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1.
Antonakakis, Nikolaos.
Essays on exchange rate volatility.
Degree: PhD, 2010, University of Strathclyde
URL: http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004 
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510823
► This thesis explores a number of aspects of time series modelling of exchange rate volatility. After having reviewed the main modelling approaches used in the…
(more)
▼ This thesis explores a number of aspects of time series modelling of exchange rate volatility. After having reviewed the main modelling approaches used in the existing literature, the first key chapter investigates the best models for forecasting the volatility of daily exchange rate returns for a number of countries, including new results for a selection of developing countries. The superior performance of the FIGARCH model, noted in the recent literature, is confirmed in the case of industrialised countries, but the MARCH model results in substantial gains in insample estimation and out-of-sample forecasting performance when dealing with developing countries. The next essay investigates exchange rate volatility co-movements and spillovers before and after the launch of the Euro. This study has the advantage of a longer sample period than the most comparable papers. Key results are that the dominance of the Deutschemark in volatility transmission was succeeded by the dominance of the Euro following its launch, in that both exert unidirectional and persistent spillovers on the sterling, the Swiss franc and the Japanese yen. Further, there is evidence of greater stability in financial markets after the launch of the Euro in that conditional variances, covariances and correlations in exchange rate returns declined significantly. Finally the thesis turns to assessing the impact of official central bank interventions (CB1s) on exchange rate returns, their volatility and bilateral correlations. By exploiting the recent publication of intervention data by the Bank of England, this study is able to investigate interventions by a total number of four central banks, while the previous studies have been limited to three (the Federal Reserve, Bundesbank and Bank of Japan). The results of the existing literature are reappraised and refined. In particular, unilateral CBI is found to be more successful than coordinated CBI. The likely implications of these findings are then discussed.
Subjects/Keywords: 332
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APA (6th Edition):
Antonakakis, N. (2010). Essays on exchange rate volatility. (Doctoral Dissertation). University of Strathclyde. Retrieved from http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510823
Chicago Manual of Style (16th Edition):
Antonakakis, Nikolaos. “Essays on exchange rate volatility.” 2010. Doctoral Dissertation, University of Strathclyde. Accessed February 28, 2020.
http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510823.
MLA Handbook (7th Edition):
Antonakakis, Nikolaos. “Essays on exchange rate volatility.” 2010. Web. 28 Feb 2020.
Vancouver:
Antonakakis N. Essays on exchange rate volatility. [Internet] [Doctoral dissertation]. University of Strathclyde; 2010. [cited 2020 Feb 28].
Available from: http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510823.
Council of Science Editors:
Antonakakis N. Essays on exchange rate volatility. [Doctoral Dissertation]. University of Strathclyde; 2010. Available from: http://oleg.lib.strath.ac.uk:80/R/?func=dbin-jump-full&object_id=22004 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510823
2.
Vavra, Marian.
Testing for non-linearity and asymmetry in time series.
Degree: PhD, 2013, Birkbeck (University of London)
URL: http://bbktheses.da.ulcc.ac.uk/97/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
► The Ph.D. thesis, called Testing for Non-linearity and Asymmetry in Time Series, focuses on various issues related to testing for non-linearity and marginal asymmetry of…
(more)
▼ The Ph.D. thesis, called Testing for Non-linearity and Asymmetry in Time Series, focuses on various issues related to testing for non-linearity and marginal asymmetry of economic time series. This is an important issue since testing for non-linearity and/or asymmetry represents an early, yet crucial, step in the whole process of time series modelling. A mistake in this preliminary step may lead to model misspecification, and, subsequently, to a sequence of related issues throughout all the modelling steps (i.e. identification, estimation, and forecasting). As a result, this type of mistakes is very likely to result in wrong business or economic policy decisions. The thesis is divided into six chapters. The first chapter explains the motivation for the thesis. The second chapter, called Robustness of the Power of Non-linearity Tests, examines the statistical properties of the selected univariate non-linearity tests under different conditions. In particular, special attention is paid to the robustness of the power properties of the tests against moment condition failure of innovations, asymmetry of innovations, and the parameter configuration of data generating processes. Since analytical results are available only for a very limited number of the test statistics, an extensive Monte Carlo approach is implemented instead. The Monte Carlo results reveal that the power of the selected non-linearity tests is statistically significantly inflated under asymmetry of innovations and moment condition failure. In the third chapter, called Testing for Non-linearity Using a Modified Q Test, a new version of the portmanteau Q test, based on auto- and cross-correlations, is developed. The main task of this chapter is to propose a new type of the Q test in order to bypass some of the shortcomings of the McLeod and Li Q test discovered in Chapter 2. Our results, based on extensive Monte Carlo experiments, suggest the proposed Q test significantly improves the power against some non-linear time series models (e.g. threshold autoregressive and moving average models) and is capable to detect some interesting non-linear processes (e.g. non-linear moving average models), for which the standard Mcleod and Li Q test completely fails. In the fourth chapter, called Testing for Marginal Asymmetry in Time Series, a modified test for symmetry of the marginal law of weakly dependent processes is proposed. The test statistic is based on sample quantiles. It is shown that the test has an intuitive interpretation, it is easy and fast to calculate, it it follows a standard limiting distribution, and much more importantly, it is robust against weak dependence of observations. Especially the last feature makes the test very attractive for the use in applied economics since it minimizes inferential errors due to the incorrect configuration of the test. The finite sample properties of the test are examined via Monte Carlo experiments. The results suggest that the quantile-based test of symmetry performs very well. In the fifth chapter, called Testing for…
Subjects/Keywords: 332
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APA (6th Edition):
Vavra, M. (2013). Testing for non-linearity and asymmetry in time series. (Doctoral Dissertation). Birkbeck (University of London). Retrieved from http://bbktheses.da.ulcc.ac.uk/97/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
Chicago Manual of Style (16th Edition):
Vavra, Marian. “Testing for non-linearity and asymmetry in time series.” 2013. Doctoral Dissertation, Birkbeck (University of London). Accessed February 28, 2020.
http://bbktheses.da.ulcc.ac.uk/97/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700.
MLA Handbook (7th Edition):
Vavra, Marian. “Testing for non-linearity and asymmetry in time series.” 2013. Web. 28 Feb 2020.
Vancouver:
Vavra M. Testing for non-linearity and asymmetry in time series. [Internet] [Doctoral dissertation]. Birkbeck (University of London); 2013. [cited 2020 Feb 28].
Available from: http://bbktheses.da.ulcc.ac.uk/97/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700.
Council of Science Editors:
Vavra M. Testing for non-linearity and asymmetry in time series. [Doctoral Dissertation]. Birkbeck (University of London); 2013. Available from: http://bbktheses.da.ulcc.ac.uk/97/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.629700
Durham University
3.
Koutmos, Dimitrios.
Asset pricing and the intertemporal risk-return tradeoff.
Degree: PhD, 2012, Durham University
URL: http://etheses.dur.ac.uk/3529/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550671
► The intertemporal risk-return tradeoff is the cornerstone of modern empirical finance and has been the focus of much debate over the years. The reason for…
(more)
▼ The intertemporal risk-return tradeoff is the cornerstone of modern empirical finance and has been the focus of much debate over the years. The reason for this is because extant literature cannot agree as to the very nature of this important relation. This is troublesome in terms of academic theory given that it challenges the notion that investors are risk-averse agents and is furthermore troublesome in practice given that market participants expect to be rewarded with higher expected returns in order to take on higher risks. The motivation for this thesis stems from the conflicting and inconclusive empirical evidence regarding the risk-return tradeoff. Through each of the chapters, it sheds new light on possible reasons as to why extant studies offer conflicting evidence and, given the enhancements and innovative approaches proposed here, it provides empirical evidence in support of a positive intertemporal risk-return tradeoff when examining several international stock markets. The research questions this thesis addresses are as follow. Firstly, is it possible that extant conflicting evidence is manifested in the use of historical realized returns to proxy for investors’ forward-looking expected returns? Secondly, can accounting for shifts in investment opportunities (i.e. intertemporal risk) better explain investors’ risk aversion and changes in the dynamic risk premium? Thirdly, is it possible that conflicting findings are the result of neglecting to account for the possibility that there exist heterogeneous investors in the stock market with divergent expectations? The empirical findings can be summarized as follows; firstly, there is a strong possibility that many existing studies cannot find a positive risk-return relation because they are relying on ex post historical realized returns as a proxy for investors’ forward-looking expected returns. Secondly, there is evidence in favor of the Merton (1973) notion that there exists intertemporal risk which impacts investors and that this type of risk should be considered. This has been also another reason why extant literature cannot agree on the nature of the intertemporal risk-return tradeoff. Finally, even after accounting for investor heterogeneity, the findings provide support for the Merton (1973) theoretical Intertemporal Capital Asset Pricing Model. Namely, in contrast to existing studies on the matter, there is evidence of fundamental traders over longer horizons and no evidence of feedback traders at such horizons. Although this sheds new light on some of the driving forces behind stock prices, the nature of investors’ degree of risk aversion seems to be best supported by the Merton (1973) theoretical Intertemporal Capital Asset Pricing Model.
Subjects/Keywords: 332
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APA (6th Edition):
Koutmos, D. (2012). Asset pricing and the intertemporal risk-return tradeoff. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/3529/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550671
Chicago Manual of Style (16th Edition):
Koutmos, Dimitrios. “Asset pricing and the intertemporal risk-return tradeoff.” 2012. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/3529/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550671.
MLA Handbook (7th Edition):
Koutmos, Dimitrios. “Asset pricing and the intertemporal risk-return tradeoff.” 2012. Web. 28 Feb 2020.
Vancouver:
Koutmos D. Asset pricing and the intertemporal risk-return tradeoff. [Internet] [Doctoral dissertation]. Durham University; 2012. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/3529/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550671.
Council of Science Editors:
Koutmos D. Asset pricing and the intertemporal risk-return tradeoff. [Doctoral Dissertation]. Durham University; 2012. Available from: http://etheses.dur.ac.uk/3529/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550671
Durham University
4.
Ikizlerli, Deniz.
An empirical investigation of the behaviour of foreign investors in emerging markets.
Degree: PhD, 2010, Durham University
URL: http://etheses.dur.ac.uk/391/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519895
► Using monthly data of foreign flows on Istanbul Stock Exchange (ISE), the thesis finds that in contrast to most of the available theory and repeated…
(more)
▼ Using monthly data of foreign flows on Istanbul Stock Exchange (ISE), the thesis finds that in contrast to most of the available theory and repeated previous findings on other markets, foreign investors act in a contrarian manner with respect to past local returns in ISE, however only in rising markets. The findings do not support the price pressure hypothesis; instead the price impact is permanent supporting the base-broadening and information hypotheses. The analysis on individual stocks suggests no evidence of informed trading, suggesting that, foreigners have no particular advantage in terms of domestic information in the ISE. Employing daily trading data from five emerging stock markets, namely the Jakarta Stock Exchange, Korea Stock Exchange (KOSPI), Stock Exchange of Thailand (SET), Taiwan Stock Exchange, and the Kosdaq Stock Market, this thesis documents that that in four out of five markets global risk appetite affects equity flows to emerging markets. Furthermore, foreigners’ trading with respect to local return is found to be different across high and low risk appetite levels in Indonesia, Kosdaq and the Kospi markets. Their trading with respect to local return is also found to be different across high and low states of the economy in KOSPI and SET. Finally, using a daily dataset from the Stock Exchange of Thailand, this thesis investigates whether foreigners react differently on the announcement of macroeconomic news, compared to local investors. It also addresses some serious econometric issues that have affected other papers in this area. Under this improved model, many reactions turn out not to be significant, particularly since the 1997-8 crisis. However, on hearing inflation news, foreigners do react in the opposite way to local individual investors. They will therefore tend to reduce any locally-induced volatility.
Subjects/Keywords: 332
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APA (6th Edition):
Ikizlerli, D. (2010). An empirical investigation of the behaviour of foreign investors in emerging markets. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/391/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519895
Chicago Manual of Style (16th Edition):
Ikizlerli, Deniz. “An empirical investigation of the behaviour of foreign investors in emerging markets.” 2010. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/391/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519895.
MLA Handbook (7th Edition):
Ikizlerli, Deniz. “An empirical investigation of the behaviour of foreign investors in emerging markets.” 2010. Web. 28 Feb 2020.
Vancouver:
Ikizlerli D. An empirical investigation of the behaviour of foreign investors in emerging markets. [Internet] [Doctoral dissertation]. Durham University; 2010. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/391/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519895.
Council of Science Editors:
Ikizlerli D. An empirical investigation of the behaviour of foreign investors in emerging markets. [Doctoral Dissertation]. Durham University; 2010. Available from: http://etheses.dur.ac.uk/391/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519895
5.
Chen, Runquan.
Volatility and correlation in financial markets : econometric modeling and empirical pricing.
Degree: PhD, 2009, London School of Economics and Political Science (University of London)
URL: http://etheses.lse.ac.uk/2354/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645829
► This thesis is an empirical study of the volatility and correlation in financial markets, and consists of two parts: The first part is on econometric…
(more)
▼ This thesis is an empirical study of the volatility and correlation in financial markets, and consists of two parts: The first part is on econometric modeling of the volatility and correlation (Chapter 1). The second part is on the pricing implication of the correlation and volatility as risk factors (Chapter 2 and 3). The thesis begins with proposing a regime-switching multivariate GARCH model of volatilities and correlation. We incorporate the Markov-switching mechanism into the Constant Conditional Correlation model (CCC). The proposed model allows us to capture the different dynamics in both the volatilities and correlations in different regimes. It is particularly useful in examining the contemporaneous relationship between the unobservable volatility and correlation processes. We apply our model to the stock market index paired with two bond market indexes. Then in the second chapter, we estimate the risk premium for the average correlation in the cross-section of the US stock market. The average correlation is the cross-sectional average of the correlations between each pair of stocks in the stock market. We find there is a negative and statistically significant risk premium for the average correlation controlling for other factors such as Fama-French's SMB and HML as well as the liquidity factor and momentum factor. The third chapter focuses on the risk-return relation using a set of variance-related risk measures. We combine two lines of literature both of which find significant forecasting power of some risk measures for stock market returns: variance risk premium literature and studies on average variance-correlation decomposition. We illustrate how these two approaches can be related to each other, and empirically evaluate the relative importance of two approaches.
Subjects/Keywords: 332
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APA (6th Edition):
Chen, R. (2009). Volatility and correlation in financial markets : econometric modeling and empirical pricing. (Doctoral Dissertation). London School of Economics and Political Science (University of London). Retrieved from http://etheses.lse.ac.uk/2354/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645829
Chicago Manual of Style (16th Edition):
Chen, Runquan. “Volatility and correlation in financial markets : econometric modeling and empirical pricing.” 2009. Doctoral Dissertation, London School of Economics and Political Science (University of London). Accessed February 28, 2020.
http://etheses.lse.ac.uk/2354/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645829.
MLA Handbook (7th Edition):
Chen, Runquan. “Volatility and correlation in financial markets : econometric modeling and empirical pricing.” 2009. Web. 28 Feb 2020.
Vancouver:
Chen R. Volatility and correlation in financial markets : econometric modeling and empirical pricing. [Internet] [Doctoral dissertation]. London School of Economics and Political Science (University of London); 2009. [cited 2020 Feb 28].
Available from: http://etheses.lse.ac.uk/2354/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645829.
Council of Science Editors:
Chen R. Volatility and correlation in financial markets : econometric modeling and empirical pricing. [Doctoral Dissertation]. London School of Economics and Political Science (University of London); 2009. Available from: http://etheses.lse.ac.uk/2354/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645829
University of Exeter
6.
Garcia Ares, Pedro Angel.
Essays on stock return predictability and corporate payout policy.
Degree: PhD, 2014, University of Exeter
URL: http://hdl.handle.net/10871/17212
► This dissertation studies the effect of the changes in corporate dividend policy on the predictability of stock returns. The first two chapters re-visit the question…
(more)
▼ This dissertation studies the effect of the changes in corporate dividend policy on the predictability of stock returns. The first two chapters re-visit the question of what drives stock returns after controlling for these market-wide changes in the cross-sectional profile of dividend paying firms, and the third chapter studies the nature of these changes across different industry groups, stock market indexes, size and age. There have been several significant changes in the nature of corporate payout policy of US firms over the last several decades. We focus our work on the effect of two of these changes, using the present value model, into the question of what drives stock returns-cash flows or discount rate news. Chapter 1 studies the effect of the large decrease in the proportion of dividend paying firms in changes in expected cash flows and/or discount rates by focusing on portfolios of dividend paying firms rather than aggregate portfolios of all listed firms. Our results, from Chapter 1, imply that the relatively importance of cash flows and discount rate news is intimately related to the cross-sectional variation in the patterns of dividend payers in the stock market and provide an intuitive explanation for the contradictory results documented in the existing literature. Chapter 2 builds on Chapter 1 and tries to reconcile and explain why results using the return and the book-to-market decomposition differ for the post-WW II period. It also provides with an alternate explanation different from dividend smoothing for the apparent absence of dividend growth predictability in post-WW II U.S. data. We find that predictive regressions based on the return on equity decomposition are sensitive to the way in which firm-level data is aggregated. Specifically we find that when firm-level data is weighted by value both decomposition methods -the Campbell-Shiller and the Voulteenaho return decompositions provide strong support for cash flow news as a driver of stock returns in post-WW II data. We also find that, in post-WW II data, the existence of cash flow news is driven by the fact that the biggest firms by market capitalization are not always those that generate the biggest earnings or pay the largest dollar dividends. In Chapter 3, the final part of this work, we investigate the anatomy of corporate payouts. Specifically, we use firm-level data to understand which firms drive the changing patterns of payouts over time and in the cross-section. Our work extends the current literature by studying firms payouts based on industry sectors, firm age and other attributes. Our main finding is that we find support for our conjecture - in Chapter 2, that the biggest firms by market capitalization are not always those that generate the biggest earnings or pay the largest dollar dividends.
Subjects/Keywords: 332
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APA (6th Edition):
Garcia Ares, P. A. (2014). Essays on stock return predictability and corporate payout policy. (Doctoral Dissertation). University of Exeter. Retrieved from http://hdl.handle.net/10871/17212
Chicago Manual of Style (16th Edition):
Garcia Ares, Pedro Angel. “Essays on stock return predictability and corporate payout policy.” 2014. Doctoral Dissertation, University of Exeter. Accessed February 28, 2020.
http://hdl.handle.net/10871/17212.
MLA Handbook (7th Edition):
Garcia Ares, Pedro Angel. “Essays on stock return predictability and corporate payout policy.” 2014. Web. 28 Feb 2020.
Vancouver:
Garcia Ares PA. Essays on stock return predictability and corporate payout policy. [Internet] [Doctoral dissertation]. University of Exeter; 2014. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/10871/17212.
Council of Science Editors:
Garcia Ares PA. Essays on stock return predictability and corporate payout policy. [Doctoral Dissertation]. University of Exeter; 2014. Available from: http://hdl.handle.net/10871/17212
University of Leicester
7.
Qaqeesh, Sahar Sameeh.
The predictive power of the term structure of interest rates : the case of Jordan.
Degree: PhD, 2010, University of Leicester
URL: http://hdl.handle.net/2381/10212
► This thesis investigates whether the short end of the term structure has the ability to predict the future movements in short term rates and the…
(more)
▼ This thesis investigates whether the short end of the term structure has the ability to predict the future movements in short term rates and the inflation rate using data from a developing country: the case of Jordan. A number of econometric techniques are employed to examine the predictability of the term structure and to deal with the low quality data. In order to examine the ability of the term structure to predict the future movements in short term rates, the validity of the Expectations Hypothesis (EH) is tested. The EH implies that the term spread is an optimal predictor of the future changes in short term rates. For the empirical testing, two sets of data are used; the term structure in the Jordanian interbank market and the term structure in the primary market. The information content of the term structure about inflation rate is examined by investigating whether there is a long run equilibrium relationship between the short term rates and the inflation rate; that is, testing the Fisher Hypothesis, and between the domestic term spread and the inflation rate. Moreover, given that the exchange regime in Jordan is pegged to the US Dollar, the information content of the US term spread is also examined. The cointegration analysis is the only technique that provides evidence that the EH holds. In addition, it provides evidence that the domestic and the US term spreads contain some information about the inflation rate. As a result of dealing with low quality data, the Monte Carlo simulation provides evidence that the size distortion of the Dickey Fuller (DF) test becomes larger as the noise increases in the data and faster as the sample size becomes bigger. This evidence supports the literature that discusses the size distortion of the DF test.
Subjects/Keywords: 332
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APA (6th Edition):
Qaqeesh, S. S. (2010). The predictive power of the term structure of interest rates : the case of Jordan. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/10212
Chicago Manual of Style (16th Edition):
Qaqeesh, Sahar Sameeh. “The predictive power of the term structure of interest rates : the case of Jordan.” 2010. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/10212.
MLA Handbook (7th Edition):
Qaqeesh, Sahar Sameeh. “The predictive power of the term structure of interest rates : the case of Jordan.” 2010. Web. 28 Feb 2020.
Vancouver:
Qaqeesh SS. The predictive power of the term structure of interest rates : the case of Jordan. [Internet] [Doctoral dissertation]. University of Leicester; 2010. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/10212.
Council of Science Editors:
Qaqeesh SS. The predictive power of the term structure of interest rates : the case of Jordan. [Doctoral Dissertation]. University of Leicester; 2010. Available from: http://hdl.handle.net/2381/10212
University of Leicester
8.
Shah, Imran Hussain.
Three essays on monetary policy and inflation in developing countries.
Degree: PhD, 2012, University of Leicester
URL: http://hdl.handle.net/2381/10202
► The principal objective of this thesis is to evaluate appropriate measures of inflation which are to be applicable for implementing monetary policy in developing countries.…
(more)
▼ The principal objective of this thesis is to evaluate appropriate measures of inflation which are to be applicable for implementing monetary policy in developing countries. The first essay attempts to assess real effects of high inflation episodes for Indonesia, Malaysia and Pakistan. In order to investigate the real effects of high inflation episodes, the study adopts an indicator for the inflationary real effect, named inflationary real response (IRR), which is the difference between the expected and output-neutral inflation. Both the expected and output-neutral inflation are computed as the decomposition of shocks induced in the vector autoregressive (VAR) model. The main finding of this chapter is that there is a positive real effect in economic growth in the period after high inflation. The second essay investigates the responses of real output and inflation to oil price, aggregate supply and demand shocks in the four Asian developing countries; Indonesia, Malaysia, Pakistan, and Thailand. The structural VAR model is used to identify the different shocks and to explore the relative contributions of these shocks in explaining macroeconomic fluctuations. It is found that oil price shocks have negligible effects on economic activities for all the examined countries. However, aggregate supply and demand shocks are key sources of variation in output and inflation. The final essay examines whether the central bank should target a broader measure of the price index that incorporates stock prices alongside the prices of current goods and services. The primary contribution of this chapter is the estimation of a price index that can be efficiently utilised by central banks aiming to minimise output volatility. The results suggest that the central bank should use a price index that gives a sizeable weight to the fundamental component of stock prices to minimise output gap variance.
Subjects/Keywords: 332
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APA (6th Edition):
Shah, I. H. (2012). Three essays on monetary policy and inflation in developing countries. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/10202
Chicago Manual of Style (16th Edition):
Shah, Imran Hussain. “Three essays on monetary policy and inflation in developing countries.” 2012. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/10202.
MLA Handbook (7th Edition):
Shah, Imran Hussain. “Three essays on monetary policy and inflation in developing countries.” 2012. Web. 28 Feb 2020.
Vancouver:
Shah IH. Three essays on monetary policy and inflation in developing countries. [Internet] [Doctoral dissertation]. University of Leicester; 2012. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/10202.
Council of Science Editors:
Shah IH. Three essays on monetary policy and inflation in developing countries. [Doctoral Dissertation]. University of Leicester; 2012. Available from: http://hdl.handle.net/2381/10202
University of Leicester
9.
Begum, Shahinoor.
The role of government and politics in fostering financial systems.
Degree: PhD, 2012, University of Leicester
URL: http://hdl.handle.net/2381/10168
► State ownership in banking has received considerable coverage in the academic literature. However, there are a very few recognised case studies of state ownership of…
(more)
▼ State ownership in banking has received considerable coverage in the academic literature. However, there are a very few recognised case studies of state ownership of banks in developed countries. This thesis explores how bank ownership structure affects capital allocation efficiency within developed countries. This paper uses a new dataset comprises of 306 large private and public banks in 35 major developed and emerging markets in the 1990’s to provide a bank-level empirical analysis on government ownership of banks. This study focuses on bank lending pattern during election years to determine political influence on government owned banks amongst both developed economies and emerging markets. By utilizing annual data on both fixed effect and dynamic panel estimation techniques, evidence suggests that during election years government owned banks increase their lending compared to private banks in developed economies which contradicts findings from previous study. Key macroeconomic variables have been used to check for robustness of the results.
Subjects/Keywords: 332
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APA (6th Edition):
Begum, S. (2012). The role of government and politics in fostering financial systems. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/10168
Chicago Manual of Style (16th Edition):
Begum, Shahinoor. “The role of government and politics in fostering financial systems.” 2012. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/10168.
MLA Handbook (7th Edition):
Begum, Shahinoor. “The role of government and politics in fostering financial systems.” 2012. Web. 28 Feb 2020.
Vancouver:
Begum S. The role of government and politics in fostering financial systems. [Internet] [Doctoral dissertation]. University of Leicester; 2012. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/10168.
Council of Science Editors:
Begum S. The role of government and politics in fostering financial systems. [Doctoral Dissertation]. University of Leicester; 2012. Available from: http://hdl.handle.net/2381/10168
University of Leicester
10.
Ahmed, Doaa Akl Ahmed Sayed.
An operational framework for inflation targeting in Egypt.
Degree: PhD, 2012, University of Leicester
URL: http://hdl.handle.net/2381/10164
► The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basically, it aimed at answering the following questions. (1) Should…
(more)
▼ The thesis focuses on the potential adoption of the inflation targeting (IT) regime in Egypt. Basically, it aimed at answering the following questions. (1) Should the central bank of Egypt shift to IT or continue with the current monetary policy framework, monetary aggregate targeting (MAT). (2) What the optimal policy horizon (OPH) should central bank choose to target inflation, (3) Does modelling inflation using models that allow for time-varying conditional variance, skewness and kurtosis helps in better understanding of inflation uncertainty? The main results of the thesis show that: (1) To answer the first question, the stability of velocity of money in circulation and money multiplier has been analysed using variance ratio tests and found unstable. Therefore, we could conclude that the current MAT framework cannot achieve its ultimate goal of price stability and it is believed that shifting to IT framework is highly recommended. (2) Concerning the OPH, the results show that the OPH is largely dependent on the nature of the shock and on a central bank’s preferences over goals. Thus, for different kinds of the shocks, even if they are generally classified of the same type, the concern of the central bank about other policy objectives affects the policy horizon. With respect to shock persistence, the results demonstrate that the horizon increases with the persistence of the shock as persistent shock distributed over many period in comparison with transitory and less persistent shocks. (3) To answer the third question, the methodology proposed by Leon, Rubio, and Serna (2005) for modelling nonconstant conditional second, third and fourth moments is applied. The results indicate that models with nonconstant second, third and fourth moments are superior to models with time invariant volatility, skewness and kurtosis.
Subjects/Keywords: 332
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APA (6th Edition):
Ahmed, D. A. A. S. (2012). An operational framework for inflation targeting in Egypt. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/10164
Chicago Manual of Style (16th Edition):
Ahmed, Doaa Akl Ahmed Sayed. “An operational framework for inflation targeting in Egypt.” 2012. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/10164.
MLA Handbook (7th Edition):
Ahmed, Doaa Akl Ahmed Sayed. “An operational framework for inflation targeting in Egypt.” 2012. Web. 28 Feb 2020.
Vancouver:
Ahmed DAAS. An operational framework for inflation targeting in Egypt. [Internet] [Doctoral dissertation]. University of Leicester; 2012. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/10164.
Council of Science Editors:
Ahmed DAAS. An operational framework for inflation targeting in Egypt. [Doctoral Dissertation]. University of Leicester; 2012. Available from: http://hdl.handle.net/2381/10164
University of York
11.
Kostakis, Alexandros.
Essays on dynamic asset allocation and performance measures.
Degree: PhD, 2008, University of York
URL: http://etheses.whiterose.ac.uk/11078/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490694
► The present thesis examines two central issues in financial theory, optimal portfolio choice and investment performance evaluation, when the restrictive assumptions of the traditional static,…
(more)
▼ The present thesis examines two central issues in financial theory, optimal portfolio choice and investment performance evaluation, when the restrictive assumptions of the traditional static, mean-variance framework of analysis are relaxed. Chapter 2 presents a series of model specifications for the risky asset's returns and the underlying risk factor and derives the corresponding optimal portfolio choices. It shows how important the modelling assumptions are for the implementation of dynamic asset allocation in practice and it contributes to the literature by examining the impact of horizon effects on portfolio choice in the presence of both predictability and stochastic volatility in asset returns. Moreover, this chapter shows how important is the introduction of an asset that completes the market and allows investors to hedge against the shocks that affect their opportunity set, Chapter 3 examines the bond portfolio choice of a long-term investor, making use of a macro-finance term structure model that allows for time-varying risk premia. This chapter shows how important is the failure of the expectations hypothesis for both myopic and long-term investors, since the time-variation in the bond premia dictates a market timing behaviour for investment as well as for hedging purposes. Incorporating macroeconomic information, that plays a significant role in bond pricing, we examine how this can be used for the formation of optimal portfolios by long-term investors. Furthermore, this chapter serves as an evaluation of the very recent term structure models from an asset allocation perspective, drawing the attention to the correlation and the covariance structure of the bond returns. Chapter 4 employs the Harvey-Siddique asset pricing model and evaluates a sample of UK equity unit trusts, proposing the intercept of this model, that is termed as the Harvey-Siddique alpha, as a new performance measure. This asset pricing model adds to the CAPM the returns of a negative coskewness strategy as an extra risk factor. Constructing this factor for the UK stock market, it is shown that negative coskewness bears a high risk premium. This framework allows us to examine how the adoption of specific performance measures generates incentives in fund management. In particular, we provide evidence that fund managers, who are evaluated by mean-variance performance measures, are incentivized to load negative coskewness risk to their portfolios in order to reap the corresponding premium and present it as outperformance. Chapter 5 overviews the contributions of this thesis, discusses the numerous issues that arise from the present results and outlines the following steps in our research agenda.
Subjects/Keywords: 332
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APA (6th Edition):
Kostakis, A. (2008). Essays on dynamic asset allocation and performance measures. (Doctoral Dissertation). University of York. Retrieved from http://etheses.whiterose.ac.uk/11078/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490694
Chicago Manual of Style (16th Edition):
Kostakis, Alexandros. “Essays on dynamic asset allocation and performance measures.” 2008. Doctoral Dissertation, University of York. Accessed February 28, 2020.
http://etheses.whiterose.ac.uk/11078/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490694.
MLA Handbook (7th Edition):
Kostakis, Alexandros. “Essays on dynamic asset allocation and performance measures.” 2008. Web. 28 Feb 2020.
Vancouver:
Kostakis A. Essays on dynamic asset allocation and performance measures. [Internet] [Doctoral dissertation]. University of York; 2008. [cited 2020 Feb 28].
Available from: http://etheses.whiterose.ac.uk/11078/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490694.
Council of Science Editors:
Kostakis A. Essays on dynamic asset allocation and performance measures. [Doctoral Dissertation]. University of York; 2008. Available from: http://etheses.whiterose.ac.uk/11078/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490694
Heriot-Watt University
12.
Wen, Quan.
Limit-order completion time in the London stock market.
Degree: PhD, 2009, Heriot-Watt University
URL: http://hdl.handle.net/10399/2239
► This study develops an econometric model of limit-order completion time using survival analysis. Time-to-completion for both buy and sell limit orders is estimated using tick-by-tick…
(more)
▼ This study develops an econometric model of limit-order completion time using survival analysis. Time-to-completion for both buy and sell limit orders is estimated using tick-by-tick UK order data. The study investigates the explanatory power of variables that measure order characteristics and market conditions, such as the limitorder price, limit-order size, best bid-offer spread, and market volatility. The generic results show that limit-order completion time depends on some variables more than on others. This study also provides an investigation of how the dynamics of the market are incorporated into models of limit-order completion. The empirical results show that time-varying variables capture the state of an order book in a better way than static ones. Moreover, this study provides an examination of the prediction accuracy of the proposed models. In addition, this study provides an investigation of the intra-day pattern of order submission and time-of-day effects on limit-order completion time in the UK market. It provides evidence showing that limit orders placed in the afternoon period are expected to have the shortest completion times while orders placed in the mid-day period are expected to have the longest completion times, and the sensitivities of limit-order completion time to the explanatory variables vary over the trading day.
Subjects/Keywords: 332
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APA (6th Edition):
Wen, Q. (2009). Limit-order completion time in the London stock market. (Doctoral Dissertation). Heriot-Watt University. Retrieved from http://hdl.handle.net/10399/2239
Chicago Manual of Style (16th Edition):
Wen, Quan. “Limit-order completion time in the London stock market.” 2009. Doctoral Dissertation, Heriot-Watt University. Accessed February 28, 2020.
http://hdl.handle.net/10399/2239.
MLA Handbook (7th Edition):
Wen, Quan. “Limit-order completion time in the London stock market.” 2009. Web. 28 Feb 2020.
Vancouver:
Wen Q. Limit-order completion time in the London stock market. [Internet] [Doctoral dissertation]. Heriot-Watt University; 2009. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/10399/2239.
Council of Science Editors:
Wen Q. Limit-order completion time in the London stock market. [Doctoral Dissertation]. Heriot-Watt University; 2009. Available from: http://hdl.handle.net/10399/2239
University of Sheffield
13.
Zhao, Liang.
System identification for complex financial system.
Degree: PhD, 2011, University of Sheffield
URL: http://etheses.whiterose.ac.uk/14654/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
► The mam purpose of this thesis focuses on the investigation of major financial volatility models including the relevant mean model used in the context of…
(more)
▼ The mam purpose of this thesis focuses on the investigation of major financial volatility models including the relevant mean model used in the context of volatility estimation, and the development of a systematic nonlinear identification methodology for these problems. Financial volatility is one of the key aspects in financial economics and volatility modelling involves both the mean process modelling, and the volatility process modelling. Although many volatility models have been derived to approximate the volatility process, linear mean models are almost always used and to the best of our knowledge there is no application of fitting the mean process using a nonlinear model with selected structure. Based on the fact that nonlinearity has been observed in many financial market return data sets, the Non linear AutoRegression Moving Average with eXogenous input (NARMAX) modelling methodology with the term selection algorithm Orthogonal Forward Regression (OFR) is proposed to approximate the nonlinear mean process during volatility modelling. However, the assumption of a constant variance is usually violated in financial market return data. A new Weighted OFR algorithm is therefore proposed to correct for the impact of heteroskedastic noise on the term selection of the nonlinear mean model based on the assumption that the variance process is modelled by a Generalized AutoRegressive Conditional Heteroskedastic (GARCH) model. Because the weights to use are unknown, an iterative refined procedure is developed to learn the weights and to simultaneously improve the parameter estimates of both the mean and the volatility models. New validation methods are proposed to validate the nonlinear selected mean model and the volatility model. During the validation, the assumptions associated with the mean model are tested using a correlation method and the assumptions of the volatility model are tested using a Brock-Dechert-Scheinkrnan (80S) independent and identically distributed (i.i.d.) testing method. The prediction performance of the mean and volatility models is evaluated using a hold out Cross Validation (CV)method. A departure in the prediction of the volatility for the linear mean model, when using nonlinear simulated data, is successfully identified by the new validation methods and the nonlinear selected mean model passes the test. Another application of the NARAMX model, in the very new field of modelling mortality rate, is introduced. A quadratic polynomial mortality rate model selected by the OFR algorithm is developed based on the LifeMetrics male deaths and exposures data for England & Wales from the Office of National Statistics. Comparing the long term prediction of the new model with the Cairns-Blake-Dowd (CSO) statistical mortality rate model indicates the better prediction performance of the quadratic polynomial models. A back-testing method is applied to indicate the robustness of the selected NARMAX type mortality rate models. The term selection, parameter estimation, validation methods and new identification…
Subjects/Keywords: 332
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APA ·
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Export
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Manager
APA (6th Edition):
Zhao, L. (2011). System identification for complex financial system. (Doctoral Dissertation). University of Sheffield. Retrieved from http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
Chicago Manual of Style (16th Edition):
Zhao, Liang. “System identification for complex financial system.” 2011. Doctoral Dissertation, University of Sheffield. Accessed February 28, 2020.
http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986.
MLA Handbook (7th Edition):
Zhao, Liang. “System identification for complex financial system.” 2011. Web. 28 Feb 2020.
Vancouver:
Zhao L. System identification for complex financial system. [Internet] [Doctoral dissertation]. University of Sheffield; 2011. [cited 2020 Feb 28].
Available from: http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986.
Council of Science Editors:
Zhao L. System identification for complex financial system. [Doctoral Dissertation]. University of Sheffield; 2011. Available from: http://etheses.whiterose.ac.uk/14654/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537986
14.
Dos Anjos, Pablo Lucas.
Conventional social behaviour amongst microfinance clients.
Degree: PhD, 2014, Manchester Metropolitan University
URL: http://e-space.mmu.ac.uk/326221/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
► This doctoral thesis inductively explores the role of conventional social behaviour adopted by individual microfinance clients regarding their influence over their own collective success as…
(more)
▼ This doctoral thesis inductively explores the role of conventional social behaviour adopted by individual microfinance clients regarding their influence over their own collective success as a microcredit group. The collective credit in question is subject to an adaptation in Mexico of the Grameen Bank lending framework. An analysis is made on the close interplay between institutional rules, i.e. the repayment conditions imposed by the microfinance institution (henceforth MFI), and the emergent cooperation and penalisation mechanisms that are handled by clients themselves to meet their targets. Thus the research is focused on the clients’ strategies to socially manage debt and defaulters. In this case study, a socio-economical fieldwork has been completed through surveying 600 microcredit clients, their 2404 active loans, 35 credit officers plus their board of directors. This took place in the southernmost state of Mexico, Chiapas, from September 2007 to February 2008, and data analysis was carried out during that period until July 2009. All findings were discussed with relevant stakeholders and policy makers. This proved key in providing influential insights that helped to improve the institutional regulatory framework. That resulted in a policy change that benefited over 20,000 clients. Apart from institutional regulations, it has also been observed group-level strategies devised by microfinance clients themselves to assess and deal with defaulters over time. These operate independently from the MFI framework as, despite influencing when and how quotas should be repaid, their criteria is entirely dealt with and evolved within credit groups. The obtained outcomes from analysing social and financial data include: • (I) insights backed by empirical data helped to influence an adaptation of the MFI funding credit policy, so that group structure and conventions are actually taken into consideration in a bid to foster more successful microcredit groups; • and (II) an analysis deemed reliable by the stakeholders for policy-making purposes, which has also guided the development of an exploratory model for simulating behaviour of how microcredit groups may deal with repayments in adversity. As a result of having developed this research project, three contributions to knowledge are discussed in the thesis. These are organised below according to relevant topics. 1. Understanding the behaviour within studied microfinance groups: based on the analysed evidence, a hypotheses is suggested about how group location and membership can influence the dynamics of acceptable behaviour regarding defaulters. 2. Informing policy-making with research findings: a demonstration of how stakeholders can assess the usefulness of knowledge –produced via research– for policymaking purposes, taking into account the phenomenon’s particular context. 3. The development of an agent-based model (henceforth ABM): application of the proposed ABM methodology, aimed at strengthening validation throughout the modelling process with emphasis on use of evidence…
Subjects/Keywords: 332
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APA (6th Edition):
Dos Anjos, P. L. (2014). Conventional social behaviour amongst microfinance clients. (Doctoral Dissertation). Manchester Metropolitan University. Retrieved from http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
Chicago Manual of Style (16th Edition):
Dos Anjos, Pablo Lucas. “Conventional social behaviour amongst microfinance clients.” 2014. Doctoral Dissertation, Manchester Metropolitan University. Accessed February 28, 2020.
http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119.
MLA Handbook (7th Edition):
Dos Anjos, Pablo Lucas. “Conventional social behaviour amongst microfinance clients.” 2014. Web. 28 Feb 2020.
Vancouver:
Dos Anjos PL. Conventional social behaviour amongst microfinance clients. [Internet] [Doctoral dissertation]. Manchester Metropolitan University; 2014. [cited 2020 Feb 28].
Available from: http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119.
Council of Science Editors:
Dos Anjos PL. Conventional social behaviour amongst microfinance clients. [Doctoral Dissertation]. Manchester Metropolitan University; 2014. Available from: http://e-space.mmu.ac.uk/326221/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.618119
King's College London (University of London)
15.
Musmeci, Nicolo.
Dynamical filtered graphs in finance.
Degree: PhD, 2016, King's College London (University of London)
URL: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
► Financial markets are complex systems characterised by the interaction of several heterogeneous agents. The associated dependence structure is non-trivial and exhibits high levels of non-stationarity…
(more)
▼ Financial markets are complex systems characterised by the interaction of several heterogeneous agents. The associated dependence structure is non-trivial and exhibits high levels of non-stationarity and non-linearity. These features make the understanding and forecasting of financial risk very challenging, since regularities observed from historical data do not necessarily mirror future behaviours. The main aim of this thesis is to investigate the complexity of the dependence structure through network filtering and clustering techniques. We have relied on these tools because they are data driven, model-independent and lend themselves to dynamical analyses. In particular, we have proposed a novel volatility forecasting tool based on network filtering. Furthermore, we have applied the Directed Bubble Hierarchical Tree (DBHT) clustering method for the first time to financial data, highlighting its advantages over other clustering techniques. We have performed statistical hypothesis tests on the dynamical DBHT clustering, in order to track the evolution of each cluster and how their industry-related information is affected by the market regime. We have studied the evolution of correlation-based filtered networks topology by means of data mining and time series techniques, investigating long-term memory properties and their relation with market risk. We have investigated how different measures of dependence perform and compare in terms of network topology, by combining multiplex tools and network filtering for the first time. We have found that the 2007 financial crisis marks a phase transition between two different regimes of dependence, which display deep dissimilarities in terms of industrial information and remain well distinct for years after the crisis. We have found that different clustering methods display different sensitivity to these structural changes. Moreover we have shown that correlation-based filtered networks display peculiar patterns in their evolution, notably long-term memory and possibly early-warning signals. After having found that a significant interplay exists between dependence structure variations and volatility, we have introduced a novel volatility forecasting tool which relies on this empirical feature. This new tool overcomes the curse of dimensionality, which limits traditional econometric models to porfolios of few assets. The multiplex analysis has revealed that it is crucial to monitor financial dependence with more than one measure at a time, as linear measures turn out to provide an incomplete picture of the dependence structure, especially during financial crises.
Subjects/Keywords: 332
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APA ·
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Manager
APA (6th Edition):
Musmeci, N. (2016). Dynamical filtered graphs in finance. (Doctoral Dissertation). King's College London (University of London). Retrieved from https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
Chicago Manual of Style (16th Edition):
Musmeci, Nicolo. “Dynamical filtered graphs in finance.” 2016. Doctoral Dissertation, King's College London (University of London). Accessed February 28, 2020.
https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803.
MLA Handbook (7th Edition):
Musmeci, Nicolo. “Dynamical filtered graphs in finance.” 2016. Web. 28 Feb 2020.
Vancouver:
Musmeci N. Dynamical filtered graphs in finance. [Internet] [Doctoral dissertation]. King's College London (University of London); 2016. [cited 2020 Feb 28].
Available from: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803.
Council of Science Editors:
Musmeci N. Dynamical filtered graphs in finance. [Doctoral Dissertation]. King's College London (University of London); 2016. Available from: https://kclpure.kcl.ac.uk/portal/en/theses/dynamical-filtered-graphs-in-finance(1b57af36-485e-4275-85ef-7324dc0a3c26).html ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.700803
Durham University
16.
Cao, Viet Nga.
Firms’ financial flexibility and the profitability of style investing.
Degree: PhD, 2011, Durham University
URL: http://etheses.dur.ac.uk/771/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
► This thesis examines how firms’ financial flexibility affects the profitability of three of the most commonly used style investing strategies. They are the value-growth trading…
(more)
▼ This thesis examines how firms’ financial flexibility affects the profitability of three of the most commonly used style investing strategies. They are the value-growth trading strategy (going long on stocks with high Book-to-Market ratio and short on stocks with low Book-to-Market ratio), the momentum trading strategy (going long on stocks that have performed well and short on stocks that have performed poorly recently), and the accruals based trading strategy (going long on stocks with low accruals and short on stocks with high accruals). The findings suggest the value premium exists when controlling for risks using the Fama and French three factor model. However, it is explained when the risk factors are conditioned on firms’ investment irreversibility and the business cycle. Next, the momentum profit can be explained by (a) adjusting returns for risks using the Fama and French model that is conditioned on firms’ financial constraints and the business cycle, and (b) accounting for the interaction between the momentum profit and firms’ investments beyond the risk-return relationship. Finally, the accruals based trading strategy is most successful at the two ends of the financial inflexibility spectrum, supporting both an explanation based on the risk-return relationship and an explanation based on the catering theory. When controlling for the cyclicality in stock returns, the strategy ceases to be profitable. The results suggest that the understanding of corporate investment decisions can help improve the understanding of securities markets and portfolio investment strategies. There are a few lessons that investors can learn from the findings of this thesis. Value-growth investors should focus on value and growth firms with high investment irreversibility gap. Momentum investors should pursue the trading strategy among firms with high financial constraints and during economic upturns. They could also benefit from forming their portfolio from past winners and past losers with high investment gaps. Accruals based investors would benefit from pursuing the strategy among firms with high investment and financing flexibility and during economic upturns.
Subjects/Keywords: 332
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APA ·
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Export
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Manager
APA (6th Edition):
Cao, V. N. (2011). Firms’ financial flexibility and the profitability of style investing. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
Chicago Manual of Style (16th Edition):
Cao, Viet Nga. “Firms’ financial flexibility and the profitability of style investing.” 2011. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728.
MLA Handbook (7th Edition):
Cao, Viet Nga. “Firms’ financial flexibility and the profitability of style investing.” 2011. Web. 28 Feb 2020.
Vancouver:
Cao VN. Firms’ financial flexibility and the profitability of style investing. [Internet] [Doctoral dissertation]. Durham University; 2011. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728.
Council of Science Editors:
Cao VN. Firms’ financial flexibility and the profitability of style investing. [Doctoral Dissertation]. Durham University; 2011. Available from: http://etheses.dur.ac.uk/771/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.532728
Durham University
17.
Sbeiti, Wafaa.
Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries.
Degree: PhD, 2008, Durham University
URL: http://etheses.dur.ac.uk/2230/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541553
► This thesis investigates the stock markets in the GCC countries from three distinct but related dimensions. First, we empirically explore and identify the main macroeconomic…
(more)
▼ This thesis investigates the stock markets in the GCC countries from three distinct but related dimensions. First, we empirically explore and identify the main macroeconomic variables that affect the movement of these stock markets. Second, we investigate the impact of stock markets and banking sector developments on the process of economic growth in these countries. Finally, we examine the impact of stock markets’ development on the financing choices of firms operating in these markets and identify the determinants of their capital structure. The three above-mentioned areas of research are motivated by several reasons. First, given that the development of a well structured financial system has taken place in these countries only over the last thirty years, the empirical studies related to the financial development in the GCC countries are rare. Second, GCC countries have been largely ignored in the earlier empirical financial economics literature which bestows originality on our empirical work, specially, in the context of stock market development. The rapid growth in the GCC countries' stock markets over the past two decades raises empirical questions regarding the fundamental connection between stock markets growth and the key macroeconomic variables and how these developments feed into the real economic activities. Third, the GCC countries are non-tax paying entities which make them an interesting case to investigate whether the determinants of the capital structure of firms operating in these markets are similar to those operating in the developed and industrial countries. For example there is not a single published study which examines and compares the capital structure of firms listed in the GCC stock markets or the stock markets development and firms financing choice in these countries. The empirical results reveal the following: (1) both global and local macroeconomic variables affect the performance of stock markets in the GCC countries. (2) Both stock markets and banking sector positively influence economic growth process and they are complementary rather than substitutes for each other. (3) Stock markets in the GCC countries have become more developed and considered an important tool for corporate financing decisions. Moreover, corporate capital structure in these countries can be explained by the determinants suggested in corporate finance models.
Subjects/Keywords: 332
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APA (6th Edition):
Sbeiti, W. (2008). Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/2230/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541553
Chicago Manual of Style (16th Edition):
Sbeiti, Wafaa. “Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries.” 2008. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/2230/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541553.
MLA Handbook (7th Edition):
Sbeiti, Wafaa. “Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries.” 2008. Web. 28 Feb 2020.
Vancouver:
Sbeiti W. Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries. [Internet] [Doctoral dissertation]. Durham University; 2008. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/2230/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541553.
Council of Science Editors:
Sbeiti W. Stock markets dynamics, financial sector development and corporate capital structure in the GCC countries. [Doctoral Dissertation]. Durham University; 2008. Available from: http://etheses.dur.ac.uk/2230/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.541553
Durham University
18.
Barbopoulos, Leonidas.
The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains.
Degree: PhD, 2009, Durham University
URL: http://etheses.dur.ac.uk/2067/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496723
► The primary objective of this thesis is to investigate the effects of takeover bid announcements on the value of bidders that engage in domestic and…
(more)
▼ The primary objective of this thesis is to investigate the effects of takeover bid announcements on the value of bidders that engage in domestic and cross-border acquisitions. The empirical chapters focus on three major Issues. They are: (a) the Implications of International variations in corporate governance systems, (b) the roles of market valuations, economic conditions and exchange rate changes, and (c) the effects of ambiguity in the valuation of unlisted targets, on the wealth of shareholders of bidding firms. Evidence from all chapters, while revealing that bidders' gains vary significantly with several firm and transaction specific characteristics, strongly confirm the deterministic power of the key Issues examined. Specifically, the findings discussed In chapter 3, not only confirm that bidders tend to enjoy higher short-run gains from acquisitions of (a) listed and subsidiary targets that based In civil-law countries and (b) stock financed acquisitions of targets that based in common-law countries, but they also suggest that bidders perform relatively better In the long-run when the targets are based In common-law countries. The results reported and discussed in chapter 4 show that bidders' shareholders enjoy higher announcement gains from domestic than from foreign takeovers only when the bid is announced during periods of low market valuation, high levels of economic growth, and weak effective exchange rate. On the contrary, acquisitions made during periods of high market valuation and strong effective exchange rate yield higher abnormal returns to shareholders of acquirers of foreign than domestic target firms. The results also confirm that whereas market valuations and the effective exchange rate have similar effects on bidders' post-merger performance, the effects of economic growth tend to reverse after three and five years following the bid announcement. Evidence discussed in the final empirical chapter (chapter 5) suggests that the gains of bidders engaged in acquisitions of unlisted targets are shaped by the degree of difficulty surrounding the valuation of these targets. Bidders' shareholders enjoy higher announcement gains when they acquire less value-ambiguous unlisted targets. Acquisitions of (a) mature and (b) large unlisted targets generate higher (lower) short-run (long-run) returns to shareholders of bidders. In addition, bidders of unlisted targets laden with intangible assets generate low short-run returns but perform better in the long-run. Overall, the findings of this thesis show that the gains of bidders based In the UK are not only affected by transaction and firm specific factors but also by the corporate governance system of the country In which the targets are based, the stock market conditions, economic situations and exchange rate movements at the time of bid announcement, as well as the difficulty Involved in valuing the targets.
Subjects/Keywords: 332
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APA (6th Edition):
Barbopoulos, L. (2009). The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/2067/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496723
Chicago Manual of Style (16th Edition):
Barbopoulos, Leonidas. “The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains.” 2009. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/2067/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496723.
MLA Handbook (7th Edition):
Barbopoulos, Leonidas. “The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains.” 2009. Web. 28 Feb 2020.
Vancouver:
Barbopoulos L. The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains. [Internet] [Doctoral dissertation]. Durham University; 2009. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/2067/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496723.
Council of Science Editors:
Barbopoulos L. The impact of corporate governance systems, economic conditions, and target value ambiguity on bidders' gains. [Doctoral Dissertation]. Durham University; 2009. Available from: http://etheses.dur.ac.uk/2067/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496723
Durham University
19.
Vivian, Andrew J.
The equity risk premium puzzle revisited : the case of the UK stock market.
Degree: PhD, 2007, Durham University
URL: http://etheses.dur.ac.uk/2445/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549992
► This thesis stimulated and inspired by failings in the current literature investigates a series of issues relating to the UK Equity Risk Premium Puzzle. The…
(more)
▼ This thesis stimulated and inspired by failings in the current literature investigates a series of issues relating to the UK Equity Risk Premium Puzzle. The UK market is focussed upon given prior research is heavily concentrated on the us market. The prior literature also focuses upon the aggregate equity premium. This thesis makes another important extension to prior work by analysing the equity premium for portfolios formed on cross-sectional characteristics such as size or industry. Specifically, it addresses the following three main issues. Firstly, is the historical equity premium an appropriate proxy for the expected equity premium? Secondly, does the use of the ex-post equity premium overstate the magnitude of the ex-ante equity premium puzzle? Thirdly, do low frequency equity returns follow different regimes over time? The main results indicate that the alignment of ex-post equity returns with fundamental measures of equity returns depends upon both the time period considered and the measure of fundamental used. Empirical evidence also supports the view that the expected equity premium follows different regimes and thus does vary over time. This low-frequency time variation in expected returns appears to, in general, be systematic, affecting portfolios within the market at a similar time. Our results contribute to the academic literature and also have important implications for practitioners by offering insight into the nature of the Equity Premium Puzzle and the appropriateness of using ex-post returns as a proxy for ex-ante returns.
Subjects/Keywords: 332
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APA (6th Edition):
Vivian, A. J. (2007). The equity risk premium puzzle revisited : the case of the UK stock market. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/2445/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549992
Chicago Manual of Style (16th Edition):
Vivian, Andrew J. “The equity risk premium puzzle revisited : the case of the UK stock market.” 2007. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/2445/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549992.
MLA Handbook (7th Edition):
Vivian, Andrew J. “The equity risk premium puzzle revisited : the case of the UK stock market.” 2007. Web. 28 Feb 2020.
Vancouver:
Vivian AJ. The equity risk premium puzzle revisited : the case of the UK stock market. [Internet] [Doctoral dissertation]. Durham University; 2007. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/2445/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549992.
Council of Science Editors:
Vivian AJ. The equity risk premium puzzle revisited : the case of the UK stock market. [Doctoral Dissertation]. Durham University; 2007. Available from: http://etheses.dur.ac.uk/2445/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.549992
Durham University
20.
Vagenas-Nanos, Evangelos Charalampos.
The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns.
Degree: PhD, 2010, Durham University
URL: http://etheses.dur.ac.uk/516/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.524849
► The main objective of this thesis is to investigate takeover gains for UK bidding firms and offer a behavioural approach to empirical analysis. The main…
(more)
▼ The main objective of this thesis is to investigate takeover gains for UK bidding firms and offer a behavioural approach to empirical analysis. The main issues and key findings of the three empirical chapters are summarised as follows. Chapter 3 empirically investigates the hubris hypothesis for corporate takeovers (Roll (1986)). This thesis examines whether overconfident managers destroy shareholder value (in public deals) or whether their actions generally lead to lower wealth effects (in private deals) relative to rational bidders. Bidders’ short and long-term performance is also examined by employing, for the first time in a UK study, three different measures of overconfidence namely Stock Options, Multiple Acquirers and Business Press proxies. The results indicate that managers infected by hubris fail to generate superior returns than those generated by rational bidders, for all three proxies of overconfidence after controlling for various bidder and deal characteristics. We therefore argue that the well-documented destructive effect upon shareholder wealth of managerial overconfidence is not sensitive to the measure used for this behavioural bias (i.e. overconfidence). The Hubris hypothesis assumes a rational market-irrational manager framework while Shleifer and Vishny (2003) offer rational manager-irrational market framework and suggest that takeovers are driven by overvalued markets. Chapter 4 empirically investigates the proposal of Baker et al. (2007) who claims that ‘the irrational manager and irrational investor stories can certainly coexist’. Findings show that rational managers who announce takeovers in high valuation periods enjoy the highest abnormal returns while overconfident managers who announce takeover bids in low valuation periods cannot hide the poor quality or possible overpayment of their deals ending up suffering the highest losses. Lastly, Chapter 5 offers a behavioural approach to explain short –run bidder gains. Neoclassical theories suggest that the market reaction following the announcement of a takeover bid reflects either synergy or revaluation gains. Chapter 5 suggests that acquirers’ abnormal returns reflect a market overreaction. Results suggest that under conditions of low information uncertainty when investors do not possess private information, the market reaction is complete (zero abnormal returns) for any type of acquisition. On the other hand, under conditions of high information uncertainty, investors overweight their private information and overreact to takeover announcements. Therefore, they generate highly positive and significant gains following the announcement of private stock and public cash deals (considered to be ‘good’ news), positive gains following private cash acquisitions (also defined as ‘good’ news) while investors heavily punish public stock deals (classified as ‘bad’ news)
Subjects/Keywords: 332
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APA (6th Edition):
Vagenas-Nanos, E. C. (2010). The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/516/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.524849
Chicago Manual of Style (16th Edition):
Vagenas-Nanos, Evangelos Charalampos. “The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns.” 2010. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/516/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.524849.
MLA Handbook (7th Edition):
Vagenas-Nanos, Evangelos Charalampos. “The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns.” 2010. Web. 28 Feb 2020.
Vancouver:
Vagenas-Nanos EC. The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns. [Internet] [Doctoral dissertation]. Durham University; 2010. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/516/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.524849.
Council of Science Editors:
Vagenas-Nanos EC. The impact of managerial overconfidence and investor sentiment on bidders’ abnormal returns. [Doctoral Dissertation]. Durham University; 2010. Available from: http://etheses.dur.ac.uk/516/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.524849
Durham University
21.
Tameme, Mohammed El Khatim M.
Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients.
Degree: PhD, 2009, Durham University
URL: http://etheses.dur.ac.uk/77/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507439
► An important aspect of Islamic finance in the retail market has been the introduction of mortgage products for housing finance. These are offered by a…
(more)
▼ An important aspect of Islamic finance in the retail market has been the introduction of mortgage products for housing finance. These are offered by a number of banks in the UK. The aim of this research is to examine the characteristics of the UK market for Islamic mortgages and to analyse the activities of the major institutions involved. Supply and demand conditions are explored. This study evaluates the development of Islamic housing finance in the United Kingdom by focusing on the following main areas: First, it investigates whether there is any effective demand for Islamic Mortgages in the UK. Second, the study evaluates the perceptions of UK Muslims towards various aspects of Islamic mortgages and provides an empirical assessment of these perceptions. Also, the study analyses how Muslim client attitutes and the overall environment affects preferences for Islamic mortgage products. Third, it investigates the factors which might encourage or discourage home-buying among UK Muslims. Fourth, it investigates the current structures of Islamic mortgages and examines whether these play a role in helping low-income groups from the Muslim community to achieve home ownership. Fifth, it investigates the current practices surrounding Islamic mortgages to identify the obstacles and factors influencing decision making with the aim of suggesting possible remedies. The study also evaluates accessibility issues with the objective of defining effective ways of raising awareness in the Muslim Community. It also discusses the marketing of Islamic mortgages and investigates the importance of product awareness by bank staff. Furthermore, it explores in detail the role of religion, Muslim households’ consumer preferences and the prospects for Islamic banks cross-selling mortgage products to Muslim customers. Finally this study investigates the factors influences clients’ choices of Islamic mortgage providers. In fulfilling its aims and objectives, this study has utilized both primary and secondary data from the UK. A survey questionnaire was conducted among the Muslim community in London. Non-parametric procedures and tests have been used to analyze the data collected. The findings of the study demonstrate that there is a gap in home ownership among British Muslims compared to the general public, which is determined by affordability, financial exclusion and information gaps. In addition, this study found that there is substantial potential demand for Islamic mortgages in the UK, which requires effective but also sound marketing strategies. Perception and opinion analysis also indicated that wider social factors and lifestyle choices may be increasing the demand for Islamic mortgages. Moreover, the findings also demonstrate that perceptions of Islamic mortgages are similar between different ethnic and tenure groups. Some Muslim ethnic groups are more willing than others to take on an Islamic mortgage even if it is more expensive than a conventional mortgage. The study concludes that the prospects of Islamic mortgages in UK are…
Subjects/Keywords: 332
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APA (6th Edition):
Tameme, M. E. K. M. (2009). Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients. (Doctoral Dissertation). Durham University. Retrieved from http://etheses.dur.ac.uk/77/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507439
Chicago Manual of Style (16th Edition):
Tameme, Mohammed El Khatim M. “Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients.” 2009. Doctoral Dissertation, Durham University. Accessed February 28, 2020.
http://etheses.dur.ac.uk/77/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507439.
MLA Handbook (7th Edition):
Tameme, Mohammed El Khatim M. “Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients.” 2009. Web. 28 Feb 2020.
Vancouver:
Tameme MEKM. Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients. [Internet] [Doctoral dissertation]. Durham University; 2009. [cited 2020 Feb 28].
Available from: http://etheses.dur.ac.uk/77/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507439.
Council of Science Editors:
Tameme MEKM. Demand and supply conditions of Islamic housing finance in the United Kingdom : perceptions of Muslim clients. [Doctoral Dissertation]. Durham University; 2009. Available from: http://etheses.dur.ac.uk/77/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.507439
Heriot-Watt University
22.
Fu, Xingran.
On valuation of non-hedgeable insurance risks.
Degree: PhD, 2007, Heriot-Watt University
URL: http://hdl.handle.net/10399/2095
► As the demand increases from the International Accounting Standards Board CIASB), there is correspondingly an increa..c:;ing interest in establishing a set of standard valuation approaches,…
(more)
▼ As the demand increases from the International Accounting Standards Board CIASB), there is correspondingly an increa..c:;ing interest in establishing a set of standard valuation approaches, which can give a clear measurement of the value of both liabilities and a..c:;sets. In the insurance industry, especially for the pensions providers and the life insurers, the importance of non-hedgable insurance risks, such as the longevity risks, is now being recognized. The appearance of insurance-linked securities provides some suitable hedging instruments to a..c:;sist the insurance r' institutions in managing these non-hedgable risk exposures. The aim of this thesis is to investigate the valuation of non-hedgable insurance risks and consider how the insurance institutions can use insura'nce-linked securities to hedge these risks. We start from a simple discrete multi-period market model. By issuing a new security, which can be viewed a..c:; an insurance liability, we are looking for the equilibrium price of the new a..c:;set. We will also use some pricing methods from financial mathematics, Le. risk minimization methods and the variance optimal martingale approach, to value the new asset.. We also introduce a set of approximate pricing methods based on power series expansions. Based on a two-factor stochastic mortality model, we simulate the price of a pension annuity. By using a linear approximation method, we bridge the gap between the discrete time model and continuous model. We extend the discrete market model to a continuous model, and we consider an investor with some future insurance liability. We use the martingale approach with a pension annuity as the numeraire and the stochastic optimal control method to find out the investor's optimal terminal wealth and the optimal trading portfolio process. By introducing a new asset, (that is, an insurance-linked security into the market model), we investigate how the investor can use the new asset to hedge the insurance risk, and how to benefit from the insurance-linked asset. We also consider some more complex asset models, such as a stochastic interest rate model, as well as a more complex and practical pension annuity model. We also investigate how the choice of a numeraire can simplify the calculation process by using a numeraire with,a general form.
Subjects/Keywords: 332
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APA (6th Edition):
Fu, X. (2007). On valuation of non-hedgeable insurance risks. (Doctoral Dissertation). Heriot-Watt University. Retrieved from http://hdl.handle.net/10399/2095
Chicago Manual of Style (16th Edition):
Fu, Xingran. “On valuation of non-hedgeable insurance risks.” 2007. Doctoral Dissertation, Heriot-Watt University. Accessed February 28, 2020.
http://hdl.handle.net/10399/2095.
MLA Handbook (7th Edition):
Fu, Xingran. “On valuation of non-hedgeable insurance risks.” 2007. Web. 28 Feb 2020.
Vancouver:
Fu X. On valuation of non-hedgeable insurance risks. [Internet] [Doctoral dissertation]. Heriot-Watt University; 2007. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/10399/2095.
Council of Science Editors:
Fu X. On valuation of non-hedgeable insurance risks. [Doctoral Dissertation]. Heriot-Watt University; 2007. Available from: http://hdl.handle.net/10399/2095
Robert Gordon University
23.
Forsyth, Michael.
An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment.
Degree: PhD, 2008, Robert Gordon University
URL: http://hdl.handle.net/10059/464
► The financial industry changed significantly through the 1990s as commercial banks pursued additional profits through non-traditional and off-balance sheet (OBS) activity. The regulatory bodies had…
(more)
▼ The financial industry changed significantly through the 1990s as commercial banks pursued additional profits through non-traditional and off-balance sheet (OBS) activity. The regulatory bodies had to accept the changing risk nature of the industry and the response was the introduction of the 1996 Market Risk Amendment (MRA) by the Basle Committee. The MRA, through a series of 4 key announcements, was reached in January 1996 and fully implemented from January 1997, whereby banks were required to hold incremental capital to cover unexpected losses from market risk. In this study a multivariate regression model is used to investigate the effect of the MRA announcements on the returns to shareholders of commercial banks within G-10 countries (Belgium, Canada, France, Italy, Japan, the Netherlands, Sweden, Switzerland, the United Kingdom, and the United States). The empirical results suggest that bank shareholders in Italy, Sweden, and especially Japan benefited from the introduction of the MRA, while bank shareholders in the United Kingdom, Canada, and especially US experienced significant losses from 4 announcements that led to the final proposal of the 1996 MRA. The significant growth in income generated through OBS activities, such as trading and fee-based income, changed the risk profile financial institutions. This study employs four VaR methodologies (parametric, historical simulation, Monte Carlo simulation, and Extreme Value Theory) to calculate bank risk in a period of high 4 financial market volatility: 1992 through to 1998. The results show a strong increase in VaR for the years 1997 and 1998, with Japan showing the largest risk ranking over the period, while the US and Sweden were at the low end of the risk range. The VaR results indicate it may be misleading to compare risk scores across financial institutions if the reported numbers are based on different VaR methodologies. The results from the Monte Carlo (MC) and Extreme Value Theory (EVT) approaches result in the highest VaR estimates, while the parametric results were consistently lower. This thesis also employed Data Envelopment Analysis (DEA) to compute bank-level technical efficiency under Constant Returns to Scale (CRS) and Variable Returns to Scale (VRS) between 1992 and 1998. The results for the entire bank sample across the period of study show inefficiency levels of 39% and 33%, under CRS and VRS respectively. The inclusion of off-balance sheet (OBS) activity in the DEA score is found to be significant, and indicate that the exclusion of this variable as an output leads to a misspecification and underestimation of bank efficiency. A Tobit regression approach was used to examine the relationship between bank efficiency and various bank and environmental variables. The second stage findings show that inflation is detrimental to bank efficiency, while a negative relationship is found between VaR and efficiency, indicating inefficient banks appear to take on less risk. A positive relationship is found between the MRA dummy variable and bank…
Subjects/Keywords: 332
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APA (6th Edition):
Forsyth, M. (2008). An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment. (Doctoral Dissertation). Robert Gordon University. Retrieved from http://hdl.handle.net/10059/464
Chicago Manual of Style (16th Edition):
Forsyth, Michael. “An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment.” 2008. Doctoral Dissertation, Robert Gordon University. Accessed February 28, 2020.
http://hdl.handle.net/10059/464.
MLA Handbook (7th Edition):
Forsyth, Michael. “An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment.” 2008. Web. 28 Feb 2020.
Vancouver:
Forsyth M. An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment. [Internet] [Doctoral dissertation]. Robert Gordon University; 2008. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/10059/464.
Council of Science Editors:
Forsyth M. An examination of large commercial banks within G-10 : risk, efficiency, and the 1996 market risk amendment. [Doctoral Dissertation]. Robert Gordon University; 2008. Available from: http://hdl.handle.net/10059/464
Cardiff University
24.
Yang, Lucun.
Essays in open economy macroeconomics.
Degree: PhD, 2010, Cardiff University
URL: http://orca.cf.ac.uk/55500/
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.585064
► This thesis addresses three issues in international macroeconomics. Chapter 2 provides an empirical investigation of both the short- and long-term determinants of current accounts for…
(more)
▼ This thesis addresses three issues in international macroeconomics. Chapter 2 provides an empirical investigation of both the short- and long-term determinants of current accounts for the eight largest emerging Asian economies. The analysis is carried out within a cointegrated VAR framework. In this chapter, I show that current account behaviours in emerging Asian economies are heterogenous. Initial stock of net foreign assets and degree of openness to international trade are important factors in explaining the long-run behaviour of current accounts. Moreover, the current accounts of all sample economies have a self-adjusting mechanism except China. Short run current account adjustment towards long-run equilibrium path is gradual, with the disequilibrium term being the main determinant of the short-run current account variations. Chapter 3 analyses current account sustainability of the short-run sample economies included in Chapter 2 in the context of the intertemporal budget constraint approach. Both strong and weak form tests of current account sustainability are performed in the study. Based on more generalised sustainability conditions, all the sample economies are found to be on a sustainable current account path. In addition, I find that accounting for endogenously identified structural breaks increases the instances of cointegration between an economy's exports and imports, which are more in favour of current account sustainability. Chapter 4 uses a three-country general equilibrium model to investigate the importance of consumption bias in generating equity portfolio bias. I find that the optimal holdings of non-traded goods equities are only affected by the separability between traded and non-traded goods, while optimal holdings of traded goods equities are determined by the household's preferences over domestic and foreign traded goods.
Subjects/Keywords: 332
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Manager
APA (6th Edition):
Yang, L. (2010). Essays in open economy macroeconomics. (Doctoral Dissertation). Cardiff University. Retrieved from http://orca.cf.ac.uk/55500/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.585064
Chicago Manual of Style (16th Edition):
Yang, Lucun. “Essays in open economy macroeconomics.” 2010. Doctoral Dissertation, Cardiff University. Accessed February 28, 2020.
http://orca.cf.ac.uk/55500/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.585064.
MLA Handbook (7th Edition):
Yang, Lucun. “Essays in open economy macroeconomics.” 2010. Web. 28 Feb 2020.
Vancouver:
Yang L. Essays in open economy macroeconomics. [Internet] [Doctoral dissertation]. Cardiff University; 2010. [cited 2020 Feb 28].
Available from: http://orca.cf.ac.uk/55500/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.585064.
Council of Science Editors:
Yang L. Essays in open economy macroeconomics. [Doctoral Dissertation]. Cardiff University; 2010. Available from: http://orca.cf.ac.uk/55500/ ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.585064
Loughborough University
25.
Wimanda, Rizki E.
Inflation and monetary policy rules : evidence from Indonesia.
Degree: PhD, 2009, Loughborough University
URL: https://dspace.lboro.ac.uk/2134/6251
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519946
► This thesis studies price behaviour, the determinants of inflation, threshold effects, and policy rules in Indonesia. Using data from January 2002 to April 2008, the…
(more)
▼ This thesis studies price behaviour, the determinants of inflation, threshold effects, and policy rules in Indonesia. Using data from January 2002 to April 2008, the study reveals that the relative law of one price holds. This is proven by the variability of one product across cities being lower than the variability of all products in one city. The variability of the product is explained well by the cost of transportation and the level of development. Employing panel regression, this study also shows that prices of 35 sub-categories within 45 cities in Indonesia exhibit convergence. The average speed of convergence for perishable goods is about 9 months, for non-perishable goods 32-36 months, and for services 18-19 months. Inflation in Indonesia is found to be affected by expected inflation (backward-looking expectations and forward-looking expectations), the output gap, exchange rate depreciation, and money growth. Backward-looking inflation expectations dominate the form of inflation expectations. Using data from 1980:1 to 2008:12 and employing Generalized Method of Moments, this study finds non-linearity in the Phillips curve. The effect of exchange rate depreciation on CPI inflation is found to be linear. However, the effect of money growth on inflation is not linear; there are two threshold values identified. The study shows that the higher the growth of money, the less the impact on inflation is. To guide policymakers, this thesis derives simple, but efficient policy rules. Using monthly data from 1980 to 2008 and simulating deterministically the small open macroeconomic model, the study reveals that the inflation forecast-based rule with contemporaneous output gap (IFBG) is the most efficient rule for Indonesia. The rule suggests that the central bank should react strongly on the inflation deviation from the target, react moderately on the output gap and smooth the interest rate. The optimal horizon is 3-4 quarters. Including exchange rate in the policy rule causes deterioration in economic performance.
Subjects/Keywords: 332
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APA (6th Edition):
Wimanda, R. E. (2009). Inflation and monetary policy rules : evidence from Indonesia. (Doctoral Dissertation). Loughborough University. Retrieved from https://dspace.lboro.ac.uk/2134/6251 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519946
Chicago Manual of Style (16th Edition):
Wimanda, Rizki E. “Inflation and monetary policy rules : evidence from Indonesia.” 2009. Doctoral Dissertation, Loughborough University. Accessed February 28, 2020.
https://dspace.lboro.ac.uk/2134/6251 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519946.
MLA Handbook (7th Edition):
Wimanda, Rizki E. “Inflation and monetary policy rules : evidence from Indonesia.” 2009. Web. 28 Feb 2020.
Vancouver:
Wimanda RE. Inflation and monetary policy rules : evidence from Indonesia. [Internet] [Doctoral dissertation]. Loughborough University; 2009. [cited 2020 Feb 28].
Available from: https://dspace.lboro.ac.uk/2134/6251 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519946.
Council of Science Editors:
Wimanda RE. Inflation and monetary policy rules : evidence from Indonesia. [Doctoral Dissertation]. Loughborough University; 2009. Available from: https://dspace.lboro.ac.uk/2134/6251 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.519946
University of Leicester
26.
Ge, Fang.
Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches.
Degree: PhD, 2009, University of Leicester
URL: http://hdl.handle.net/2381/4559
► The first essay introduces a Bayesian logistic smooth transition vector autoregression (LSTVAR) approach to investigating the impact of international business cycles on the UK economy.…
(more)
▼ The first essay introduces a Bayesian logistic smooth transition vector autoregression (LSTVAR) approach to investigating the impact of international business cycles on the UK economy. We find that the British business cycle is asymmetrically influenced by growth in the US, France and Germany. Overall, positive and negative shocks generating in the US or France affect the UK in the same directions as the shock. However, a shock emanating from Germany always exerts negative cumulative effects on the UK. Further, a positive shock arising from Germany adversely affects the UK output growth more than a negative shock of the same size. The second essay proposes a Bayesian method to investigating the purchasing power parity (PPP) utilizing an exponential smooth transition vector error correction model (ESTVECM). Employing a simple Gibbs sampler, we jointly estimate the cointegrating relationship along with the nonlinearities caused by the departures from the long run equilibrium. By allowing for symmetric regime changes, we provide strong evidence that PPP holds between the US and each of the remaining G7 countries. The model we employed implies that the dynamics of the PPP deviations can be rather complex, which is attested to by the impulse response analysis. The final essay proposes a Bayesian approach to exploring money-output causality within a logistic smooth transition vector error correction framework (LSTVECM). Our empirical results provide substantial evidence that the postwar US money-output relationship is nonlinear, with regime changes mainly governed by the lagged inflation rates. More importantly, we obtain strong support for long-run non-causality and nonlinear Granger-causality from money to output. Furthermore, our impulse response analysis reveals that a shock to money appears to have a negative aggregate impact on real output over the next fifty years, which calls for more caution when using money as a policy instrument.
Subjects/Keywords: 332
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Manager
APA (6th Edition):
Ge, F. (2009). Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/4559
Chicago Manual of Style (16th Edition):
Ge, Fang. “Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches.” 2009. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/4559.
MLA Handbook (7th Edition):
Ge, Fang. “Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches.” 2009. Web. 28 Feb 2020.
Vancouver:
Ge F. Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches. [Internet] [Doctoral dissertation]. University of Leicester; 2009. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/4559.
Council of Science Editors:
Ge F. Three essays in macroeconomics and monetary economics using Bayesian multivariate smooth transition approaches. [Doctoral Dissertation]. University of Leicester; 2009. Available from: http://hdl.handle.net/2381/4559
University of Leicester
27.
Nasa, Baseerit.
Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis.
Degree: PhD, 2009, University of Leicester
URL: http://hdl.handle.net/2381/4811
► Debt which emerged as a result of excessive lending by the advanced nations to disorganised and badly managed economies is oppressing the world’s poorest and…
(more)
▼ Debt which emerged as a result of excessive lending by the advanced nations to disorganised and badly managed economies is oppressing the world’s poorest and most vulnerable whilst enriching wealthy creditors. This study investigates the relationship between debt and the economic growth of 56 heavily indebted poor countries from 1969 to 2000 in three empirical chapters. The first empirical chapter examines the non-linearity of the debt-growth relationship, i.e. it estimates the threshold below which debt enhances growth whilst above which debt prevents growth. The preferred endogenous threshold model of Hansen (1996, 2000) suggests that debt becomes detrimental to growth when debt-to- GDP ratio approaches 45%. Hence a country’s debt is considered sustainable, in the sense that it affects growth positively and can be serviced without any difficulty, as long as its debt-to-GDP ratio is below 45% threshold. An alternative to threshold concept of debt sustainability is the concept of intertemporal sustainability, which defines debt as sustainable providing that actual debt level equals the present discounted value of future trade balance surpluses. This, in terms of the time series properties, implies that debt is sustainable if there is long-run economic relationship between debt stock and output. The second empirical chapter investigates this using numerous integration and cointegration methods. The results from the best tests suggest that debt is unsustainable. Nonetheless, these methodologies have low power and categorise countries into a simple dichotomy of sustainable vs. unsustainable, whereas in reality sustainability is a continuum measure. Thus, the final empirical chapter proposes the use of persistence techniques for assessing debt sustainability, i.e. estimating a Debt Sustainability Index (DSI). Estimates of the DSI conclude that Latin American and Caribbean (LAC) countries have less sustainable debt than Sub Saharan African (SSA) countries. Furthermore, the oil price, the interest rate and the commodity price shocks have played a substantial role in causing the debt crisis but the contribution of other factors unidentified is larger. The oil shocks are the most important for both groups whilst the interest rate is the least important for LAC and the commodity price for SSA.
Subjects/Keywords: 332
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Manager
APA (6th Edition):
Nasa, B. (2009). Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/4811
Chicago Manual of Style (16th Edition):
Nasa, Baseerit. “Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis.” 2009. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/4811.
MLA Handbook (7th Edition):
Nasa, Baseerit. “Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis.” 2009. Web. 28 Feb 2020.
Vancouver:
Nasa B. Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis. [Internet] [Doctoral dissertation]. University of Leicester; 2009. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/4811.
Council of Science Editors:
Nasa B. Investigating the debt-growth relationship for developing countries : a multi-country econometric analysis. [Doctoral Dissertation]. University of Leicester; 2009. Available from: http://hdl.handle.net/2381/4811
University of Leicester
28.
Hutabarat, Akhis Reynold.
Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model.
Degree: PhD, 2010, University of Leicester
URL: http://hdl.handle.net/2381/8766
► The first essay attempts to explain how the economy responds to transient exogenous exchange rate and cost-push shocks using a small open economy New Keynesian…
(more)
▼ The first essay attempts to explain how the economy responds to transient exogenous exchange rate and cost-push shocks using a small open economy New Keynesian dynamic general equilibrium model that incorporates prices and wage stickiness and cost channel of interest rate to inflation. The model shows that a low degree of prices and wage rigidity, high reliance on imports and inflation-biased monetary policy, increases exchange rate pass-through to domestic and consumer prices. The model demonstrates that the transient nature of cost-push shock, combined with rational expectation behaviour of price setter and full policy credibility, does not require the monetary authority in developing economy to respond to the shock by tightening monetary policy. The second essay investigates the relative importance of monetary transmission channel to inflation of passing persistent shock to the risk premium. The findings show that nominal exchange rate depreciation, triggered by a more persistent shock to interest risk premium, worsens the state of the economy in the short- and long-run. Such distinctive shocks effect is transmitted through the economy that typifies lack of response of consumer price disinflation to interest rate tightening caused by high real rigidity, strong cost channel of interest rate, strong cost channel of exchange rate pass-through and weak demand-side channel of exchange rate pass-through. The final essay analyses Indonesia‘s inflation determinant using a model that links banking to real sector, central bank and government. It explores interest rate cost-push channel in terms of cost of equity and cost of borrowing, enhances the previous findings about the lack of response of disinflation to interest rate policy tightening and discusses the nexus between monetary and banking policy. The strong interest rate cost channel has some implications for the behaviour of and policy for banking related to the achievement of the inflation target.
Subjects/Keywords: 332
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Manager
APA (6th Edition):
Hutabarat, A. R. (2010). Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/8766
Chicago Manual of Style (16th Edition):
Hutabarat, Akhis Reynold. “Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model.” 2010. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/8766.
MLA Handbook (7th Edition):
Hutabarat, Akhis Reynold. “Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model.” 2010. Web. 28 Feb 2020.
Vancouver:
Hutabarat AR. Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model. [Internet] [Doctoral dissertation]. University of Leicester; 2010. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/8766.
Council of Science Editors:
Hutabarat AR. Essays on monetary policy, monetary transmission and inflation of Indonesia using general equilibrium model. [Doctoral Dissertation]. University of Leicester; 2010. Available from: http://hdl.handle.net/2381/8766
University of Leicester
29.
Ahmed, Amira Akl.
Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges.
Degree: PhD, 2012, University of Leicester
URL: http://hdl.handle.net/2381/10162
► In the current thesis, the efficiency of the Egyptian and other four MENA exchanges is examined. The first issue of interest is whether market efficiency…
(more)
▼ In the current thesis, the efficiency of the Egyptian and other four MENA exchanges is examined. The first issue of interest is whether market efficiency in Egypt is related to size and regulatory changes. Employing weekly data for the period 1997-2007 and a battery of variance ratio tests (VRs), results indicated that the market was inefficient in pricing all securities during the first sub-period with tight price limits regime, however; it has become efficient in pricing securities, excluding small-capitalized firms, after the expansion of price limits coupled with adopting trading halt for few minutes if prices hit their new limits. The second issue considered is testing for weak-form-efficiency in five MENA exchanges during 1995-2009 using VRs in rolling window estimation to accommodate developments in the underlying exchanges. Results indicate that Turkish and Israeli exchanges are the most efficient throughout the whole period whereas both the Egyptian and Moroccan exchanges moved towards efficiency since late 2002 and the Jordanian exchange experienced inefficiencies during the end of the period. Exchange rates do not matter in determining the dynamics of equity markets examined. The last issue examined is the interdependence and information transmission across super sectors within the same exchange in Egypt, Turkey, and Israel. Multivariate co-integration analysis, which is executed from the domestic investor perspective, indicates the absence of long-term relationship in either exchange. In general, generalised impulse responses indicate that a positive shock in one index in either exchange affects other indexes in the same exchange. However, this impact tapers off quickly. More importantly, most of the impact is on the index experiencing the innovation and the effect on the remaining indexes is relatively small.
Subjects/Keywords: 332
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APA ·
Chicago ·
MLA ·
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CSE |
Export
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Manager
APA (6th Edition):
Ahmed, A. A. (2012). Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges. (Doctoral Dissertation). University of Leicester. Retrieved from http://hdl.handle.net/2381/10162
Chicago Manual of Style (16th Edition):
Ahmed, Amira Akl. “Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges.” 2012. Doctoral Dissertation, University of Leicester. Accessed February 28, 2020.
http://hdl.handle.net/2381/10162.
MLA Handbook (7th Edition):
Ahmed, Amira Akl. “Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges.” 2012. Web. 28 Feb 2020.
Vancouver:
Ahmed AA. Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges. [Internet] [Doctoral dissertation]. University of Leicester; 2012. [cited 2020 Feb 28].
Available from: http://hdl.handle.net/2381/10162.
Council of Science Editors:
Ahmed AA. Empirical testing for martingale property : evidence from the Egyptian and some selected MENA stock exchanges. [Doctoral Dissertation]. University of Leicester; 2012. Available from: http://hdl.handle.net/2381/10162
Cranfield University
30.
Thapa, Chandra.
Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets.
Degree: PhD, 2010, Cranfield University
URL: http://dspace.lib.cranfield.ac.uk/handle/1826/6826
;
http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545481
► This thesis comprises of four empirical studies. The first three empirical studies identify and investigate the role of different factors explaining the cross sectional and…
(more)
▼ This thesis comprises of four empirical studies. The first three empirical studies identify and investigate the role of different factors explaining the cross sectional and temporal variation of foreign equity portfolio holdings for thirty-six developed and developing host countries. The fourth empirical study demonstrates the impact of foreign equity flows on global financial linkages of four Asian emerging markets. Our first three empirical studies use foreign equity portfolio holding data on 36 host countries and employ different panel data models. Our survey of the literature shows that only few studies (two to the best of our knowledge) have modelled the bilateral cross-country foreign equity portfolio holdings on a global basis. Further, unlike previous studies, which use cross-section models, we test all our hypotheses using relatively more efficient random effect and more robust fixed effect panel data models. The first empirical study examines three hypotheses demonstrating the association between three different components of transaction costs (commission, fees and market impact) and foreign equity portfolio allocation (FEPA). To the best of our knowledge, we are first to comprehensively test the role of each of the components individually and collectively in modelling FEPA. Addressing several robustness issues, we show significant and robust effect of transaction costs with clear evidence that foreign investors tend to underweight countries with higher transaction costs. In our second empirical study we test five hypotheses investigating the role of country specific equity market characteristics (CSEMC) in explaining FEPA. We use five different variables as proxy of CSEMC, such as stock market development/size, market liquidity, emerging market dummy, equity return volatility and exchange rate volatility. We are first to use the later two volatility measures in modelling FEPA. Consistent with theory, the results show that all the CSEMC factors tend to have strong and statistically significant effect on foreign equity portfolio allocation decisions. Our third empirical study investigates the relationship between investor protection and FEPA. The existing findings on the role of investor protection are highly controversial with divided views and contrasting conclusions. By including three different measures, we demonstrate that investor protection right, particularly the one specific to foreign investments, is also an important feature influencing allocation decisions. Finally, in our fourth empirical study we use daily foreign equity flow data for four Asian emerging markets. Application of co-integration and vector error correction (VEC) models provide strong indication that the increase in foreign equity flows is driving the global financial linkages of the Asian emerging markets. Using different variants of VEC model, our investigation also demonstrates that foreign investors in the selected Asian emerging markets engage in momentum trading strategy and flows have significant effect on the local equity…
Subjects/Keywords: 332
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APA ·
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MLA ·
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Manager
APA (6th Edition):
Thapa, C. (2010). Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets. (Doctoral Dissertation). Cranfield University. Retrieved from http://dspace.lib.cranfield.ac.uk/handle/1826/6826 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545481
Chicago Manual of Style (16th Edition):
Thapa, Chandra. “Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets.” 2010. Doctoral Dissertation, Cranfield University. Accessed February 28, 2020.
http://dspace.lib.cranfield.ac.uk/handle/1826/6826 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545481.
MLA Handbook (7th Edition):
Thapa, Chandra. “Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets.” 2010. Web. 28 Feb 2020.
Vancouver:
Thapa C. Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets. [Internet] [Doctoral dissertation]. Cranfield University; 2010. [cited 2020 Feb 28].
Available from: http://dspace.lib.cranfield.ac.uk/handle/1826/6826 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545481.
Council of Science Editors:
Thapa C. Determinants of worldwide foreign equity portfolio holdings and impact of foreign equity porfolio flows on global financial linkages of emerging markets. [Doctoral Dissertation]. Cranfield University; 2010. Available from: http://dspace.lib.cranfield.ac.uk/handle/1826/6826 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.545481
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