The effect of immigration on labor-market performance is the subject of various studies; most of those studies focus on the effect of immigrants on wages. The characteristics of the Nordics labor-market cause a shift in the focus to another labor-market outcome. The primary goal of this paper is to study the effect of immigration on the employment rate on a regional level. Two hypotheses are developed to study the correlation between immigration and the employment rate. By utilizing the autoregressive distributed lag technic for panel data, we find a positive association between immigration and the overall employment rate, as well as for immigrants' employment rate. Unit-root tests using both Levin–Lin–Chu and Harris–Tsavalis to test for time trend and cross-sectional dependence, the results show that most of the variables are integrated after the first difference I(1). Following, I perform a Westerlund cointegration test; the results for the two models show a cointegration among the variables. The two estimations developed by Pesaran PMG and DFE show different results for the two hypotheses. For the first hypothesis, Both estimators show a positive impact with the same magnitude of the share of immigrants to the total population on the employment rate, which contradict the hypothesis, and the estimators fail to capture the effect of education on the employment rate. Also, the density tends to affect the employment rate positively. A post estimation diagnostic, namely, the Hausman test, shows that the PMG estimator is both efficient and consistent. The second hypothesis of the correlation between the immigrants’ employment rate and their share of the population produces less clear results. Here the PMG estimators show no association with the share of immigrants, while the human capital coefficient is significant, the density coefficient is in both estimations. The DFE methods for the second hypothesis is similar in results for the first hypothesis, which implies a positive relationship between the share of immigrants and the immigrants' employment rate.

Includes abstract. Includes bibliographical references.

Several researchers have over the past decades criticised the efficient market hypothesis as several studies have presented evidence of causality and co-integrating relationships in  inancial markets. As preference shares have become increasingly popular, in recent years, as a mean of raising capital in the Swedish real estate sector, this study investigates the causal relationships between common shares and their corresponding preference share of nine listed Swedish real estate companies. By using daily closing prices over the period Dec 2014 – April 2016, we find weak support for short-run causalities in five of the nine examined pairs but no long-run cointegrating relationships. Further, we find causality running from the largest five firms to the four smallest in the sample firms. These findings violate the weak form of the efficient market hypothesis, which state that asset price fluctuations are random and not possible to forecast by the use of historical asset prices.

We develop a non-linear Markov error correction approach to examine the general co-integration relation between the H- and A-prices of cross-listed Chinese stock issuers across the period January 1999 to March 2009. We unravel three important dimensions of this relation. These pertain to (i) the long-run expectation of the H- (to A-price) discount; (ii) the level of short-run co-movement in prices; and (iii) the magnitude of error corrections. Findings point to significant improvements in all three areas. Policy and corporate governance change appears to be the principal force driving the efficiency gains. Weakening informational asymmetries underlie much of the change in the markets’ relative pricing. In contrast, sentiment effects strongly underpin the contemporaneous response and error correction adjustments. Finally, the escalating Global Financial Crisis of 2008 appears to have not only bolstered the A- and H-markets’ short-term pricing dynamic but also temporarily increased the long-term H-share discount.

Os modelos ARFIMA de memória longa mostraram-se nesse trabalho mais versáteis à análise da persistência em séries temporais em comparação aos modelos ARIMA. As funções impulso-resposta dos modelos de integração fracionária indicam que essa classe de modelos capta mais adequadamente as informações contidas nas baixas freqüências das séries e, portanto, estes modelos são mais capacitados para avaliar como os choques econômicos são acomodados no médio e longo prazo. Os estudos simulatórios mostraram que os testes de raiz unitária aplicados a processos com memória longa possuem baixo poder, e que os estimadores por máxima verossimilhança e os baseados no espectro de ondaletas são eficientes para estimar o parâmetro de integração fracionária. Os estudos empíricos encontraram componentes altamente persistentes nas séries brasileiras do produto, desemprego e consumo. A análise de co-integração fracionária refutou os resultados do arcabouço I(1)-I(0) que sugerem a não co-integração entre as séries consumo das famílias e renda disponível. A variabilidade relativa dessas séries foi analisada por meio da análise em multiresolução de ondaletas. Concluiu-se que, nas baixas escalas, a variabilidade entre as séries varia em função da escala temporal envolvida. A doutrina da paridade do poder de compra com dados brasileiros foi revisitada por meio da análise de co-integração fracionária. / The long-memory ARFIMA models proved to be more versatile in this study to the analysis of endurance in time series compare to the ARIMA models. The impulse-response functions of the fractionally integrated models indicate that this class of models more adequately gathers the data enclosed in the low frequencies of the series and thus these models are more befitted to evaluate how economic shocks are settled in the medium and long terms. Simulation studies unveiled that the unit root tests applied to long-memory processes have low power, and that the maximum likelihood estimators as well as those based on wavelet spectrum are efficient in estimating the fractional difference parameter. Empirical studies have found highly persistent components in the Brazilian series of the product, unemployment and consumption. The fractional co-integration analysis rebutted the results of the I(1)-I(0) framework, which suggest the non co-integration between the series of families\' consumption and the disposable income. The relative variability of these series was investigated through a wavelet multiresolution analysis. It was concluded that, in small scales, the variability between the series changes according to the time scale involved. The Purchasing Power Parity doctrine with Brazilian data has been revisited through the fractional co-integration analysis.

Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.

International Fisher Effect (IFE) is a theory in international finance which asserts that the spot exchange rate between countries should move in opposite direction with the interest rate differential between these countries. The aim of this thesis is to analyze whether differences in nominal interest rates between countries and the movement of spot exchange rates between their currencies tend to move together over the long run. The presence of IFE is tested among the G-5 countries and Turkey for the period from 1985:1 to 2007:12. The long run relationship is estimated with the Johansen co-integration method and supportive evidence is found for all country pairs. Individually modeled equations are further tested with the Dynamic SUR method. Those DSUR equations that include the Turkish currency provide supportive evidence for IFE that higher interest rates in favor of Turkey would cause depreciation of the Turkish Lira. The magnitude of the effect is found to be lower than expected which indicates that there might be other factors in economy, such as inflation rates, that affect the exchange rate movements.

This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.

none

Although a pair trading is well known among South African agricultural commodity traders, there are no comprehensive documented accounts for the selection and trading of agricultural commodity pairs in South Africa. The majority of agricultural commodity pairs traders take positions based on their personal view of price movements, without testing for a statistical relationship between the paired commodities that will guarantee that their prices will move back to a common mean. To remedy this lack of method regarding the pairs selection and pairs trading processes, a comprehensive pairs selection process was developed and is documented in this thesis. During the pairs selection process, several agricultural commodities were put through a rigorous evaluation process to test for any long-run statistical relationships between them. This was done to ensure that only pairs with stable long-run statistical relationships were included in the final pair’s portfolio that was compiled. In order to test the profitability of this pair’s portfolio, several fundamental and technical indicators were used to determine entry and exit points. Although some of these indicators did not render satisfactory results, the RSI and Bollinger bands succeeded in realising an acceptable profit. / Thesis (Ph.D. (Risk Management))--North-West University, Potchefstroom Campus, 2008.