by Cheung Hoi-Pang, Hung Leung-Bun. / Thesis (M.B.A.)--Chinese University of Hong Kong, 2000. / Includes bibliographical references (leaves 36-37). / ABSTRACT --- p.ii / TABLE OF CONTENTS --- p.iv / Chapter / Chapter I. --- INTRODUCTION --- p.1 / Chapter II --- COBWEB THEOREM --- p.4 / The Cobweb Theory --- p.4 / Divergent Fluctuation --- p.5 / Continuos Fluctuation --- p.6 / Convergent Fluctuation --- p.6 / Mathematical Model --- p.7 / Hong Kong's Private Residential Property Market --- p.8 / Data and Evaluation --- p.11 / Chapter III --- PREY-PREDATOR MODEL --- p.14 / The Prey Predator Model --- p.15 / Observation --- p.17 / The Data --- p.19 / The Model --- p.20 / Chapter IV --- CONCLUSION --- p.22 / APPENDIX --- p.24 / BIBLIOGRAPHY --- p.36

Until very recently, most emerging market economies have achieved higher growth rates for the last decade. It is controversial whether this good economic environment is due to domestic reforms or due to favorable external factors. In this framework, the main aim of this study is to investigate the structure and sources of business cycles in emerging market economies and to determine how these cycles differ than those in developed countries. The role of external and domestic factors on business cycles are analyzed by applying not only the conventional panel data estimations but also common correlated effects panel mean group method which is introduced by Peseran (2006). Besides, the convergence of business cycles in emerging market economies to the business cycles in developed countries is discussed based on factor analysis. The major results indicate the common global factors are the leading source of the business cycles both in emerging market economies and developed countries. However, domestic determinants of fluctuations differ across two groups of countries. In addition, results show that in the last two decades fluctuations in emerging market economies have started to be more dependent on the fluctuations in developed countries.

In this study, we address two research questions: 1) Can we identify bear market episodes in Australia in the past 20 years? 2) How do investors’ moods change as stock market conditions enter into a bear phase. To address the first question, we use a pattern recognition algorithm, called the penalised LSE approach. By defining bear markets as those stock market regimes where the average returns are statistically significantly negative or below the risk free rate, we are able to detect two bear market periods in Australia in the past 20 years. These are the November 1987 to February 1988 and the April 2000 to May 2000 periods. To address the second question, we study the change in investors’ attitudes to varieties of systematic risk and the aggregate number and dollar value of shares traded in portfolios as a result of the regime switch from pre-bear to bear period. Out of the 7 categories of risk considered in this study, the transition from pre-bear to bear regime in both sample periods had a significant impact mainly on investors’ attitude toward the size risk factor. Investors systematically became more sensitive to firm size as stock market conditions entered into the 1987⁄1988 bear market. In the later sample period, investors’ reaction to firm size was more selective as it depended on the characteristics of the stocks that made up their portfolios. We also find that the regime switches resulted in lower portfolio trading volumes. Based on these results we infer that the November 1987-February 1988 bear market evoked a general sad mood, while the April 2000-May 2000 bear market stirred up both angry and sad feelings in market participants depending on the composition of stocks in their portfolios.

This paper examines the ability of the yield curve to predict recessions in South Africa, and compares its predictive power with other commonly used variables that include the growth rate in real money supply, changes in stock prices and the index of leading economic indicators. The study also makes an attempt to find out if monetary policy explains the yield spread's predictive power with regards to future economic activity. Regarding methodology, the standard probit model proposed by Estrella and Mishkin (1996) that directly estimates the probability of the economy going into recession is used. Results from this model are compared with a modified probit model suggested by Dueker (1997) that includes a lagged dependent variable. Results presented in the paper provide further evidence that the yield curve, as represented by the yield spread between 3-month and IO-year government paper, can be used to estimate the likelihood of recessions in South Africa. The yield spread can produce recession forecasts up to 18 months, although it's best predictive power is seen at two quarters. Results from the standard probit model and the modified pro bit model with a lagged dependent variable are somewhat similar, although the latter model improves forecasts at shorter horizons up to 3 months. Compared with other indicators, real M3 growth is a noisy indicator and does not provide much information about future recessions, whilst movements in the All-Share index can provide information for up to 12 months but does not do better than the yield curve. The index of leading economic indicators outperforms the yield spread in the short run up to 4 months but the spread performs better at longer horizons. Based on the results from the study, it appears that changes in monetary policy explain the yield spread's predictive power. This is because the yield spread loses its explanatory power when combined with a variable representing the monetary policy stance of the central bank.

This doctoral dissertation proposes methodologies which, from a linear or a non-linear approach, accommodate to the information flow and can deal with a large amount of data. The empirical application of the proposed methodologies contributes to answer some of the questions that have emerged or that it has potentiated after the 2008 global crisis. Thus, essential aspects of the macroeconomic analysis are studied, like the identification and forecast of business cycles turning points, the business cycles interactions between countries or the development of tools able to forecast the evolution of key economic indicators based on new data sources, like those which emerge from search engines.

Thesis (MBA)--University of Stellenbosch, 2010. / AFRIKAANSE OPSOMMING: Waarde- en groei-beleggingstrategieë dateer terug na Fama en French (1992) en Lakonishok, Shleifer en Vishny (1994). Bogenoemde studies is gebaseer op vroeë navorsing wat die fokus verskuif het om sodoende waardasieverhoudinge en maatskappygrootte te gebruik as toonaangewende verklarende maatstawwe vir aandele-opbrengste. Toenemende studies in hierdie beleggingsveld het die akademiese en beleggingsgemeenskap oortuig dat ’n waardegebaseerde beleggingstrategie, gemiddeld, ’n groeigebaseerde beleggingstrategie oortref. Waarde- en groei-eienskappe word algemeen aanvaar en deur fondsbestuurders en beleggers as onderskeidende beleggingstrategieë aangewend. Hierdie eiesoortige beleggingstrategieë is op die Suid-Afrikaanse mark vir die periode 1990 tot 2009 toegepas. Die beduidende veranderinge binne die ekonomiese klimaat en aandelemarkte was die oorhoofse rede vir die insluiting van die ekonomiese siklusse in die navorsing, spesifiek die opswaai- en afswaai-fases van die ekonomie. Die Sharpe-, Treynor- en Inligting–prestasiemaatstawwe vir waarde- en groei-portefeuljes is in hierdie studie vergelyk en geanaliseer. Normaalweg word prestasie-beoordeling nie begin met ’n gedetailleerde analise van die opbrengsverdelings om te bepaal watter prestasie-maatstaf meer voortreflik is nie. Die opbrengsdensiteit vir alle portefeuljes is bepaal om sodoende die opbrengsverspreidings en risikooorwegings beter te verstaan binne die onderskeie ekonomiese siklusse. Die bevindinge binne die Suid-Afrikaanse konteks was wel ooreenstemmend met voorafgaande navorsing dat waardegebaseerde investering groeigebaseerde investering oortref vir aandele met hoër waardasieverhoudinge teenoor aandele met laer waardasieverhoudinge. Die gemiddelde maandelikse prestasie van waarde-portefeuljes het ook groei-portefeuljes oortref in die ekonomiese opswaai-siklusse, wat ooreenstemmend is met soortgelyke navorsing wat in ander markte gedoen is. In die ekonomiese afswaai-siklus het groei-portefeuljes waarde-portefeuljes oortref, ooreenstemmend met die van die Amerikaanse mark. Die navorsing dui daarop dat waardegebaseerde investering voortreflik is oor die volle steekproefperiode, wat beteken dat beleggers wat waarde-beleggingstrategieë volg hoër opbrengste kan verwag in alle ekonomiese siklusse, maar die voordele sal groter wees in tye van ’n ekonomiese opswaai. Die wisselvalligheid van opbrengste binne die twee ekonomiese siklusse is sigbaar en beklemtoon die noodsaaklikheid om die ekonomiese siklus in beleggingstrategieë en -besluite in te sluit. Die ekonomiese siklus verbreed die dimensie tot die evaluasie van waardegebaseerde beleggingstrategie en dit is noodsaaklik dat dit ’n geïntegreerde deel vorm van die evaluasieproses. / ENGLISH ABSTRACT: Value and growth investment strategies can be traced back to Fama and French (1992) and Lakonishok, Shleifer and Vishny (1994). The studies built on earlier work done and lead to attention being shifted to valuation ratios and company size as leading explanatory indicators for stock returns. Based on the accumulated evidence from studies, the academic and investment community came to agree that value investment strategies, on average, outperform growth investment strategies. Value and growth, are widely recognised and used by money managers and investors as distinctive investment strategies. These style-specific investment strategies were tested on the South African market for the period 1990 to 2009. The significant changes within the economic conditions and securities markets motivated the research to include the business cycle – specifically, contraction and expansion of the economy – within the scope of this study. The Sharpe, Treynor and Information performance ratios, that were calculated for compiled value and growth portfolios, were compared and analysed. The performance evaluation is not normally initiated with a detailed analysis of the return distribution in order to determine which performance measure is superior. The return densities for all portfolios were calculated in order to gain a better understanding of return distributions and risk considerations within the different business cycles. The results indicated that, within the South African context, value investing did outperform growth investing as indicated by previous research that stocks with high valuation ratios tend to outperform stocks with low valuation ratios. The mean monthly performance of value portfolios also outperformed growth portfolios in the period of economic upswing, which is a similar result as that of other markets where this kind of research has been conducted. In the economic downturn period growth investing seems to be superior to value investing similar to that of the US market. The study indicates that the superior performance of value investing is robust for the whole sample period, meaning that investors will be better off investing in stocks with high valuation ratios for all economic conditions, but the benefits of value investing would be greater during periods of economic upswing. The volatility of returns within the two economic conditions is quite evident and highlights the importance of incorporating business cycles into investment strategies and decisions. The business cycle adds another dimension to value investing strategy evaluation and should be incorporated in the evaluation process.

The objectives of the thesis - which comprises six parts – can be summarized in i) implementing linear and nonlinear/nonparametric approaches toward detecting, measuring and analyzing the nature and directionality of causal relationships in financial markets, ii) elaborating on modern topics in financial investment analysis, iii) probing into the role of commodity futures in constructing optimal portfolios as well as iv) investigating growth dynamics via aggregated and disaggregated indices. The first paper named “Analyzing causal interactions between sectoral equity returns and commodity futures returns in the aftermath of the global financial crisis: The case of the US and EU equity returns”, aims to explore and compare the dependence and co-movement structure between commodity and various asset classes’ returns including the USA and EU stock markets via the use of linear and non-linear causality testing in a comparative context with the additional adjustment for cointegration and conditional heteroscedasticity. The findings provide important implications for optimal asset allocation and portfolio diversification with respect to various market conditions, namely both in “good” and “bad” (crisis) times. The second paper is entitled “On the time scale behaviour of Equity-Commodity links: Implications for Portfolio Management”, and has been published in the Journal of International Financial Markets, Institutions and Money (2016). The study is co-authored with Professors S. Bekiros, D.K. Nguyen, and B. Sjö. It develops a holistic framework for the investigation of the multi-horizon and intra-frequency causal directionalities of various asset classes, by means of multi-resolution analysis. The results verify the assumption that financial markets exhibit time-varying co-movement patterns, which are fundamentally important in a) generating profitable trading strategies according to different investor horizon expectations and b) decoding the financialization mechanism across various asset classes. The third paper entitled “Business Cycle (de) Synchronization in the aftermath of the Global Financial Crisis: Implications for the Euro Area”, was published at Studies in Nonlinear Dynamics and Econometrics (2015) and is co-authored with S. Bekiros, D.K Nguyen and B. Sjö. In this work, the scale-dependent time-varying (de)synchronization effects between the Eurozone and the broad Euro area business cycles are revealed, before and after the global financial crisis. The results, which point towards an increased observed comovement during the crisis period for the Euro area, could be catalytic for the introduction of a more efficient monetary policy by EU institutions and in particular by the European Central Bank. In the fourth paper, “Do financial stress and policy uncertainty have an impact on the energy and metals markets? A quantile regression approach”, which was published in the International Review of Economics and Finance (2016) and co-authored with J.C. Reboredo, the financial and policy uncertainty is investigated in relation to the price dynamics of energy and metal commodity futures’ markets. This work lead to the analysis of the asymmetric interrelationships with respect to changes in the perceptions of various risk measures, covering various periods, i.e., “normal” vs. “turbulent” such as upward or downward market episodes. The fifth paper, co-authored with P. Andreasson, S. Bekiros and D.K. Nguyen, is entitled “The impact of speculation and economic uncertainty on commodity markets”, and is published in the International Review of Financial Analysis (2016). This paper attempts a novel methodological approach to measuring speculation in commodity markets, in particular whether market speculation drives agricultural commodity prices or viceversa. The assessment of the empirical analysis demonstrates that agricultural prices are not affected by speculation. Finally, the sixth paper “Energy and Output Dynamics in Bangladesh”, co-authored with B.P. Paul, was published in Energy Economics (2011) and explores the relationship between energy utilization and economic growth in Bangladesh. Specifically, it deals with the important issue of whether energy consumption can be reduced without affecting economic growth while at the same time implicitly may lead to poverty reduction. The findings substantiate the fact that a) energy usage has become more efficient in recent times, as well as indicate that b) fluctuations in energy consumption did not have a significant impact on economic output.

This study investigates the relationship between stagflation and price stability and full employment and four economic scenarios and the economic condition. The data used in the study were obtained from government publications and were analyzed using hierarchical multiple regression. The standard inferential apparatus were employed. Give independent variables were found to be significant in explaining the causes of stagflation. These were: absolute change in M1, oil embargo of 1974, corporate profits, output per hour, and Iranian crisis of 1979. In conclusion, the causes of economic instability do not rest with one single theory or factor, but a combination of several.

The goal of this thesis is to develop a DSGE model that accounts for the key business cycle properties of the Czech labor market. We used standard New Keynesian framework for monetary policy analysis and incorporated an elaborated labor market setup with equi- librium wage derived via an alternating offer bargaining protocol originally proposed by Rubinstein (1982) and follow the work of Christiano, Eichenbaum and Trabandt (2013) in the following steps. Firstly, we calibrated the closed economy model according to values suited for the Czech economy and found that the model can not only account for higher volatility of the real wage and unemployment, but can also explain the contemporaneous rise of both wages and employment after an expansionary shock in the economy, so called Shimer puzzle (Shimer, 2005a). Secondly, we demonstrated that the alternating offer bar- gaining sharing rule outperforms the Nash sharing rule under assumption of using the hiring costs in our framework (more so while using search costs) and therefore is better suited for use in larger scale models. Thirdly, we concluded that after estimating the labor market parameters using the Czech data, our model disproved the relatively low values linked to the probabilities of unsuccessful bargaining and job destruction. JEL...

We propose the analysis of the dynamics of the standard deviation of business cycles across euro area countries in order to evaluate the patterns of cyclical convergence in the European Monetary Union for the period 1960-2008. We identify significant business cycle divergence taking place in the mid-eighties, followed by a persistent convergence period spanning most of the nineties. This convergent episode finishes roughly with the birth of the European Monetary Union. We show that a hypothetical euro area including all the new members of the recent enlargement rounds does not imply a sizeable decrease in the optimality of the currency union. Finally, the European synchronization differential with respect to other developed economies seems to have been diluted within a global cycle since 2004.