In this thesis, we aim to find the effect of economic crisis announcements arising from the US subprime mortgage crisis and European sovereign debt crisis on the market volatility in theBRIC countries. We implement a GARCH model in order to compare the effect of individual news announcements and find that the US crisis had a bigger impact on BRIC market volatility than the European crisis. Of particular note, we find the US bailout had a higher impact than the failure of Lehman Brothers or any European crisis dates that were considered. We then examine the volatility transmission mechanism by implementing a VAR model to create a spillover index. Following, we apply a rolling window approach, creating spillover plots which show that both return and volatility spillovers are affected by crisis announcements. The importance of our results are related to investor decision making, particularly the relationship between market return and risk in developing country markets. Far to our knowledge, no recent literature has compared the two crises in the way we have nor with the datasets we have used.

D.Phil. (Economics) / This thesis presents a discussion of the economic integration between South Africa and the economies of Brazil, Russia, India and China, the so called BRICs. The thesis analyses four channels of interdependence: trade, investment, business cycle and the increasing importance of shocks originating from China. It makes significant and original contributions to the empirical literature by employing several econometric techniques. In the first two cases, a global vector autoregressive (global VAR) model is used to analyse the trade and foreign direct investment (FDI) linkages between South Africa and the BRIC countries over the period 1995-2009. The results show trade linkages between these economies whose magnitude differs between countries. Shocks from each BRIC country are shown to have considerable impact on South African real imports and output. However, there is no evidence of FDI linkages between these economies. This shows that the notable performance of the BRIC economies are not transmitted to the South African economy by FDI flows, but rather through the exchange rates for some countries and trade for the others. In the third application, the nature of co-movement between South Africa and the BRIC countries is examined by applying the dynamic factor model to a set of 307 macroeconomic series over the 1995-2009 period. Particularly, the extent of co-movement between the cyclical component of real output across South Africa and the BRICs is assessed. The results show significant degree of co-movement between South Africa and the BRICs over the business cycle and the long-run, although the magnitude of the co-movement differs with each country. In terms of the lead and lag relationships across South Africa and the BRIC countries, the study ends that only India leads South Africa over the cyclical period. The findings suggest that the first two factors are BRICS (Brazil, Russia, India, China and South Africa) factorswhile the third factor can be considered a United States factor. The last application investigates, using a factor model estimated with quarterly data from 1995 to 2009, how China’s shocks are transmitted to BRIS (Brazil, Russia, India and South Africa). The results show that China’s supply shocks are more important than its demand shocks. Supply shocks produce positive and significant output responses in all BRIS countries. However, their extent is significant only for short horizon in India. Positive demand shocks from China have positive and significant extent on Brazil’s and South Africa’s output only. The intensity of economic relationship and channels of transmission of shocks are different between China and BRIS. The results based on the variance share of the common component suggest that South Africa and Russia are linked intensively to China, while Brazil and India have only moderate linkages with China. International trade is an important channel for the transmission of shocks across China and BRIS countries indicating that supply and demand shocks in China do not have similar extent on the BRIS countries and therefore they require different policy responses.

Submitted by Silvana Teresinha Dornelles Studzinski (sstudzinski) on 2015-06-26T17:56:20Z No. of bitstreams: 1 CleiaDuarteMachado.pdf: 663088 bytes, checksum: dee11069e4c8adc0f1abe00e964f5b4c (MD5) / Made available in DSpace on 2015-06-26T17:56:20Z (GMT). No. of bitstreams: 1 CleiaDuarteMachado.pdf: 663088 bytes, checksum: dee11069e4c8adc0f1abe00e964f5b4c (MD5) Previous issue date: 2011-06-30 / Banco Santander / Banespa / O presente estudo analisa a volatilidade da Bolsa de Valores para os países do BRIC entre janeiro de 2005 a março de 2010. A pesquisa tem a finalidade de verificar a existência do efeito contágio entre esses emergentes. Foram utilizados diversos modelos de volatilidade determinística da família GARCH, tanto univariado, quanto multivariado. Também foi investigado até que ponto a crise financeira de 2008 resultou em mudanças na relação entre esses países. Para tanto, foram feitas estimativas para o período pré e pós 2008. Os resultados sinalizaram a existência de diversos fatos estilizados na volatilidade da bolsa de valores, como assimetria, aglomeração e efeito leverage. Porém, não foi possível aceitar a hipótese de efeito contágio, apesar de os valores encontrados para correlação para o período de pós crise serem superiores aos calculados para o período que a antecede. Sendo assim, ao investir em ativos nos países do BRIC os investidores internacionais conseguem diversificar riscos. / This study examines the volatility of the stock exchange for the BRIC countries from January 2005 to March 2010. The research aims to verify the existence of the contagion effect between these emerging markets. We used several models of deterministic GARCH volatility, both univariate and multivariate. We also investigated the extent to which the financial crisis of 2008 resulted in changes in the relationship between these countries. To this end, estimates were made for the period before and after 2008. The results showed the existence of several stylized facts of volatility in the stock market, as asymmetry, clustering and leverage effect. However, we could not accept the contagion effect hypothesis, although the values found for correlation to the post crisis period are higher than those calculated for the period that precedes it. Thus, by investing in assets in BRIC countries international investors can diversify risks.

Made available in DSpace on 2016-04-25T16:45:30Z (GMT). No. of bitstreams: 1 Paula Augusta Rodrigues Coelho.pdf: 814355 bytes, checksum: fe3507ca66b0de5d265df8b55ec24ada (MD5) Previous issue date: 2010-05-31 / Investors try to capture the opportunities for capital gains offered by emerging countries by increasing the total return or reduce the risk of the portfolio. Solnik (1991, 2004) found evidence of reduced risk and increased return through international diversification. In addition, to benefits such as the development of local capital markets, the greater liquidity of shares traded and financial market development. This study aims to determine whether markets are more globalized and investigate whether there are still benefits of risk-return in the international diversification of portfolios for an investor from United States. The countries of the sample will be the three largest stock markets (U.S., Japan and England) and the BRICs (Brazil, China, Russia and India). The study refers to two periods: from January 1996 to December 2000 and from January 2003 to December 2007. In the second period (2003-2007) the market indexes are more correlated and has a higher level of NGR, ie, the markets of the sample are more global. Using the Model Portfolio Selection, met the efficient portfolio for the investor of the United States. The results show that the portfolio composed with developed countries indexes (United Kingdom, United States of America and Japan) and indexes of the countries that make up the BRIC (Brazil, Russia, India and China) has a better risk-return than the portfolio formed only by developed countries index, indicating that despite of the increased globalization, there is still diversification benefits in the developing countries / Os investidores procuram capturar as oportunidades de ganhos de capital oferecidas pelos países emergentes aumentando o retorno total ou reduzindo o risco do portfolio. Solnik (1991, 2004) encontrou evidências de redução de risco e aumento do retorno via diversificação internacional. Além de benefícios como o desenvolvimento do mercado de capitais local, a maior liquidez das ações negociadas e o desenvolvimento do mercado financeiro. Este estudo objetivou verificar se os mercados estão mais globalizados e investigar se ainda há benefícios de risco-retorno na diversificação internacional de portfólios para um investidor dos Estados Unidos. A amostra considera os 3 maiores mercados acionários (EUA, Japão e Inglaterra) e os BRICs (Brasil, China, Rússia e Índia). O estudo refere-se a dois períodos: de janeiro de 1996 a dezembro de 2000 e de janeiro 2003 a dezembro de 2007. No segundo período (2003-2007) os índices dos mercados analisados se encontram mais correlacionados e com um maior Nível de Globalização Restrita que no primeiro período, ou seja, os mercados da amostra estão mais globalizados. Usando o modelo Portfolio Selection, encontrou-se o portfólio eficiente para o investidor dos Estados Unidos. Os resultados mostram que a carteira composta pelos índices dos países desenvolvidos (Reino Unido, Estados Unidos e Japão) e pelos índices dos países que compõe o BRIC (Brasil, Rússia, Índia e China) tem uma melhor relação risco-retorno que a carteira formada somente pelos países desenvolvidos, indicando que, apesar de uma maior globalização, ainda há benefícios na diversificação nos em desenvolvimento

<p>The aim of this study is to examine the market reaction when information about a company’s foreign direct investment is announced and how that affects the shareholder’s value. Also of interest is whether the market reacts differently depending on which country the investment is established in and which mode of entry is used. This will be achieved by using an event study approach. The selection that was used consisted of 206 companies registered on the Nasdaq OMX Nordic homepage, which had during a time period stretching from 1999 to 2009 established a foreign direct investment in the regions BRIC, Europe or the USA using the mode of organic growth, joint venture or acquisition. The units were submitted to a hypothesis test, this was done to determine if an abnormal return was attained during the event window. The event window consisted of eleven days, five days before the announcement and five days after, which includes the announcement day. The tests were performed on the units as a whole and divided into categories depending on mode of entry, region and country. The event study was accompanied by a questionnaire.</p><p>The result of the study show no statistically significant abnormal return related to the announcement of a foreign direct investment. There were however some indications of a deviation when the units were divided into region, most noticeably between the regions BRIC, which showed a steady negative development, and Europe, which showed a steady positive development. These results were however not significant.</p>

<p>In this paper we aim to identify the most important factors that influence the decisions made by large Western MNCs concerning post entry changes (PEC) in the BRIC markets. Thiss tudy attempts to explain processes and reasons why these changes take place. In addition we make a comparison between strategies followed and the differences between them for each of the BRIC markets.Most academic literature focuses on entry mode theories, however little has been written onPEC. PEC today is a hot topic in the current international business environment. This isevident in the market as many Western MNCs that invested in emerging markets throughJoint Ventures (JV) during the late 1980s and 1990s are now restructuring their strategies in order to further their growth (Luo, 2007).The paper uses a qualitative study to explain and explore PEC strategies in each of the four BRIC markets, using case studies of three Italian large MNCs: Artsana, De Longhi and Luxottica.The study finds that firstly BRIC markets should not be seen as a whole, as academic literature has a tendency to suggest. Secondly, the study finds that country-specific conditions directly affect PEC choices and decisions differently in each market. We have identified a number of variables which influence PEC, of these economic conditions and institutional context pressures were found to be the most important determinants for PEC within the MNCs studied. This study will help management to better choose appropriate PEC and set the most suitable operational mode for each specific environment.</p>

In this paper we aim to identify the most important factors that influence the decisions made by large Western MNCs concerning post entry changes (PEC) in the BRIC markets. Thiss tudy attempts to explain processes and reasons why these changes take place. In addition we make a comparison between strategies followed and the differences between them for each of the BRIC markets.Most academic literature focuses on entry mode theories, however little has been written onPEC. PEC today is a hot topic in the current international business environment. This isevident in the market as many Western MNCs that invested in emerging markets throughJoint Ventures (JV) during the late 1980s and 1990s are now restructuring their strategies in order to further their growth (Luo, 2007).The paper uses a qualitative study to explain and explore PEC strategies in each of the four BRIC markets, using case studies of three Italian large MNCs: Artsana, De Longhi and Luxottica.The study finds that firstly BRIC markets should not be seen as a whole, as academic literature has a tendency to suggest. Secondly, the study finds that country-specific conditions directly affect PEC choices and decisions differently in each market. We have identified a number of variables which influence PEC, of these economic conditions and institutional context pressures were found to be the most important determinants for PEC within the MNCs studied. This study will help management to better choose appropriate PEC and set the most suitable operational mode for each specific environment.

The aim of this study is to examine the market reaction when information about a company’s foreign direct investment is announced and how that affects the shareholder’s value. Also of interest is whether the market reacts differently depending on which country the investment is established in and which mode of entry is used. This will be achieved by using an event study approach. The selection that was used consisted of 206 companies registered on the Nasdaq OMX Nordic homepage, which had during a time period stretching from 1999 to 2009 established a foreign direct investment in the regions BRIC, Europe or the USA using the mode of organic growth, joint venture or acquisition. The units were submitted to a hypothesis test, this was done to determine if an abnormal return was attained during the event window. The event window consisted of eleven days, five days before the announcement and five days after, which includes the announcement day. The tests were performed on the units as a whole and divided into categories depending on mode of entry, region and country. The event study was accompanied by a questionnaire. The result of the study show no statistically significant abnormal return related to the announcement of a foreign direct investment. There were however some indications of a deviation when the units were divided into region, most noticeably between the regions BRIC, which showed a steady negative development, and Europe, which showed a steady positive development. These results were however not significant.

The concept of emerging markets came to surface in early 1980 and constituted of only eight countries from the two continents of South America and Asia. The globalization of financial markets has since raised the importance of emerging capital markets. We take a quantitative approach to investigate the performance of emerging markets compared to developed markets. The aim of the study is to conclude if emerging markets offers investment value and if logic in portfolio theory can be used to improve the chance of creating a relatively better performing investment. Included markets in our study are Brazil, Russia, India, China, Colombia, Indonesia, Vietnam, Egypt, Turkey and South Africa. S&amp;P 500 is our benchmark for developed market performance. Sample period is 2002-01-01 to 2011-12-31 and monthly return data, creating 120 data points on each index.   The weighting schemes used for the portfolios are min variance optimization, geographical location and high and low correlation. All investments are scored on performances in correlation to S&amp;P 500, inflation adjusted growth, currency effect, Sharpe ratio, skewness and kurtosis. Rankings are done on the separate categories, on the individual overall ranking on only countries and one overall ranking on all investments. A brief overview of the overall ranking for all investments suggest that medium performing investments are overrepresented (12/20) and the low and high is underrepresented (3/20 and 5/20). Of note is that the min variance portfolio outperforms its components, the geographical portfolios have a wide range and the high correlated portfolio outperforms the low. The country to portfolio ratio over each grade suggests only a small skew of the results. There is no low scoring portfolio but the other two ratios are close to 50/50, suggesting that on average the portfolios create diversification benefits. Furthermore normality of returns seem to be violated and then the concept of volatility as a risk measure is significantly impaired also currency risk can be of high importance, currency effects ranged from -48% to 28.7%. Assuming non-normality seems more accurate than assuming normality; therefore we need to improve on volatility as a tool to measure risk. So one direction for further research we see a need is in the concept of volatility. The initial reason for this research came from small investors’ seemingly intuitive knowledge that emerging markets are a suitable investment option. We have concluded that they in fact are, therefore we suggest that a qualitative study is conducted to investigate this seemingly natural intuition.

The induction of the tuition fee for higher education in Sweden for students arriving from outside the European Economic Area will affect Swedish universities and in particular Jönköping University considering its position on the educational market as one of the most international universities in Sweden. This, in combination with the BRIC countries’ expanding economies, has inspired the researchers to examine how these four countries experience the educational service quality offered by Jönköping University. With the new legislation of the introduction of the tuition fee, a major change affecting the Swedish educational system has taken place and it is therefore significant to examine the possible effects this might have. This research has used Jönköping University as a case, and the collection of data will be concentrated on international and exchange students attending the university. The reason behind the choice of Jönköping University is because of its strong international profile with many partner universities worldwide, which has resulted in a high rate of international and exchange students arriving to the university (Educations.com, 2011). Due to the nature of a service, the measurement tool of SERVQUAL has been used. Qualitative interviews were conducted to increase the reliability of the quantitative findings, where one student from each country was interviewed. In order to gain sufficient samples for the questionnaire, the researchers have used Geert Hofstede’s theory on cultural dimensions to compensate for the groups missing satisfactory population but also to examine whether students from the covered dimensions experience services differently. Due to the inability to measure the expectations of the students, the zone of tolerance was used in order to indirectly identify expectations of future students. The Total Perceived Quality model was used to demonstrate the connection between experience and expectation of a service in order facilitate the understanding of future expectations.  Descriptive- and factor analyses were used in combination with the zone of tolerance when examining the findings. The quantitative data imply that there is a gap in the educational service provided by Jönköping University and there were strong indications of the students being very satisfied with the educational quality however the qualitative data showed that the students who were interviewed were not willing to pay the fee. In the discussion part, the researchers argue for reasons why the quantitative data may be misleading since it was only implemented on students who had been at Jönköping University for free with an already established perception of the education being tuition free.