The purpose of this thesis is to investigate the financial volatility dynamics through the GARCH modelling framework. We use univariate and multivariate GARCH-type models enriched with long memory, asymmetries and power transformations. We study the financial time series volatility and co-volatility taking into account the structural breaks detected and focusing on the effects of the corresponding financial crisis events. We conclude to provide a complete framework for the analysis of volatility with major policy implications and benefits for the current risk management practices. We first investigate the volume-volatility link for different investor categories and orders, around the Asian crisis applying a univariate dual long memory model. Our analysis suggests that the behaviour of volatility depends upon volume, but also that the nature of this dependence varies with time and the source of volume. We further apply the vector AR-DCC-FIAPARCH and the UEDCC-AGARCH models to several stock indices daily returns, taking into account the structural breaks of the time series linked to major economic events including crisis shocks We find significant cross effects, time-varying shock and volatility spillovers, time-varying persistence in the conditional variances, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks and the power of returns that best fits the volatility pattern. We observe higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets, a continuous herding investors’ behaviour, as the in-crisis correlations remain high, and a higher level of correlations during the recent financial crisis than during the Asian. Finally, we study the High-frEquency-bAsed VolatilitY (HEAVY) models that combine daily returns with realised volatility. We enrich the HEAVY equations through the HYAPARCH formulation to propose the HYDAP-HEAVY (HYperbolic Double Asymmetric Power) and provide a complete framework to analyse the volatility process.

<p>Problem: -The 2008 Financial crisis has caused global impact on business market and led to question leader's competence. Prior study has found that leadership contributes certain effects to organizations' performace under a crisis situation, however there is lit-tle study which has been made regarding to identifying crisis leadership and its compe-tence and management during crisis.</p><p>Purpose: - The purpose in this thesis is to bridge the gap between crisis management and leadership by finding answers of five research questions. Which are ; How this 2008 financial crisis has affected the international financial institutions, what leadership dimensions are performed by leaders during the financial crisis, which leadership style do leaders tend to rely on in international financial companies during the 2008 financial crisis, why do leaders tend to rely on the dimensions of transformational leadership or transactional leadership and what are the implications in this study that could lead to fu-ture research.</p><p>Method: - The study employs qualitative methods to fulfill better and deeper understanding about 'how' and 'why' on leadership dimension during the 2008 financial crisis. Data were collected by personal interviews to support and act as a foundation of the analysis to answer the research questions. The choice of interviewees is middle managers of large international companies in the financial sector in Sweden and South Korea.</p><p>Conclusions: - The finding of this study indicates that 2008 financial crisis has af-fected on large international financial corporations in Sweden and South Korea. More-over, three dimensions of transformational leadership are strongly performed by the middle managers during the 2008 financial crisis. The three strongly performed dimen-sions are (1) Inspirational Motivation, (2) Charisma/ Idealized Influence and (3) Indivi-dualized consideration.</p>

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The aim of this study is to examine incubators which were formed by Innovation Center Iceland right after the financial crisis hit in 2008. The question is whether a new concept can be defined, or a new phenomenon, called “crisis incubation”. This is a concept that has not been studied before. This research is carried out by comparing the incubators formed in Iceland with incubators in six other European countries before the crisis hit, and see if there are any differences between the entrepreneurial processes. According to the study, the main differences between traditional incubators and crisis incubators are the following: Access to crisis incubators is much easier, incubatees within crisis incubators are much less likely to experience problems after they have entered the incubators, and they are much more likely to solve problems they experience. The only problem that incubatees in a crisis incubator are more likely to experience is obtaining finance. The study also finds some similarities between traditional incubators and crisis incubators. Overall, the main results strongly indicate that the differences between the two concepts are so great, that a new phenomenon can be defined, although further research is needed.

There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market participants, such as investors and policymakers, have a vested interest in understanding how the equity market in particular and the economy in general react to international financial crises. This study aims to contribute an improved understanding of how the South African equity market interacts with international equity markets, by identifying the degree of price and volatility transmission before, during, and after an international financial crisis. This was done by investigating the possibility of changes in price and volatility transmissions from the Asian financial crisis (1997–1998), the dotcom bubble (2000–2001) and the more recent subprime financial crisis (2007–2009). An Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) model was employed within the framework of an Aggregate Shock model. The results indicate that during the international financial crises studied, the JSE All Share Index was directly affected through contagion effects inherent in the returns of the originating crisis country. Volatility transmissions during international financial crises came directly from the originating crisis country. Finally, the FTSE 100 Index was the main exporter of price and volatility transmission to the JSE All Share Index. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012

Crises in emerging markets during the 1990’s pose a challenge to understand why economies with apparently strong fundamentals did face severe devaluations and severe disruption in their functioning. We study three different aspects of crises: i) Contagion is defined as the possibility of a domestic financial or currency crisis to spread to other countries. We study the 1990’s crises and introduce a new measure for defining financial crises and isolating their impact on currency crises and vice versa; ii) During the 1990’emerging countries in crises suffered severe adjustments in the level of consumption. We build on Lucas’s measure of welfare loss and derive a more comprehensive measure that includes: total loss; loss related to changes in consumption growth rate; to volatility of consumption; and, to changes in the level of consumption; iii) Trying to explain the behaviour of consumption after crises in emerging markets during the 1990’s we found contradicting theoretical approaches and empirical results. We solve the model of intertemporal maximisation of consumption assuming that agents maximise over several periods at a time. We extend the intertemporal framework to include the decision of participating not only in the loanable funds market but in other financial assets and derive the solution for a stock market. The results imply an alternative to the specification of the Euler equation for consumption with more explanatory variables previously omitted.

Innovation and technological improvements are essential components in generating growth. While this topic is well studied, limited research exists on the effectiveness of innovation and how it drives firm value. The 2008 Financial Crisis serves as a major historical event that significantly changed the economic environment in the US. Centering my analysis around this event, my study empirically examines the efficiency of innovation investments and industry-level stock returns. By taking patents issued as a percentage of R&D outlays, I measure Efficient Innovation—how effective a firm’s R&D is in generating significant innovative change.

M.Comm. (Economics) / The recent global financial and economic crisis has brought about renewed interest in the nexus between credit markets and monetary policy. This research aims to contribute to the understanding of the factors that drive the demand for credit on an aggregate level, and the household and corporate sectors for the South African economy. The study assessed the equilibrium determinants of the aggregate and sectoral demand for credit in South Africa by making use of a cointegrated vector autoregression (CVAR) methodology. In addition, the periods of debt overhang and short-falls, at aggregate and sectoral levels in the credit market, are derived from these equilibrium levels. The estimated models indicate the existence of long-run relationships for the aggregate credit demand equation, a classic demand-type relationship linking aggregate credit with gross domestic product (GDP) and the lending rate is established. For credit extended to the corporate sector, the results indicate that in the long-run it is determined by investment expenditure, operating surpluses and the lending rate. Whereas for credit extension to the household sector, it was found that the lending rate, disposable income and household debt were its important long-run determinants. All the results of the estimated equations are in line with a demand-type relationship and the traditional hypothesis that credit is demanded to finance real economic transactions, namely for liquidity purposes and to finance working capital. The results of the short-term dynamics indicate that credit extension variables are the equilibrium variables, although the speed of adjustment parameter is found to be sluggish, which shows that the slow adjustment to equilibrium from shocks to the credit markets is attributable to the existence of stronger frictions and transaction costs in credit markets. These findings justify the persistent periods of credit overhang and short-falls in South Africa that this study derives from the equilibrium coefficient terms. The study shows that periods of credit overhang and short-falls are linked to the business cycle phases in South Africa.

A thesis submitted to the Faculty of Humanities at the University of the Witwatersrand, Johannesburg in fulfilment of the conditions for the degree of Doctor of Philosophy. April 2016. / The global financial crisis of 2007–2008 changed the way the world thinks about economics as a discipline and brought about awareness of how economics is taught at universities. In view of an on-going global debate about the economics curriculum and its teaching, this doctoral study places the South African context within the global higher education sphere and explores how introductory economics is taught in first-year at a South African university. This study explored the teaching of Economics 1 at a mainstream, globally-ranked public university in South Africa with very similar content and structure to the Economics 1 curriculum in the West. The main aim of the doctoral study was to investigate the qualitatively different ways in which university teachers (lecturers and tutors) teaching Economics 1 at a South African university conceive of, experience and understand their teaching and tutoring roles. On the basis of this, three research questions were asked: (I) What are the qualitatively different ways in which lecturers at ‘the University’ understand teaching Economics 1?; (II) What are the qualitatively different ways tutors at ‘the University’ understand teaching Economics 1?; and (III) What is/are the implication(s) for students’ learning of teaching Economics 1 within the current setting at ‘the University’ through the lenses of relevant conceptual frameworks and the outcome of the empirical study? Teaching in higher education, the disciplinary context of economics’ undergraduate teaching and its implications for students’ learning underpinned the choice of the literature, the three conceptual frameworks and the research methodology. By asking the three research questions above to guide the research process, the empirical study used a qualitative methodology – phenomenography – that aims to explore the qualitatively different ways in which a group of people experience a specific phenomenon, in this case teaching Economics 1 in higher education. On the basis of phenomenography as a conceptual framework in itself, this doctoral study further analysed the empirical data using two conceptual frameworks - a four-context framework for teaching in higher education and the concept of semantic gravity, relating to segmented and cumulative learning, as conceptual lenses. Two sets of conceptions of teaching emerged on the basis of answering the first two research questions. A careful, comparative analysis of these two sets (lecturers’ and tutors’ sets of conceptions of teaching) led to six conceptions of teaching Economics 1 in higher education as follows: (I) team collaboration to implement the economics curriculum; (II) having a thorough knowledge of the content; (III) implementing the curriculum in order for students to pass assessment; (IV) helping students learn key economics concepts and representations to facilitate learning; (V) engaging students through their real-life economics context to acquire economic knowledge; and (VI) helping students think like economists. The first three are characterised as being teacher-centred and the later three as student-centred. Applying the concept of semantic gravity (Maton, 2009), I argue that the latter two more complete conceptions of teaching imply cumulative learning in which students are able to acquire higher-order principles whereby they are able to apply the knowledge acquired through the teaching of Economics 1 in new contexts. The first four conceptions are seen as favouring segmented learning. According to this analysis, the fourth conception, although characterized as student oriented, should be regarded as favouring segmented learning which is not in line with the aims of higher education. As for the four-context model of teaching in higher education, the analysis from the empirical data showed that there is a very strong connection between the pedagogical and disciplinary contexts in relation to the six conceptions of teaching emerging from the analysis, though the disciplinary context is stronger than the pedagogical context. In summary, three implications can be drawn from this doctoral study on the basis of the empirical data, literature and conceptual frameworks as the basis for improving undergraduate economics education. These are as follows: (1) the need to make the economics curriculum aligned with real-life contexts of undergraduate students; (2) the need to rethink the economics curriculum in light of the current global debates within the discipline of economics; and (3) the need to bring pedagogical development into the team. Key words/phrases: Conceptions of Teaching; Teaching in Higher Education; Higher Education Research; Undergraduate Economics Education; and Phenomenography

Equality is part of the European policy and legislation. However there are still evident signs of women being treated unequally in the labour market. The aim of the thesis is to answer the question if women are more vulnerable to economic shocks in terms of wage distribution. The focus will be on women in Spain in the context of the financial crisis of 2008. The thesis examines the evolution of the salary structure in the period 2002-2014 using the microdata of the Structural Earning Survey. The taste-based and the statistical discrimination theory are going to be described in order to explain the causes of gender wage discrimination. The methods applied in this paper are the Mincer method, which explains the human capital theory and the Oaxaca-Blinder decompositions, which separates the gender wage gap into explained and unexplained parts. The results from the study suggest that there is a decrease in the gender wage gap in Spain following the situation before and after the crisis. / <p>Correction: Spring semester 2019</p>