Dividend policy is widely researched in financial management, but determining whether it affects the market price per share is difficult. There has been much published on the subject, which presented theories such as the Modigliani, Miller, Gordon, Lintner, Walter and Richardson propositions and the relevance and irrelevance theories. However, little research has been done on the impact of dividend policy on shareholders’ wealth while considering the short- and long-run effects. The Vector Error Correction Model (VECM) was used to describe the short-run and long-run dynamics or the adjustment of the cointegrated variables towards their equilibrium values in South Africa. This study attempts to explain the effect of dividend policy on the market price per share. A sample of 46 companies listed on the Johannesburg Securities Exchange (JSE) was selected for the period 1995-2010. Three variables were used, namely the market price per share, the dividend per share and the earnings per share. The market price per share was used as a proxy in measuring shareholders’ wealth and the dividend per share was used as a proxy in measuring the dividend policy. Fixed and random effects models were applied to panel data to determine the relation between dividend policy and market price per share. The fixed effects method was used to control the stable characteristics of the companies over a fixed period. The random effects model was applied when the companies’ characteristics differed. Results for both models indicated that dividend yield is positively related to market price per share, while earnings per share do not have a significant impact on the market price per share. To test the strength of the long-run relationship, the VECM was applied. The coefficient for dividend per share in the co-integrating equation was positive, while the coefficient for earnings per share was negative. This confirms previous research findings. The results suggest that there is a long-run relationship between dividend per share and market price per share. The Granger causality test indicates there is bi-directional Granger causality between market price per share and dividend per share in South Africa. Therefore dividend policy does have a significant long-run impact on the share price and therefore provides a signal about the company’s financial success. / Dissertation (MCom)--University of Pretoria, 2012. / Financial Management / Unrestricted

The Istanbul metropolitan area is the largest office investment made in Turkey. According to the CBRE ERIX data, the total office stock in Istanbul by the end of 2018 exceeded 7 million sqm. There is approximately 1 million sqm of pipeline figures. The biggest problem for office projects which in the hold-on status and under construction status, Turkey's economy is rapidly affecting office rents and tenants of office the selection criteria. In particular, high financing costs and construction costs increase the importance of predicting the rent figures in office investments. This degree project aims at contributing to the understanding of the Istanbul rental office market underlying mechanisms. The office market data will be analyzed between Q1 2005-Q4 2018 period. Long-term equilibrium rents will be reached for the Istanbul office market and examined sub-markets. With the econometric analysis method, the long-term causality for rent with employment, stock and vacancy will be examined. Short-term estimates will be made with an error correction model. / Istanbuls storstadsområde är den största kontorsinvesteringen i Turkiet. Enligt CBRE ERIX-data översteg det totala kontorslagret i Istanbul i slutet av 2018 7 miljoner kvm. Det finns cirka 1 miljon kvm rörledningsfigurer. Det största problemet för kontorsprojekt som i fasthållningsstatus och under byggnadsstatus, påverkar Turkiets ekonomi snabbt kontoruthyrningar och hyresgäster i urvalskriterierna. Höga finansieringskostnader och byggkostnader ökar i synnerhet vikten av att förutsäga hyrestalterna i kontorsinvesteringar. Detta examensarbete syftar till att bidra till förståelsen av de underliggande mekanismerna för hyreskontor i Istanbul. Kontorsmarknadsdata analyseras mellan F1 2005-F4 2018 perioden. Långsiktiga jämviktshyror kommer att nås för Istanbul-kontorsmarknaden och undersökta delmarknader. Med den ekonometriska analysmetoden kommer den långsiktiga orsaken till uthyrning med sysselsättning, lager och ledighet att undersökas. Kortfristiga uppskattningar kommer att göras med en felkorrigeringsmodell.

This study provides evidence of the relationship between bank-granted credit and business cycles in South Africa. The study is conducted in three phases, namely qualitative research (Phase I), quantitative research (Phase II) and econometric analysis (Phase III). A sequential (connected data) mixed methodology (Phase I and II) is used to collect and analyze primary data from market participants. The qualitative research (Phase I) involves structured interviews with influential or well informed people on the subject matter. Phase I of the study is used to understand the key determinants of bank credit in South Africa and to appreciate how each of the credit aggregates behaves during alternate business cycles. Qualitative survey results suggest key determinants of commercial bank credit in South Africa as economic growth, collateral value, bank competition, money supply, deposit liabilities, capital requirements, bank lending rates and inflation. The qualitative results are used to formulate questions of the structured survey questionnaire (Quantitative research- Phase II). The ANOVA and Pearman’s product correlation analysis techniques are used to assess relationship between variables. The quantitative results show that there is direct and positive relationship between bank lending behavior and credit aggregates namely economic growth, collateral value, bank competition and money supply. On the other hand, the results show that there is a negative relationship between credit growth and bank capital and lending rates. Overall, the quantitative findings show that bank lending in South Africa is procyclical. The survey results indicate that the case for demand-following hypothesis is stronger than supply-leading hypothesis in South Africa. The econometric methodology is used to augment results of the survey study. Phase III of the study re-examines econometric relationship between bank lending and business cycles. The study employs cointegration and vector error correction model (VECM) techniques in order to test for existence of long-run relationship between the selected variables. Granger causality test technique is applied to the variables of interest to test for direction of causation between variables. The study uses quarterly data for the period of 1980:Q1 to 2013:Q4. Business cycles are determined and measured by Gross Domestic Product at market prices while bank-granted credit is proxied by credit extension to the private sector. The econometric test results show that there is a significant long-run relationship between economic growth and bank credit extension. The Granger causality test provides evidence of unidirectional causal relationship with direction from economic growth to credit extension for South Africa. The study results indicate that the case for demand-following hypothesis is stronger than supply-leading hypothesis in South Africa. Economic growth spurs credit market development in South Africa. Overall, the results show that there is a stable long-run relationship between macroeconomic business cycles and real credit growth in South Africa. The results show that economic growth significantly causes and stimulates bank credit. The study, therefore, recommends that South Africa needs to give policy priority to promotion and development of the real sector of the economy to propel and accelerate credit extension. Economic growth is considered as the significant policy variable to stimulate credit extension. The findings therefore hold important implications for both theory and policy. / Business Management / D.B.L.

In this thesis we study the utility maximization problem for assets whose prices are cointegrated, which arises from the investment practice of convergence trading and its special forms, pairs trading and spread trading. The major theme in the first two chapters of the thesis, is to investigate the assumption of market-neutrality of the optimal convergence trading strategies, which is a ubiquitous assumption taken by practitioners and academics alike. This assumption lacks a theoretical justification and, to the best of our knowledge, the only relevant study is Liu and Timmermann (2013) which implies that the optimal convergence strategies are, in general, not market-neutral. We start by considering a minimalistic pairs-trading scenario with two cointegrated stocks and solve the Merton investment problem with power and logarithmic utilities. We pay special attention to when/if the stochastic control problem is well-posed, which is overlooked in the study done by Liu and Timmermann (2013). In particular, we show that the problem is ill-posed if and only if the agent’s risk-aversion is less than a constant which is an explicit function of the market parameters. This condition, in turn, yields the necessary and sufficient condition for well-posedness of the Merton problem for all possible values of agent’s risk-aversion. The resulting well-posedness condition is surprisingly strict and, in particular, is equivalent to assuming the optimal investment strategy in the stocks to be market-neutral. Furthermore, it is shown that the well-posedness condition is equivalent to applying Novikov’s condition to the market-price of risk, which is a ubiquitous sufficient condition for imposing absence of arbitrage. To the best of our knowledge, these are the only theoretical results for supporting the assumption of market-neutrality of convergence trading strategies. We then generalise the results to the more realistic setting of multiple cointegrated assets, assuming risk factors that effects the asset returns, and general utility functions for investor’s preference. In the process of generalising the bivariate results, we also obtained some well-posedness conditions for matrix Riccati differential equations which are, to the best of our knowledge, new. In the last chapter, we set up and justify a Merton problem that is related to spread-trading with two futures assets and assuming proportional transaction costs. The model possesses three characteristics whose combination makes it different from the existing literature on proportional transaction costs: 1) finite time horizon, 2) Multiple risky assets 3) stochastic opportunity set. We introduce the HJB equation and provide rigorous arguments showing that the corresponding value function is the viscosity solution of the HJB equation. We end the chapter by devising a numerical scheme, based on the penalty method of Forsyth and Vetzal (2002), to approximate the viscosity solution of the HJB equation.

This article investigates the interrelations between the initial members of the Euro area and five important Central and Eastern European economies. We set up a theoretical open economy model to derive the Purchasing Power Parity, the Interest Rate Parity, the Fisher Inflation Parity, and an output gap relation. After taking convergence into account, they are used as restrictions on the cointegration space of a structural vector error correction model. We then employ generalized impulse response analysis to assess the dynamic effects of shocks in output and interest rates on the respective other area as well as the implications of shocks in the exchange rate and in relative prices on both areas. The results show a high degree of interconnectedness between the two economies. There are strong positive spillovers in output to the respective other region with the magnitude of the impact being similarly strong in both areas. Furthermore, we find a multiplier effect being present in Eastern Europe and some evidence for the European Central Banks' desire towards price stability. (author's abstract) / Series: Department of Economics Working Paper Series

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.

本文的主要目的在於探討亞洲國家央行外匯存底的需求，研究的國家包括韓國、大陸、印度、新加坡、台灣與日本。透過使用1987年Engle-Granger的共整合分析法，我們發現這六國的外匯存底需求與其解釋變數具有共整合的現象。共整合現象的存在反映了這些國家的外匯存底需求存在長期的均衡關係。此外，為了進一步了解短期經濟的干擾如何影響外匯存底的需求，本文採用誤差修正模型做為分析工具，與過去文獻不同的是，本文的實證結果顯示本文所研究的六個國家之外匯存底顯著的受到貨幣成長率的影響，依據誤差修正模型的調整項亦可發現當外匯存底需求偏離長期均衡值時，此六國的調整速度相當慢，絕對值都在0.5以下，由於當一個經濟體系允許以緩慢的修正速度調整至長期均衡，必須擁有大量的外匯存底，由於本文所挑選的國家為全球著名的外匯存底持有國，其央行皆持有巨額的外匯存底，故本文的實證結果與理論假設一致。 / The primary purpose of this paper is to explore the demand characteristics for international reserves in some Asian countries including Korea, China, India, Singapore, Taiwan, and Japan. After applying the cointegration test of Engle-Granger (1987), we discover that the non-stationary macro time series of the group of the countries under study are cointegrated. Hence, international reserves in these Asian countries have displayed a long-run relationship with some determinants for the past several decades. Besides, we adopt an error correcting mechanism specification to investigate the short-run dynamic process of reserve holdings. Based on the error correction model (ECM), the rate of monetary growth is found to have a significant effect on reserve holdings in all of the six countries. In the end, the properties of the error correction terms among these countries are examined. We find that the absolute value of the error correction term is less than 0.5 in these economies. It implies that all of these six countries have very low adjustment speed of the demand for reserves. Owing to the huge stock of reserve holdings in this area, the results appear to be sensible.

This thesis consists of an introductory part and three papers. Paper [I] examines how taxes affect consumption of commodities that are detrimental to health and the environment. Specifically, this paper examines if a tax increase leads to a significantly larger change in consumption than a producer price change, which is referred to as the signaling effect from taxation. The analysis uses aggregated cross-sectional time series data and information on major legislation introductions in Sweden, Denmark and the United Kingdom from 1970 to 2009. We find the main result to be that the signaling effect is significant for “Electricity” in Sweden and Denmark and significant for “Electricity” and “Petrol” in the United Kingdom. Paper [II] examines how sin taxation changes long-term consumer behavior regarding commodities which are deemed harmful for both health and the environment. These include tobacco, alcoholic beverages, sugar and confectionary, household energy, and motor fuel. Specifically, we examine the signaling effect from taxation which is seen if a tax increase leads to a significantly larger change in consumption than a producer price change. The empirical analysis is conducted by a US panel data study, during the period 1988-2012 for the four US census regions, using the Almost Ideal Demand System (AIDS). We find the main result to be that the signaling effect from taxation is significant for tobacco as well as for electricity and motor fuel.    Paper [III] examines state and industry responses on consumption of cigarettes and petroleum in the United States from 1998-2012. Upon facing consumption choices, the consumer faces two competing sets of messages, one from the government and another from the industry. The objective of the state is to steer consumption in the right direction due to the harmful effects from consumption and asymmetric information among consumers. This is done mainly via taxation and state media expenditures. The industry, on the other hand, seeks to incentivize the public to ignore or reject state research and signals as well as maximizing net economic returns. This is mainly done via industry media and lobbying expenditures. We find that the main results indicate, for cigarettes, industrial media and lobbying expenditure is statistically significant on consumption. For petroleum, we find that producer prices, state media expenditure, and industrial lobbying expenditure are statistically significant on consumption.

The recent economic and financial turmoil has led central banks around the world to heavily utilize unconventional monetary policy measures. Unconventional in this sense means a deflection from traditional central bank policy measures, i.e. interest rate innovations. Although these measures were widely discussed, the uniformed, coherent and comprehensive framework of such measures is still missing. The aim of this thesis is to establish the framework for possible classification of such policies together with transmission channels to the real economy. The empirical part examines the impacts of unconventional policies on real data using vector autoregression and vector error correction models. This analysis is based on monthly data period between 1999 and 2013, which is strongly affected by implementation of the unconventional policies in its second half. The last section examines the possible future of these policies as a normal instrument of central banks and describes their main challenges and shortcomings. JEL classification: C32, E40, E44, E50, E52, E58, E60 Keywords: Unconventional monetary policy, Interest rate, Decoupling principle, Balance sheet policy stratification, Quantitative easing, Channels of transmission, Vector Autoregression, Vector error correction model Author's e-mail:...

The aim of this thesis is to verify and analyse presumed relations between selected macro-fundamentals, namely USD exchange rate, production index, interbank offered rate, inflation, money supply and two exogenous indices ( Standard & Poor's 500 and EURO STOXX 50), and CEE (Austria, Czech Republic, Poland, Hungary) or SEE (Bulgaria, Croatia, Slovenia, Romania) financial markets over the period from December 1995 to December 2015. In order to test the long-run cointegration relationships between studied markets and the set of macroeconomic variables, the Engle-Granger and Johansen tests are applied. The vector error correction model is used to confirm the long-run equilibrium interlinkages and the results show similar trend tendencies between stock indices and some of the macro-fundamentals in Croatia, Czech Republic, Hungary, Poland and Romania. To verify the short-run causal linkages, the Granger causality test is employed. Based on retrieved findings, the efficiency of studied markets with respect to Efficient Market Theory is reviewed. Our findings reveal several pairwise short-run causal impacts between studied macroeconomic indicators and stock indices. The only indicator which does not impact any stock market is the interbank offered rate. Moreover, according to our results, all CEE&SEE stock...