Χρησιμοποιώντας δεδομένα σε κλαδικό επίπεδο, διερευνήσαμε την επίδραση που ασκεί η τιμή του πετρελαίου στην επενδυτική δραστηριότητα των επιχειρήσεων και την συνεπακόλουθη αβεβαιότητα που δημιουργεί το πετρέλαιο στις επιχειρήσεις. Το θεωρητικό υπόβαθρο δόθηκε από μοντέλα που μελετούν την επίδραση του κόστους του πετρελαίου στην επένδυση και στο προϊόν της επιχείρησης καθώς και την γραμμικότητα αυτής της επίδρασης. Επίσης, παρουσιάστηκαν μοντέλα που μελετούν την επενδυτική αδράνεια λόγω της αβεβαιότητας και την επιλογή της μη επένδυσης. Σύμφωνα με τα ευρήματα της εργασίας, το κόστος του πετρελαίου ασκεί αρνητική επίδραση στην συνολική επένδυση και στην επένδυση σε μηχανολογικό εξοπλισμό κι επιπλέον αυτή η επίδραση είναι γραμμική. Επίσης, βρέθηκε ότι η διακύμανση των τιμών του πετρελαίου δεν επιδρά στην επενδυτική δραστηριότητα των επιχειρήσεων. Συνοπτικά, αύξηση στις τιμές του πετρελαίου μειώνει την επένδυση σε μηχανολογικό εξοπλισμό, αφού αποτελεί την κύρια μορφή επένδυσης σε κατασκευαστικές επιχειρήσεις που μελετώνται στην εν λόγω έρευνα. / Using industry level data, we investigated the effect that oil prices exert on firm’s investment activity and whether the decision to invest is affected by oil price uncertainty. The theoretical background is given by models emphasizing the effect of oil price on firm’s investment and product as well as the linearity of that effect. Furthermore, some of the theoretical models, which presented in the paper, include investment inactivity because of uncertainty and the choice of investment inaction. According to our results, oil price affects negatively total investment and machinery equipment investment, and that effect is linear. Moreover, the variance of oil price does not affect firm’s investment activity. Essentially, an increase in oil prices reduces investment in mechanical equipment, which is the dominating cost of investment in manufacturing industry that is studied in the paper.

Using a panel data analysis of a sample of 80 listed non-financial Jordanian firms during the period from 2000 to 2011, we investigated the corporate cash-holding decision. The firm’s decision to hold cash has come to the fore in last two or three years as a result of the recent global financial crisis, and the impact that this has had on the firms’ ability to raise funds from external sources. There is evidence in the US, for example, that firms have increased their holdings of cash as a result of increasing constraints from external sources. This current study therefore examines this issue from the point of view of a developing economy. We started by investigating the empirical determinants of corporate cash holdings; the results showed that firm size and growth opportunities have no significant effect on corporate cash-holding decisions, while firm’s cash flow, leverage, and liquid assets substitute have a significant negative effect on cash-holding decisions, and profitability and cash dividends have a positive effect on cash-holding decisions. Then we investigated empirically how cash-holding affects the value of corporate firms. Based on Fama and French’s (1998) valuation model and Faulkender and Wang’s (2006) model, the results showed that the marginal value of each Jordanian Dinar (JD) is valued at a discounted value of 0.41 JD; with higher leverage the marginal value of cash is declining, with a higher level of cash the marginal value of cash is increasing and, finally, cash dividends have no significant effect on shareholders’ value. We also investigated empirically how a group of explanatory variables affect a firm’s debt ratio by focusing on the liquidity variable. Results showed that the total debt ratio is positively affected by firm size and is negatively affected by growth opportunities, profitability, assets tangibility and total liquidity, cash, and non-cash liquidity. The long-term debt ratio is positively affected by firm size, non-debt tax shield, asset tangibility, total liquidity, cash, and non-cash liquidity, while the long-term debt ratio is negatively affected by growth opportunities and profitability. For the short-term debt models, the debt ratio is negatively affected by firm size, asset tangibility, and liquidity in its different forms. An investigation into the speed of adjustment showed that Jordanian firms quickly adjusted the total and long-term debt ratio, while they do not have an optimal or target short-term debt ratio.

This thesis is based on three papers examining Gulf Cooperation Council (GCC) financial markets. The member countries of the GCC are Bahrain, Kuwait, Oman, Qatar, Saudi Arabia and the United Arab Emirates. These countries have transitioned from developing to frontier markets over the past ten years, but there is considerable debate about whether GCC economies are efficient or affected by shocks in oil and other commodity markets. The first paper (chapter 2) considers GCC stock market returns and examines how they are affected by oil price shocks using a bivariate VAR-GARCH(1,1) approach. The conclusion of this essay is that GCC economies are more affected by shocks than are other countries considered for comparison purposes. The second paper (chapter 3) discusses how food prices are affected by oil price shocks, and it examines possible parameter shifts between food and oil that result from four recent events, including renewable fuel policies and the financial crisis. The third paper (chapter 4) uses an empirical approach to compare a least squares model and a non-linear Markov switching model to measure the effect of newspaper sentiment on stock market performance. The results indicate that all information is important to stock market investors and that non-linear models are better predictors of stock market performance then linear models when using data from newspaper articles. Chapter 5 offers some final conclusions and remarks.

This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.

This thesis consists of three studies which cover topics in the trading volume-market return volatility linkage, stock market return-aggregate mutual fund flow relationship as well as market return volatility-aggregate mutual fund flow interaction. Chapter 2 investigates the issue of volume-volatility linkage in the US market for the period 1990-2012 (S&P 500) and 1992-2012 (Dow Jones). We construct four sub-samples depending on three different structural points (the Asian Financial Crisis, the Dot-Com Bubble and the 2007 Financial Crisis). By employing univariate and bivariate GARCH processes, we find positive (negative) bidirectional linkages between these two aforementioned variables in various cases of the estimation, while a mixed one is observed in the remainder of these cases. Chapter 3 examines the issue of temporal ordering of the range-based stock market return (S&P 500 index) and aggregate mutual fund flow in the U.S. market for the period 1998-2012. We construct nine sub-samples represented by three fundamental cases of the whole data set. In addition, we take into consideration three essential indicators when splitting the whole data set, which are the 2000 Dot-Com Bubble, the 2007 Financial Crisis as well as the 2009 European Sovereign Debt Crisis. We examine the dynamics of the return-flow interaction by employing bivariate VAR model with various specifications of GARCH approach. Our principal findings display a bidirectional mixed feedback between stock market return and aggregate mutual fund flow for the majority of the sub-samples obtained. Nevertheless, we provide limited evidence of a positive bi-directional causality between return and flow. Chapter 4 investigates the dynamic relation between S&P 500 return volatility and U.S. aggregate mutual fund flow for the period spanning between 1998 and 2012. We assess the dynamics of the volatility-flow linkage by employing a bivariate VAR model with the GARCH approach which allows for long memory in the mean and the variance equations. In addition to the sub-samples obtained in chapter 3, we generate two measurements of volatility. Our baseline results indicate a variety of bidirectional mixed causalities between market return volatility and aggregate mutual fund flow in several sub-samples. In addition, we observe a negative/positive bi-directional relationship between volatility and flow in the rest of the sub-periods. Summarizing, a range of our findings are in line with the empirical underpinnings that most likely predict a significant linkage between the aforementioned variables. Finally, most of the bidirectional effects are found to be quite robust to the dynamics of the various GARCH processes employed in this thesis.

This thesis includes three essays on topics related to the predictability of market returns. I investigate i) the predictability of market returns from an adjusted version of cay ratio (cayadj), ii) the explanatory power of a conditional version of the consumption-CAPM which uses predictor variables to scale the pricing kernel, and iii) whether information about future market returns can be extracted from a large set of commodity data. The first essay studies the predictive ability of cayadj . In Campbell and Mankiw (1989), the consumption-wealth ratio is represented as a linear function of expected market returns and consumption growth. Lettau and Ludvigson (2001) build their study on Campbell and Mankiw (1989) and estimate the ratio cay as a proxy for the consumption-wealth ratio, assuming that the fluctuation in expected consumption growth is constant. I argue that the variation in expected consumption growth should be taken into consideration and propose adjusting the cay ratio by the estimates of expected consumption growth. After making the adjustment, I find that the predictabilities of market returns, particularly at annual, bi-annual, and tri-annual horizons, are greatly improved. The significant predictive ability of cayadj still holds in out-of-sample forecasts. The second essay examines the performance of a conditional version of the consumption-CAPM, where conditioning variables are used to scale the pricing kernel. I find that incorporating the conditioning information into the standard consumption-CAPM greatly improves the performance in asset pricing tests, particularly when using cayadj as the conditioning variable. Moreover, the performance of conditional consumption-CAPM is as good as the ultimate consumption risk model (Parker and Julliard, 2005) which measures the consumption risk over several quarters. Further tests show that the factors of conditional consumption-CAPM drive out the consumption risk measured over several quarters. The third essay evaluates the ability of lagged commodity returns to forecast market returns. In order to exploit the predictive information from a relatively large amount of commodity returns, I apply the partial-least-squares (PLS) method pioneered by Kelly and Pruitt (2013). I find that the commodity returns measured over previous twelve months show strong predictive power in monthly and three-month forecasts, in-sample and out-of-sample. The findings are robust to controlling for risk factors such as momentum, Fama-French three factors and industry returns previously identified to be significant predictors of market returns (Hong, Torous and Valkanov, 2007).

This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.

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

Depuis le milieu des années 90, les indices et les fonds d‘investissement islamiques ont fait l‘objet de plusieurs études académiques. Cependant, les résultats divergent quant à leur surperformance ou leur sous-Performance. L‘objectif de notre thèse est d‘étudier les enjeux et la performance de cette catégorie d‘indices et de fonds. En ce qui concerne les indices, notre étude porte sur un échantillon de 57 couples d‘indices islamiques et de leurs benchmarks conventionnels. Nous étudions d‘abord les similitudes et les différences entre les deux catégories d‘indices. Puis, nous réalisons une revue de littérature classique accompagnée d‘une méta-Analyse. Ensuite, nous analysons l‘efficience et le potentiel de diversification de ces indices. Après, nous comparons les indices en termes de rentabilité, de risque et de performance. Nous utilisons également plusieurs mesures de performance afin de classer les indices islamiques. Enfin, nous étudions la persistance de la performance en ayant recours au modèle à quatre facteurs. Nos résultats montrent que malgré leur manque de diversification, les indices boursiers islamiques ont, en moyenne, le même degré d‘inefficience et le même niveau de performance que leurs homologues conventionnels. Quant aux fonds d‘investissement islamiques, nous étudions un échantillon de 111 fonds equity sur la période allant d‘avril 2005 à mars 2011. Nous utilisons plusieurs mesures de performance et des tests non paramétriques de la persistance entre trois sous-Périodes équivalentes. Nous trouvons une hétérogénéité en matière de performance de ces fonds et une absence de persistance pendant et après la dernière crise financière. / Since the mid-Nineties, Islamic mutual funds and indices have received a significant level of academic scrutiny. However, the debate over their under-Performance or over-Performance is not over yet. The prime objective of our study is to explore the stakes, the performance and the persistence in performance of this category of indices and funds. As for indices, the study used a sample of 57 Islamic indices and their conventional benchmarks. It is carried out through a) studying the similarities and differences between Islamic and conventional indices; b) surveying the current literature by performing both narrative and meta-Analytical review of the literature, c) studying the efficiency and their potential for diversification; d) comparing the return, the risk and the performance of Islamic indices with their conventional counterparts, e) ranking Islamic indices using various performance measures; and f) studying the persistence using the four-Factor pricing model. Despite their lack of diversification, the study finds that Islamic indices have, in average, the same level of inefficiency and performance as their conventional counterparts. As for funds, the study used a sample of 111 Islamic equity funds over the period April 2005 to March 2011 and carried out through applying different performance measures and non-Parametric tests of performance persistence over three equal sub-Periods. The study finds much heterogeneity in Islamic funds‘ performance and a little evidence that supports non-Persistence in performance of Islamic mutual funds during and after the last financial crisis.

Ο αντικειμενικός σκοπός της συγκεκριμένης εργασίας είναι να διερευνηθεί κατά πόσο και αν ισχύει η θεωρία της αποτελεσματικότητας των αγορών που πρωτοεισήχθη από τους Fama και French σε εβδομαδιαία δεδομένα που προέρχονται από το Χρηματιστήριο Αξιών της Μ. Βρετανίας για την περίοδο 1/1/2000 μέχρι 1/1/2010. / The investigation of the efficient market hypothesis with daily U.K. data, testing period from 1/1/2000 to 1/1/2010.