Thesis (Ph. D.)--Ohio State University, 2006. / Title from first page of PDF file. Includes bibliographical references (p. 95-102).

This thesis consists of three essays and empirically studies the behaviour of emerging and frontier stock markets against instability in the commodity and international financial markets. The first essay considers symmetric and asymmetric dynamic conditional correlation multivariate GARCH models to examine the correlations between the Gulf Cooperation Council (GCC) stock markets and the Brent and OPEC crude oil price indices and to gauge the oil shocks effect on the dynamics of the GCC stock markets. The analysis uses weekly data covering the period December 31st, 2003 to December 27th, 2012. The results show that: (i) two of the GCC stock markets are asymmetrically correlated with both the Brent and OPEC crude oil price indices and only two are symmetrically correlated with Brent oil; (ii) all the GCC stock markets exhibit positive and symmetric conditional correlations overtime and these correlations are more pronounced during periods of high oil price fluctuations. The second essay investigates the contagion effect and volatility spillovers from the U.S. financial, the Dubai and the European debt crises to the GCC stock markets, with particular focus on financial and non-financial sectors. It uses weekly data for the period December 31st, 2003 to January 28th, 2015 and applies GARCH models and indicators of crisis. The empirical results show that: i) contagion effects are present on some of the GCC stock markets and are more pronounced during the U.S. financial and Dubai debt crises, with a larger impact on financial sectors; ii) there is significant evidence of volatility spillovers from the financial sectors of the U.S., European and Dubai stock markets to some of the GCC sectors considered, even though spillovers are rather weak in magnitude. The last essay investigates the extent to which the GCC stock markets are correlated and integrated with those of the Asian countries. The analysis is carried out using the Johansen cointegration approach, the dynamic conditional correlation (DCC) GARCH model, and a standard correlation analysis based on a rolling window estimation scheme. The sample period of the analysis spans from December 31st, 2003 to September 30th, 2015. The empirical analysis offers three main results. First, there is a relatively moderate evidence of cointegration among some of the GCC and Asian stock markets particularly with of those of strong economic linkages among them. Second, evidence of time-varying correlation is found in some cases, while not large in magnitude, and shocks to volatility are highly persistence. Third, stock returns show a common trend exists, only during the global financial crisis.

abstract: Estimating cointegrating relationships requires specific techniques. Canonical correlations are used to determine the rank and space of the cointegrating matrix. The vectors used to transform the data into canonical variables have an eigenvector representation, and the associated canonical correlations have an eigenvalue representation. The number of cointegrating relations is chosen based upon a theoretical difference in the convergence rates of the eignevalues. The number of cointegrating relations is consistently estimated using a threshold function which places a lower bound on the eigenvalues associated with cointegrating relations and an upper bound on the eigenvalues on the eigenvalues not associated with cointegrating relations. The proposed estimator performs better with a large number of cross-sectional observations and moderate time series length. / Dissertation/Thesis / Ph.D. Economics 2012

Vector autoregression models have become widely used research tools in the analysis of macroeconomic time series. Cointegrated techniques are an essential part of empirical macroeconomic research. They infer causal long-run relationships between nonstationary variables. In this study, six information criteria were reviewed and compared. The methods focused on determining the optimum information criteria for detecting the correct lag structure of a two-variable cointegrated process.

This thesis deals with a set of overlapping problems in finance and econometrics which involve nonlinearities and dynamics: nonlinear co-integration, asset pricing dynamics and nonparametric derivative asset pricing.

This study estimates cointegration models by applying the Engle-Granger (1989) two-step es- timation procedure, the Phillip-Ouliaris (1990) residual-based test and Johansen's multivariate technique. The cointegration techniques are tested on the Raotbl3 data set, the World Economic Indicators data set and the UKpppuip data set using statistical software R. In the Raotbl3 data set, we test for cointegration between the consumption expenditure, and income and wealth vari- ables. In the world economic indicators data set, we test for cointegration in three of Australia's key economic indicators, whereas in the UKpppuip data set we test for the existence of long-run economic relationships in the United Kingdom's purchasing power parity. The study nds the three techniques not to be consistent, that is, they do not lead to the same results. However, it recommends the use of Johansen's method because it is able to detect more than one cointegrating relationship if present. / Decision Sciences / M. Com. (Statistics)

Lightweight thermal paper (LWTP) is a noteworthy import commodity with wide usage and large import value in the United States. In this study, the trade pattern and market dynamics of the LWTP import market in the U.S. has been examined based on almost ideal demand system. The results revealed that both the trade volume and import source of LWTP had changed during last decade. Competition relationships were found among major suppliers in both the short run and long run, and the long-run competition is stronger than that in the short run. The repeal of restriction on conducting countervailing investigation against non-market economy temporarily stimulated the import of LWTP products from China, but the following antidumping/countervailing investigation and the corresponding punitive duties generated trade depression effect on the imports. In addition, positive trade diversion effect was found on German products, which raises doubt on the effectiveness of this trade remedy policy.

Luxembourg has seen an unprecedented rise in homeownership prices in the last decade, hinting the existence of a speculatory bubble. Housing bubbles can have catastrophic effects on surrounding economies, so identifying them is paramount. This paper investigates Luxembourg’s housing prices and related factors in search for evidence of this bubble. The method consists of a two-stage econometric analysis of homeownership prices (dependent, HPI used for proxy) and its determining factors (independent, e.g. interest rates, incomes, population, etc.) spanning the last 15 years. First, all the time-series are tested for stationarity using the Augmented Dickey-Fuller test. Second, homeownership prices are tested for bivariate cointegration with the independent variable time-series using the Engle-Granger method. Cointegration of time-series is evidence of a shared long-run equilibrium, so absence of such relationships indicates market dysfunction. Under specific conditions, a speculatory bubble becomes the likely culprit. We identified no strong, statistically significant cointegrating relationships between homeownership prices and any of their determining factors. In combination with other indicators, we consider this to be admissible evidence for the existence of a bubble in Luxembourg’s housing market. We also suggest policy measures that could alleviate this potential bubble and discuss their likely outcomes.

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Yes / This study considers the effects of financial development on output in a panel cointegration framework, focusing on the implications of trade and financial openness. Our analysis indicates that after controlling for cross-sectional dependence, the typical relationship between finance and output does not hold in the long run. This relationship, however, is re-established once we account for economic openness. While trade openness emerges as more important for developing countries, financial openness is more important for advanced economies. In the long run, causality runs from financial development to output in the advanced economies, while in developing economies causality is bidirectional. There is no short-run causality between financial development and output, however.