to its book value of common equity was used as the measure of value and growth. The conclusions of this research study indicate that a value-growth phenomenon does exist on the JSE and that the existence of superior returns by value shares is especially marked in the period post 1992 when South Africa returned to the international financial arena.
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Patton, Andrew John. "Applications of copula theory in financial econometrics /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2002. http://wwwlib.umi.com/cr/ucsd/fullcit?p3049666.
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Moodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.
Повний текст джерелаАнотація:
Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Naka, Atsuyuki. "The volatility of financial markets: A time-series analysis of foreign exchange futures." Diss., The University of Arizona, 1989. http://hdl.handle.net/10150/184845.
Повний текст джерелаАнотація:
This research introduces hedging and basis risk models based on intertemporal asset pricing between futures and spot currency exchange markets. Recently developed time-series models are employed and empirically tested for five currencies: the British pound, Canadian dollar, Deutschemark, Japanese yen and Swiss franc. The models of international intertemporal asset pricing, which have heretofore been largely based on the rational expectations hypothesis, are modified to allow for risk aversion. Recent research has demonstrated that the presence of risk premia can separate the expected future spot prices from certain speculative prices, such as futures and forward exchange rates, at the maturity date. My results show that there is strong indication of varying risk premia, as reflected in heteroskedastic error terms through time, in both hedging and basis risk models. The nature of heteroskedasticity is well captured by Autoregressive Conditional Heteroskedasticity (ARCH) and generalized ARCH (GARCH) models, which may explain the excess volatility of financial markets. Some markets indicate that the correct specification of models are ARMA with ARCH. I also extend the analysis from univariate to multivariate models, where the problem of heteroskedasticity is reflected in a system of equations. A multivariate ARCH model allows the conditional variance-covariance matrix to vary over time. The results support the hypotheses of varying risk premia for both hedging and basis risk models. The results of specification tests indicate that the models based on financial theory can be improved by introducing additional variables such as lagged endogenous and exogenous variables. This study shows how important it is to incorporate the varying variances and covariance matrices into financial models and it also shows that currently established financial models may need to be modified in order to capture the behavior for foreign exchange future markets.
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Argyros, Robert. "The power of investor sentiment: an analysis of the impact of investor confidence on South African financial markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1004169.
Повний текст джерелаАнотація:
Whether investor sentiment has any authority over financial markets has long been a topic of discussion in the field of finance. This study investigates the relationship between investor sentiment and share returns in South Africa. Determining this relationship will add to the existing work which has documented important determinants of share returns on the stock exchange in South Africa, as well adding to the inconclusive link between sentiment and the South African financial markets. Does sentiment influence share returns or do share returns influence sentiment? Using quarterly data for the period 1996-2010, the study makes use of the FNB/BER Consumer Confidence Index as a proxy for investor sentiment, and the FTSE/JSE All Share Index to represent the South African financial markets. A regression analysis was conducted along with granger-causality tests, impulse response functions and variance decompositions in order to determine the nature of this relationship. The results showed that investor sentiment has a statistically significant relationship with share returns in South Africa. However, sentiment is only able to account for a very small portion of the variation in returns, with returns able to account for a larger portion of the variation in sentiment. Therefore investor sentiment is not a suitable predictor of share returns in South Africa. In addition, granger-causality tests indicate that returns are actually the leading indicator, suggesting that changes in South African investors’ confidence levels occur following changes in the state of the JSE. The limitations of the study include the infrequent nature of the sentiment measure used, thereby failing to capture important changes in sentiment and their immediate impact on financial markets. In addition, the sentiment of foreign investors must be taken into account due to the large foreign investment in the JSE.
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Tian, Yuan. "Financial repression and liberalisation in China." Thesis, Loughborough University, 2017. https://dspace.lboro.ac.uk/2134/25359.
Повний текст джерелаАнотація:
This thesis is concerned with the implications of the financial liberalisation of the Chinese economy for savings, investment, monetary policy and the exchange rate, in China. In the first part, the financial repression hypothesis is tested on savings and investment, with the result that there is some evidence to support the complementarity between money and physical capital in China since 1987, although this effect is shown to have become weaker over the sample period as liberalisation has taken place. The second issue is to investigate the consequences of interest rate liberalisation in China, using a dynamic stochastic general equilibrium (DSGE) model. There are two main findings. First, raising deposit rates serves to alter the division of production between consumption and investment and to improve the efficiency of the monetary policy transmission mechanism through interest rates. Second, the deregulation of deposit and loan rates leads to less volatility in inflation as interest rates are allowed to partly absorb shocks to the economy. Other monetary policies under financial repression in China are examined as well. The results based on the DSGE model suggest that the interest rate rule is more effective and powerful than the conventional money growth rule and the adjustment of the required reserve ratio helps little to contain inflation. In addition, the administrative window guidance on bank loans contributes to less volatility of inflation and stabilises the deregulation process of deposit and loan rates. The final part of the thesis examines the sources of the volatility in real exchange rate, which are shown to stem essentially from demand shocks, although up to a quarter of the volatility comes from relative supply disturbances, perhaps reflecting the importance of supply-side reform in China since the early 1990s.
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Ryou, Hyunjoo. "Exchane Rate Dynamics under Financial Market Frictions- Exchange rate regime, capital market openness and monetary policy -Electoral cycle of exchange rate in Korea : The Trilemma in Korea." Phd thesis, Université de Cergy Pontoise, 2012. http://tel.archives-ouvertes.fr/tel-00838836.
Повний текст джерелаАнотація:
-Exchange Rate Dynamics under Financial Market FrictionsThis paper extends Dornbusch's overshooting model by proposing "generalized interest parity condition", which assumes sluggish adjustment on the asset market. The exchange rate model under the generalized interest parity condition is able to reproduce the delayed overshooting of nominal exchange rates and the hump-shaped response to monetary shocks of both nominal and real exchange rates.-Electoral Cycle of Exchange Rate in KoreaThis paper empirically investigates the real exchange rate behavior around elections in Korea. We find that the real exchange rate depreciates more before the elections but there is no clear pattern found after the elections. Interestingly, this result is the opposite of the electoral cycle found in Latin American countries. To explain this results we should consider the difference between economic backgrounds of Korea and Latin American countries.-Exchange Rate Regime, Capital Market Openness and Monetary Policy; The Trilemma in KoreaThis paper tests the trilemma proposition by performing an empirical study of Korea. Korea has distinct periods of all combinations of exchange rate regime and capital market openness in trilemma: pegged exchange rate regime under capital controls, pegged exchange rate regime under free capital mobility, and floating exchange rate regime under free capital mobility. We check whether monetary autonomy exists in each of the three different combinations. We find that monetary autonomy existed over the periods with capital controls and the periods with floating exchange rate regime. For the periods with the pegged exchange rate regime and free capital mobility, monetary autonomy was limited. In addition, we identify that just before the financial crisis the government pursued autonomic monetary policy under pegged exchange rate regime and free capital mobility, thereby defying the trilemma.
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Ruddy, Traceyann. "The manipulation of headline earnings by companies listed on the JSE Securities Exchange South Africa." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/5624.
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Karani, Pascal. "The characteristics of successful and unsuccessful resolution of corporate failure on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 1998. http://hdl.handle.net/11427/9587.
Повний текст джерелаАнотація:
Includes bibliography.The study analyses the incentives and mechanisms of failing firms on the Johannesburg Stock Exchange that restructure their claims following a decline in performance and value. The study also analyses patterns for restructuring of failing firms. The sample contains firms that were delisted between 1986 and 1996. Firms that were delisted and re-instated number 28 and constitute the sample for firms that restructured successfully their claims. Firms that were delisted on the JSE following an unsuccessful debt restructuring number 32 and constitute the sample for unsuccessful firms. The study finds that firms that restructured successfully on the JSE have more intangible assets, less bank debt and few creditors. This finding means that South African corporate restructuring activities relies more on assets characteristics rather than financial characteristics.
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Pirveli, Erekle [Verfasser]. "Financial Statement Quality: First Evidence from the Georgian Stock Exchange / Erekle Pirveli." Aachen : Shaker, 2015. http://d-nb.info/1074087526/34.
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Hsieh, Tsung-Han. "Essays on financial bubbles and stock liquidity on the London Stock Exchange." Thesis, Queen's University Belfast, 2017. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727402.
Повний текст джерелаАнотація:
This thesis is a theoretical and empirical analysis of asset price movement including during periods characterised by financial bubbles. It can be argued that financial bubbles occur due to excessive optimism on the part of speculative investors. The positive expectations of investors encourage increases in both price and trading volume. When prices subsequently falter exodus from the market ensues resulting in both a price and trading volume crash. A key question is why do bubbles emerge and grow and subsequently burst? One answer to this question may be found through an analysis of how beliefs are formulated. In the theoretical component of this thesis (Chapter 2) by applying the feedback modelling approach with the coordination game of Ozcenoren and Yuan (2008) we model how investor beliefs are formulated. In Chapter 3 we use transaction-level data to investigate market illiquidity on the London Stock Exchange over the period 1996-2009. The time period under investigation encompasses the Internet (Dot-com) bubble (1997-2000) and house price bubble (2007-2008). Our dataset covers 1,600 stocks and more than 528 million trades. Chapter 4 present the second empirical investigation and considers whether spreads on the London Stock Exchange have become increasingly right skewed.
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Padungsaksawasdi, Chaiyuth. "The US Financial Crisis and the Behavior of the Foreign Exchange Market." FIU Digital Commons, 2012. http://digitalcommons.fiu.edu/etd/642.
Повний текст джерелаАнотація:
Foreign exchange market is the most active market in today’s global financial domains. While the consensus on several aspects of this market is fairly established, the informational efficiency in this market is still unsettled, particularly during unexpected interruptions and unusual or unstable periods. The financial crisis of 2008 is the most recent example of such a period.
This dissertation focuses on the efficiency of the foreign exchange market during a unique, turbulent period using the six most actively traded currencies: the Australian dollar, Canadian dollar, Swiss franc, Euro, British pound, and Japanese yen. Considering nine months before the peak of the financial crisis to nine months thereafter, the entire sample is divided into three sub-samples: full-, non-crisis-, and crisis-periods. Both daily and minute-by-minute data are used. A variety of instruments are analyzed, including spot, forward, and exchange traded funds on the currencies. The methodologies that are employed range from standard econometric tests of efficiency to estimation of vector error correction models to identify price discovery, or leadership positions, in each of the currency markets.
The findings indicate behavioral similarities and differences. The patterns of the volatility of the currencies are mixed: two-humped for the AUD, CAD, and EUR; W-shaped for the CHF; three-humped for the GBP, and flat U-shaped for the JPY. The daily results from several methodologies provide mixed evidence on market efficiency. Over the entire sample period, the estimated forward premium coefficients from the GARCH (1, 1) model are not significant for all currencies, while the null hypotheses of zero and one cointegrating vectors cannot be rejected for all currencies, except for the AUD. These findings are consistent with some of the previous studies, concluding that the efficiency tests in the foreign exchange market would depend on the methodology and the time period of the study.
The high frequency data results show different degrees of price discovery between pair-wise instruments. Specifically, the spot exchange market shows a greater contribution to price discovery than the corresponding exchange traded funds. A possible explanation is the current size of the market and its increased transparency through the use of electronic trading.
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Enoksson, Viktor, and Fredrik Svedberg. "Optimization of hydro power on the Nordic electricity exchange using financial derivatives." Thesis, KTH, Matematisk statistik, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-168655.
Повний текст джерелаАнотація:
Since the deregulation of the Nordic electricity market in 1996, electricity has become one of the most traded commodities in the Nordic region. The electricity price is characterized by large fluctuations as the supply and demand of electricity are seasonally dependent. The main interest of the hydro power producers is to assure that they can sell their hydro power at an attractive rate over time. This means that there is a demand for hedging against these fluctuations which in turn creates trading opportunities for third party actors that offer solutions between consumers and producers. Telge Krafthandel is one of these actors interested in predicting the future supply of hydro power, and consequently the resulting price of electricity. Several existing models employ the assumption of perfect foresight regarding the weather in the future. In this thesis, the authors develop new models for hydro power optimization that take hydrological uncertainty into account by implementing a variation of multi-stage optimization in order to maximize the income of the hydro power producers. The optimization is performed with respect to prices of financial derivatives on electricity. This gives insights into the expected supply of hydro power in the future which in turn can be used as an indicator of the price of electricity. The thesis also discusses, among other things, different methods for modeling stochastic inflow to the reservoirs and scenario construction. This practice will result in different methods that are suitable for various key players in the industry.Sedan avregleringen av den Nordiska elmarknaden år 1996 har el blivit en av de mest handlade råvarorna i Norden. Elpriset karaktäriseras av stora svängningar eftersom utbudet och efterfrågan på el är säsongsberoende. Huvudintresset för vattenkraftsproducenter är att säkerställa att de kan sälja sin vattenkraft till ett attraktivt pris över tid. Detta innebär att det finns en efterfrågan för skydd mot dessa variationer, vilket i sin tur skapar affärsmöjligheter för tredjepartsaktörer som erbjuder lösningar mellan konsumenter och producenter. Telge Krafthandel är en av dessa aktörer och är därmed intresserad av att förutsäga det framtida utbudet på vattenkraft, och det resulterande elpriset. Flera befintliga modeller använder antagandet om perfekt förutseende när det gäller vädret i framtiden. I denna rapport utvecklar författarna nya modeller för vattenkraftsoptimering, som tar hänsyn till hydrologisk osäkerhet genom att implementera en variant av flerstegsoptimering för att maximera intäkterna för vattenkraftsproducenter. Optimeringen utförs med hänsyn till priserna på elderivat. Detta ger insikter i den förväntade tillgången på vattenkraft i framtiden, vilket i sin tur kan användas som en indikator på elpriset. I rapporten diskuteras också, bland annat, olika metoder för att modellera stokastiskt inflöde till vattenmagasinen och scenariokonstruktion. Detta kommer att leda till flera metoder som är lämpliga för olika aktörer i branschen.
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Mans-Kemp, Nadia. "Corporate governance and the financial performance of selected Johannesburg Stock Exchange industries." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/95957.
Повний текст джерелаАнотація:
Thesis (PhD)-- Stellenbosch University, 2014.ENGLISH ABSTRACT: Mainstream investors are mostly interested in how they can benefit financially from a specific investment. Although this is the case, an increasing number of so-called responsible investors are also beginning to integrate environmental, social and corporate governance (ESG) aspects into their investment analysis and ownership practices. Corporate governance compliance is often the first level of ESG interest for these investors. Previous researchers considered the relationship between corporate governance and various financial performance measures, but reported inconclusive evidence on the nature of the relationship. Even though the three King Reports provide a well-developed framework for corporate governance compliance in South Africa, no comprehensive academic study has previously been conducted on the above-mentioned relationship in the South African context. The primary objective of the current study was therefore to investigate the relationship between corporate governance and the financial performance of selected JSE industries. The chosen study period (20022010) coincided with the launch of the King II Report and included the 20072009 global financial crisis. A combination of convenience and judgement sampling was used to draw a sample from six JSE industries. In an attempt to reduce survivorship bias, the sample included both listed firms and firms that had delisted during the study period. The complete sample comprised 227 companies (1 417 annual observations). When the study commenced, there was a lack of reliable, readily available ESG data for JSE-listed firms. An existing corporate governance research instrument was therefore refined to develop standardised data on the corporate governance compliance of the selected firms. An annual corporate governance score (CGS) was compiled for each of the firms by means of content analysis of its annual reports. Five financial performance variables were considered, namely return on assets (ROA), return on equity (ROE), earnings per share (EPS), total share return (TSR) and risk-adjusted abnormal return (alpha). The selection of these measures was based on previous research. The secondary financial data were sourced from the McGregor BFA database and the Bureau for Economic Research. The resulting panel dataset was analysed by means of various descriptive and inferential analyses. The descriptive statistics revealed an overall increasing corporate governance compliance trend. Both the disclosure and acceptability dimensions of the sample companies’ CGSs improved over time. The sample firms complied with approximately 68 per cent of the corporate governance criteria on average. The panel regression analysis showed a significant positive relationship between CGS and the accounting-based EPS ratio. Although this result is encouraging, it should be kept in mind that managers can have an influence on both these variables. On the other hand, a significant negative relationship was observed between the market-based TSR measure and CGS. The TSR measure is not adjusted for risk. Risk-adjusted abnormal returns were thus also estimated for four corporate governance-sorted portfolios. In a positive change of events, both the capital asset pricing model (CAPM) and the FamaFrench three-factor estimations showed positive alphas for the portfolio consisting of firms with the highest CGSs. These encouraging results were observed for the overall study period and the period before May 2008. Investors could thus have benefitted, in risk-adjusted terms, by investing in the sample firms with high corporate governance compliance. In the period after May 2008, the FamaFrench three-factor estimations revealed that the risk-adjusted market-based performance of almost all the sample firms were negatively affected by the global financial crisis of the late 2000s. The reported alphas for this period were, however, not significant. Based on these results, the researcher recommends that directors, managers and shareholders should consider the valuable opportunities associated with sound corporate governance compliance, rather than merely regarding it as a “tick-box” obligation.
AFRIKAANSE OPSOMMING: Hoofstroombeleggers is veral geïnteresseerd in hoe hulle finansieel by ʼn spesifieke belegging kan baat. Alhoewel dit die geval is, begin ʼn toenemende aantal sogenaamde ‘verantwoordelike beleggers’ ook die omgewing, sosiale en korporatiewe bestuursaspekte (ESG-aspekte) in hulle beleggingsanalise en eienaarskapspraktyke integreer. Korporatiewe bestuursnakoming is dikwels die eerste vlak van ESG-belangstelling vir hierdie beleggers. Vorige navorsers het die verwantskap tussen korporatiewe bestuur en verskeie maatstawwe van finansiële prestasie ondersoek, maar het onbesliste resultate ten opsigte van die aard van die verhouding gerapporteer. Ongeag die drie King-verslae wat ʼn goed ontwikkelde raamwerk vir die nakoming van korporatiewe bestuur in Suid-Afrika verskaf, is daar tot dusver nog geen omvattende akademiese studie oor die bogenoemde verwantskap in Suid-Afrika gedoen nie. Die primêre doelstelling van hierdie studie was dus om die verwantskap tussen korporatiewe bestuur en die finansiële prestasie van JSE-genoteerde maatskappye te ondersoek. Die geselekteerde studie tydperk (2002-2010) het die wêreldwye finansiële krisis van 2007-2009 ingesluit en het saamgeval met die bekendstelling van die King II-verslag. ʼn Kombinasie van gerieflikheids- en oordeelkundige steekproefneming is gebruik om ʼn steekproef vanuit ses JSE-nywerhede te selekteer. In ʼn poging om oorlewingsydigheid te verminder, het dié steekproef sowel genoteerde maatskappye as maatskappye wat gedurende die studietydperk gedenoteer het, ingesluit. Die volledige steekproef het uit 227 maatskappye (1 417 jaarlikse waarnemings) bestaan. Met die aanvang van die studie was daar ʼn gebrek aan betroubare, geredelik beskikbare ESG-data vir JSE-genoteerde maatskappye. ʼn Bestaande navorsingsinstrument vir korporatiewe bestuursnakoming is dus verfyn om gestandaardiseerde data rakende die gekose maatskappye se korporatiewe bestuursnakoming te verkry. ʼn Jaarlikse korporatiewe bestuur telling (CGS) is deur middel van inhoudsanalise van die betrokke maatskappy se jaarstate vir elk van die maatskappye saamgestel. Vyf finansiële prestasie veranderlikes is oorweeg, naamlik ondernemingsrentabiliteit (ROA), rentabiliteit van ekwiteit (ROE), verdienste per aandeel (EPS), totale aandeelopbrengs (TSR) en risiko-aangepaste abnormale opbrengs (alfa). Die keuse van hierdie maatreëls was op vorige navorsing gegrond. Die sekondêre finansiële data was afkomstig van die McGregor BFA-databasis en die Buro vir Ekonomiese Ondersoek. Verskeie beskrywende en inferensiële analises is gebruik om die gevolglike paneeldatastel te ontleed. Die beskrywende statistiek het gedui op ʼn algeheel toenemende tendens in korporatiewe bestuursnakoming. Beide die bekendmaking- en aanvaarbaarheidsdimensies van die steekproef maatskappye se CGS’s het met verloop van tyd verbeter. Die steekproef maatskappye het gemiddeld aan ongeveer 68 persent van die korporatiewe bestuurskriteria voldoen. Die paneel regressie-analise het ʼn beduidende positiewe verwantskap tussen CGS en die rekeningkundig-gebaseerde EPS-verhoudingsgetal getoon. Alhoewel die resultaat bemoedigend is, moet daar in gedagte gehou word dat bestuurders ʼn invloed op beide hierdie veranderlikes kan hê. Aan die ander kant is ʼn beduidende negatiewe verband tussen die markgebaseerde TSR-maatstaf en CGS waargeneem. Die TSR-maatstaf is nie vir risiko aangepas nie. Risiko-aangepaste abnormale opbrengste is dus ook bepaal vir vier korporatiewe bestuursgesorteerde portefeuljes. In ʼn positiewe wending het beide die kapitaal-bate prysmodel (CAPM) en die FamaFrench drie-faktor beramings positiewe alfas vir die portefeulje bestaande uit maatskappye met die hoogste CGS’s getoon. Hierdie bemoedigende resultate is vir die volle studietydperk en die tydperk voor Mei 2008 gerapporteer. Beleggers kon dus, in risiko-aangepaste terme, baat gevind het deur in die steekproef maatskappye met hoë korporatiewe bestuursnakoming te belê. In die tydperk ná Mei 2008 het die Fama-French drie-faktor beramings aangetoon dat die risiko-aangepaste markgebaseerde prestasie van byna al die maatskappye in die steekproef negatief geraak is deur die wêreldwye finansiële krisis van die laat 2000’s. Die gerapporteerde alfas vir hierdie tydperk was egter nie beduidend nie. Na aanleiding van hierdie resultate beveel die navorser aan dat direkteure, bestuurders en aandeelhouers die waardevolle geleenthede wat met standvastige korporatiewe bestuursnakoming verband hou oorweeg eerder as om dit bloot as ʼn “afmerk”-verpligting te beskou.
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Fourel, Valère (Valère Renaud Ernst). "Financial distress, dealers' behavior and asset pricing in the foreign exchange market." Thesis, Massachusetts Institute of Technology, 2018. http://hdl.handle.net/1721.1/115654.
Повний текст джерелаАнотація:
Thesis: S.M. in Management Research, Massachusetts Institute of Technology, Sloan School of Management, 2018.Cataloged from PDF version of thesis.
Includes bibliographical references (pages 39-43).
Exploiting a high frequency dealer-specific quote database in the FX market, I show that shocks to the CDS of a financial intermediary, proxy for its financial wealth, makes her quote larger bid-ask spreads when uncertainty about the underlying traded asset is high or when market competition is low. I first establish that markets are dominated by a handful of dealers who are responsible for more than 90% of the quotes in the different FX spot markets. I then document that, when exchange rate volatility is high, a 1% increase in intermediary's default probability does translate into a 4 bps increase in the bid-ask spread that she quotes. When competition is low, a similar deterioration in financial wealth leads to a 6.4 bps increase in bid-ask spread size. I finally show that in the case of emerging country currencies, the average CDS spread of the financial intermediaries quoting in the FX market is a statistically significant predictor for the volatility of the idiosyncratic component of the currency risk premium. More surprisingly, the dispersion in terms of financial wealth across financial intermediaries, measured as the variance of the financial intermediaries CDS spreads, is also an important determinant of this volatility for a large set of emerging country currencies.
by Valère Fourel.
S.M. in Management Research