by Moon-Tong Chan. / Thesis submitted in: December 1997. / Thesis (M.Phil.)--Chinese University of Hong Kong, 1998. / Includes bibliographical references (leaves 123-124). / Abstract also in Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter 1.1 --- The Data Set --- p.8 / Chapter Chapter 2 --- The Box-Jenkins Time Series Models --- p.15 / Chapter 2.1 --- The White-noise Process --- p.16 / Chapter 2.2 --- Stationarity of Time Series --- p.17 / Chapter 2.3 --- Differencing --- p.19 / Chapter 2.4 --- Seasonal ARIMA Models - SARIMA Models --- p.20 / Chapter 2.5 --- Intervention Models --- p.22 / Chapter 2.6 --- The Three Phases of ARMA Procedure --- p.24 / Chapter Chapter 3 --- Seasonal ARMA Models with Several Mean Levels --- p.38 / Chapter 3.1 --- Review of Linear Models --- p.40 / Chapter 3.1.1 --- Method of Weighted Least Squares --- p.41 / Chapter 3.2 --- The Proposed Model --- p.41 / Chapter 3.2.1 --- The Weightings --- p.43 / Chapter 3.2.2 --- Selection of Submodels --- p.45 / Chapter 3.2.3 --- Estimation of Model (3.4) --- p.46 / Chapter 3.3 --- Model Adequacy Checking --- p.55 / Chapter 3.3.1 --- Checking of Independence of Residuals --- p.56 / Chapter 3.3.2 --- Checking of Normality of Residuals --- p.58 / Chapter 3.4 --- Forecasting --- p.62 / Chapter Chapter 4 --- Comparison --- p.77 / Chapter 4.1 --- Similarities and Differences Between the Two Models --- p.78 / Chapter 4.2 --- Model Comparative Criterion --- p.81 / Chapter 4.2.1 --- Model Fitting Comparison --- p.82 / Chapter 4.2.2 --- Model Forecasting Comparison --- p.83 / Chapter 4.3 --- Conclusion --- p.90 / Chapter 4.4 --- Generation of Predicted Hourly Calls --- p.91 / Chapter 4.5 --- Extension --- p.92 / Appendix A --- p.97 / Appendix B --- p.105 / Appendix C --- p.122 / References --- p.123

Humboldt-Univ., Diss.--Berlin, 2003. / Literaturverz. S. [205] - 212.

Cointegration has important implications for portfolio diversification. One of these is that in order to spread risk it is advisable to invest in markets that are not cointegrated. Over the last several decades communication technology has made the world a smaller place and hence cointegration in equity markets has become more prevalent. The bulk of research into cointegration focuses on developed and Asian markets, with little research been done on African markets. This study compares the Engle-Granger and Johansen tests for cointegration and uses them to calculate the level of cointegration between South African and other global equity markets. Each market is compared pair-wise with South Africa and the results have been that in general South Africa is cointegrated with other emerging markets but not really with African nor developed markets. Short-run analysis with the error correction was carried out and showed that in general markets respond slowly to any disequilibrium. Innovation accounting methods showed that the country placed first in Cholesky ordering dominates the other one. Multivariate cointegration was carried out using three selections of 4, 6 and 8 market portfolios. One of the markets was SA and the others were all chosen based on the criteria that they are not pair-wise cointegrated with SA. The level of cointegration varied depending on the portfolios, as did the error correction rates, impulse responses and variance decomposition. The one constant was that the USA dominated any portfolio where it was introduced. Recommendations were finally made about which market portfolio an investor should consider as most favourable.

Research studies on portfolio diversification have tended to focus on developed markets and paid less attention to emerging markets. Traditionally, correlation analysis has been used to determine potential benefits from diversification but current studies have shifted focus from correlation analysis to exploring cointegration analysis and other forms of tests such as the Vector Error Correction Methodology. The research seeks to find if it is beneficial for a South African investor to diversify their portfolio of emerging market equities over a long-term period. Daily weighted share indices for the period of January 1996 to November 2008 were collected and analysed through the application of the Johansen cointegration technique and Vector Error Correction Methodology. Granger Causality tests were also performed to established whether one variable can be useful in forecasting another variable. The study found that there was at least one statistically significant long-run relationship between the emerging markets. After testing for unit roots for all the share indices and their first difference using the Augmented Dickey-Fuller test (ADF), Philips-Perron and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) unit root tests, similar conclusions were m~de. All the unit root tests and their levels could not be rejected for all the series. However, unit root tests on the first differences were rejected, meaning that all series are of order 1(1) - evidence of cointegration. Simply put, emerging markets tend not to drift apart over time. This suggests that emerging markets offer limited benefits to investors who are looking to add some risk to their portfolios. In addition, the study also found evidence of both unidirectional and bidirectional causality (Granger-Cause tests) between markets. This implies that the conditions for a particular market are exogenous of the other market. The study concludes that emerging markets are gradually adopting the same profile as developed markets.

Following the debate by empirical finance research on the presence of non-linear predictability in stock market returns, this study examines forecasting abilities of nonlinear STAR-type models. A non-linear model methodology is applied to daily returns of FTSE, S&P, DAX and Nikkei indices. The research is then extended to long-horizon forecastability of the four series including monthly returns and a buy-and-sell strategy for a three, six and twelve month holding period using non-linear error-correction framework. The recursive out-of-sample forecast is performed using the present value model equilibrium methodology, whereby stock returns are forecasted using macroeconomic variables, in particular the dividend yield and price-earnings ratio. The forecasting exercise revealed the presence of non-linear predictability for all data periods considered, and confirmed an improvement of predictability for long-horizon data. Finally, the present value model approach is applied to the housing market, whereby the house price returns are forecasted using a price-earnings ratio as a measure of fundamental levels of prices. Findings revealed that the UK housing market appears to be characterised with asymmetric non-linear dynamics, and a clear preference for the asymmetric ESTAR model in terms of forecasting accuracy.

The goal of the study is to examine the relationship between financial sector development and output growth in the agricultural, mining and manufacturing sectors in South Africa. The analysis is based on the hypothesis that financial development is essential for promoting production growth in an economy. To test the hypothesis, in the South African context, the vector autoregressive model (VAR) framework and Granger causality test are applied to a quarterly data set starting from 1970 quarter one to 2009 quarter four. The results suggest that financial intermediary development (bank based measure) and stock market development (market based measure) have a positive impact on output growth in the agriculture, mining and manufacturing sectors in South Africa. There is evidence of a one way causal relationship between financial sector development and sectoral output growth. Particularly, there is evidence that financial intermediary development and stock market development causes output growth in the agriculture, mining and manufacturing sectors in South Africa. However, there is no evidence showing causality running from sectoral output growth to financial sector development. The results provide evidence supporting the theory which states that financial development is essential to promote output growth in a country i.e. in our case South Africa. Thus an efficient financial system which promotes efficient channeling of resources towards the agricultural, mining and manufacturing sectors should be built.

Chung Kwong-leung. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 80-84). / Abstracts in English and Chinese. / ACKNOWOLEDGMENTS --- p.iii / LIST OF TABLES --- p.iv / LIST OF ILLUSTRATIONS --- p.vi / CHAPTER / Chapter ONE --- INTORDUCTION --- p.1 / Chapter TWO --- LITERATURE REVIEW --- p.5 / Volatility / ARCH Models / The Accuracy of ARCH Volatility Estimates / Chapter THREE --- METHODOLOGY --- p.11 / Testing and Estimation / Simulation / Chapter FOUR --- DATA DESCRIPTION AND EMPIRICAL RESULTS --- p.29 / Data Description / Testing and Estimation Results / Simulation Results / Chapter FIVE --- CONCLUSION --- p.45 / TABLES --- p.49 / ILLUSTRATIONS --- p.58 / APPENDICES --- p.77 / BIBOGRAPHY --- p.80