Cheng Wing Yan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 115-122). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Tables --- p.v / List of Figures --- p.vi-vii / List of Charts --- p.viii / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Literature Review --- p.4 / Chapter Chapter 3. --- Methodology --- p.8 / Chapter Chapter 4. --- Data Description --- p.18 / Chapter Chapter 5. --- Empirical Results --- p.29 / Chapter 5.1 --- Simple Regression Results --- p.29 / Chapter 5.2 --- Structural Break Test Results --- p.31 / Chapter 5.3 --- Regression Results for Housing Attributes' Coefficients on Macroeconomic Variables --- p.32 / Chapter Chapter 6. --- Conclusion --- p.34 / Appendix 1. Limitation --- p.35 / Appendix 2. Tables --- p.37 / Appendix 3. Figures --- p.77 / Appendix 4. Charts --- p.107 / Appendix 5. Regression Results for Housing Attributes from Literature --- p.113 / Bibliography --- p.115

Made available in DSpace on 2016-04-25T16:44:36Z (GMT). No. of bitstreams: 1 Theresangela Giongo Flores Araes.pdf: 2525517 bytes, checksum: db1eeaec5b8908720990db4db74213b2 (MD5) Previous issue date: 2013-10-15 / The bankruptcy of Lehman Brothers in 2008 rapidly provoked a severe systemic risk in the global banking industry and resulted in the worst financial crisis since the Great Depression in 1929. This crisis affected the Brazilian Financial System, contributing to the adoption of several prudential measures to soften their effects. As a consequence of such crisis, the European fiscal crisis started in mid-2010, with new expansive measures being adopted in Brazil in 2011. This study evaluated how these international financial crises and prudential measures adopted by the Brazilian Central Bank affected the stock and the financial performance of Brazilian Banks. It was used the methodology of event study and of financial analysis based on the evaluation of accounting indexes, which are traditional in the banking system (CAMELS). It was noticed that the stock performance of the banks, in general, was not statistically affected by the selected events. This behavior can be partially explained by the dynamic nature of the events, which only happen after consecutive disclosure of relevant information about the economic environment and the companies to the market. Regarding the financial performance, it was noticed that, in moments of crises, the banks adopt a more conservative posture towards credit concession, due to higher delinquencies and lower profitability. Banks focus on improving their liquidity conditions. Despite overall negative impact of financial crises over the banks profitability and asset quality of Brazilian Banks, the strong capital structure of the banking system allowed the absorption of such losses / A falência do Lehman Brothers em 2008 rapidamente desencadeou um severo risco sistêmico no mercado bancário global e resultou na pior crise financeira desde a Grande Depressão em 1929. Esta crise afetou o sistema financeiro brasileiro, provocando a adoção de diversas medidas prudenciais para combater seus efeitos. Como desdobramento desta crise, surgiu a crise fiscal européia em meados de 2010 com novas medidas expansionistas sendo adotadas no Brasil em 2011. O presente trabalho avaliou como estas crises financeiras internacionais e as medidas prudenciais adotadas pelo Banco Central do Brasil afetaram o desempenho bursátil e contábil dos bancos brasileiros. Para isso, foram utilizados os métodos de estudo de eventos e a análise financeira baseada na leitura de índices contábeis tradicionais do segmento bancário (CAMELS). Percebeu-se que o desempenho bursátil dos bancos, de modo geral, não foi afetado de forma estatisticamente significativa pelos eventos sistêmicos selecionados. Em parte, tal comportamento pode ser explicado pela natureza dinâmica dos eventos, os quais somente são deflagrados após a divulgação sequencial de informações relevantes da conjuntura econômica e de empresas ao mercado. Quanto ao desempenho financeiro , constatou-se que em momentos de crise, os bancos adotaram uma postura mais cautelosa na concessão de crédito, resultante de aumento de inadimplência e queda de rentabilidade, concentrando esforços na construção de liquidez. Mesmo com os impactos negativos das crises financeiras sobre a rentabilidade e qualidade de ativos do bancos brasileiros estudados nesta pesquisa, a forte estrutura de capital do sistema bancário, permitiu a absorção de tais perdas

漲跌停制度是一種意圖控制股市價格大幅波動的強制性政策。雖然漲跌停制度被很多國家都採用，但是關於該制度的效果的結論一直都是具有很大爭議性。除此之外，之前的一些研究還表明在不同國家的股票市場中，漲跌停制度的效果也是不一樣的。然而，作為一個獨特且年輕的股票市場，中國A股市場也擁有漲跌停制度，但是關於它的效果的研究卻很稀缺。其中，關於在特殊經濟狀況下，例如金融危機，漲跌停的效用基本上沒被研究過。這是一個很重要的研究課題，因為金融危機這種特殊經濟時期會引起股市的大幅波動，這正是漲跌停制度發揮作用也是我們研究其效果的最佳時機。因為以上原因，這篇論文的主題就是挖掘中國A股的漲跌停制度在金融危機時期的效果，我們希望檢驗是否金融危機引起的特殊市場氛圍會使漲跌停的效果與平常不同。我們將一種改進的關於漲跌停效果的經典方法應用於金融危機期間的股票交易數據上，來對三個假設（波動性溢出, 延遲價格發現和妨礙交易）進行檢驗。相比與之前的方法，我們進行了改進，主要是採用了以漲跌停價格收市和包含了連續漲跌停的數據。 / 此外，爲了更好滴瞭解漲跌停制度的效果，我們還對那些在金融危機期間容易漲跌停的股票研究其主要特點。在本論文中，我們除了引進每個股票的基本面指標，還引進了具有中國特色的因子，包括國有股份和行業等因子，通過廣義（GMM）的方法來進行分析。這些股票特徵希望能夠為於證監會將來制定漲跌停制度和投資者在金融危機期間于中國的投資提供一定信息。 / Price limit is a policy originally utilized to control extreme price movements in stock markets. As a widely adopted policy in numerous countries, price limit has led to several debates regarding its effects on stock markets. Moreover, previous studies have shown that price limit has different effects on different markets and time periods. However, the effects of the price limit system in the Chinese A-share market, a unique and young stock market, has yet to be fully investigated. Furthermore, few works have studied the price limit during special economic conditions, such as financial crises, which should be the best time for price limit to play its role. Additionally, these conditions are the most ideal times at which to test the effects of the price limit. Motivated by these conditions, this thesis explores the effects of price limits on the Chinese A-share stock markets during financial crises in order to examine whether the market atmosphere of investor sentiment caused by special economic conditions has varied impacts on the effects of price limits. By employing the recognized methods, this thesis aims to test the three hypotheses of volatility spillover, delayed price discovery, and trading interference using stock data during financial crisis. Compared with previous studies, this thesis empirically analyzes the effects of price limits with our improved methodology of utilizing closing-hitting observations. / To gain a better understanding of the price limit’s effect, this thesis also investigates the characteristics of stocks that hit the price limits more frequently under this special economic condition. In this study, the Generalized Method of Moments regression model is utilized by introducing financial indicators for each individual stock and some special factors in the Chinese A-share markets, such as state-owned share and industries. Identifying the characteristics of stocks that frequently hit the limit can provide some information to investors when financial crises occur in the Chinese A-share markets. / Detailed summary in vernacular field only. / Detailed summary in vernacular field only. / Wang, Dingyan. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2013. / Includes bibliographical references (leaves 54-55). / Abstracts also in Chinese. / Abstract --- p.3 / Acknowledgement --- p.6 / Chapter 1 --- Introduction --- p.11 / Chapter 1.1 --- Introduction --- p.11 / Chapter 2 --- Background --- p.16 / Chapter 2.1 --- Background of Chinese Stock Markets --- p.16 / Chapter 2.2 --- Literature Review --- p.19 / Chapter 3 --- Effects of Chinese A-Share Price Limits --- p.22 / Chapter 3.1 --- Data --- p.22 / Chapter 3.2 --- Improvement of Methodology --- p.25 / Chapter 3.3 --- Empirical Analysis --- p.26 / Chapter 3.3.1 --- Test of the Volatility Spillover Hypothesis --- p.27 / Chapter 3.3.2 --- Test of the Delayed Price Discovery Hypothesis --- p.36 / Chapter 3.3.3 --- Test of the Trading Interference Hypothesis --- p.38 / Chapter 4 --- Characteristics of Stocks that Hit the Limit --- p.46 / Chapter 4.1 --- Characteristics of Stocks that hit the limit during the Financial Crisis --- p.46 / Chapter 5 --- Conclusions --- p.52 / Chapter 5.1 --- Conclusions --- p.52 / Bibliography --- p.54

Leung Yuk Sze. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2005. / Includes bibliographical references (leaves 127-131). / Abstracts in English and Chinese. / Abstract --- p.i / 摘要 --- p.ii / Acknowledgement --- p.iii / Table of Contents --- p.iv / Chapter 1 Introduction --- p.1 / Chapter 2 Literature --- p.12 / Chapter 2.1 --- The Financial Characteristics of Target Firms --- p.12 / Chapter 2.2 --- Agency Problems in Emerging Markets --- p.15 / Chapter 2.3 --- The Ownership Characteristics of Target Firms --- p.17 / Chapter Chapter 3 --- Hypotheses --- p.21 / Chapter 3.1 --- The Financial Characteristics of Likely Targets --- p.23 / Chapter 3.2 --- Ownership Structure Characteristics and Takeovers --- p.27 / Chapter Chapter 4 --- Sample Construction --- p.33 / Chapter 4.1 --- Data Descriptions --- p.33 / Chapter 4.2 --- Variable Descriptions --- p.37 / Chapter Chapter 5 --- Regression Results on Financial Characteristics --- p.41 / Chapter 5.1 --- Methodology and Econometric Model --- p.41 / Chapter 5.2 --- Summary Statistics of Financial Variables --- p.43 / Chapter 5.3 --- The Financial Characteristics of Firms Targeted by Foreign Firms --- p.47 / Chapter 5.4 --- The Financial Characteristics of Firms Targeted by Foreign Firms during the Crisis Year --- p.50 / Chapter 5.5 --- The Financial Characteristics of Firms Targeted by Other Domestic Firms --- p.52 / Chapter Chapter 6 --- Regression Results on Governance Characteristics --- p.55 / Chapter 6.1 --- Methodology and Econometric Model --- p.55 / Chapter 6.2 --- Summery Statistics of Ownership Variables --- p.57 / Chapter 6.3 --- The Ownership Structure Characteristics of Target Firms during the Crisis --- p.60 / Chapter 6.4 --- Interaction between Liquidity and Corporate Governance Variables during the Crisis --- p.65 / Chapter 6.5 --- The Effects of Ownership Structures on the Likelihood of Foreign Acquisitions during the pre-Crisis Period --- p.69 / Chapter 6.6 --- The Ownership Structure Characteristics of Domestic Firms Targeted by Other Domestic Firms during the Crisis --- p.70 / Chapter Chapter 7 --- Discussion --- p.72 / Chapter 7.1 --- Additional Tests --- p.72 / Chapter 7.2 --- A Diagnostic Test --- p.74 / Chapter 7.3 --- Explanations and Limitations --- p.75 / Chapter Chapter 8 --- Conclusion --- p.78

As crises financeiras são processos de perdas decorrentes do mecanismo do mercado financeiro. Elas afetam as instituições do sistema financeiro e por meio do processo de contágio se espalham por ele, algumas vezes analogamente ao efeito dominó. Este processo pode levar muitas instituições financeiras saudáveis a se tornarem insolventes. Isso acontece porque os agentes econômicos estão interligados por meio de relações contratuais e se tornam dependentes uns aos outros. O risco sistêmico pode ser entendido como o risco de uma grande perda em um sistema. O presente trabalho tem como objetivo utilizar as propriedades de um modelo de contágio, proposto para estudar os efeitos da propagação de crises financeiras, bem como a mensuração do risco sistêmico no sistema interbancário. Este problema foi investigado considerando três diferentes topologias de rede: Erdös-Rényi, Livre de Escala (ou Scale-Free) e Interbancária Empírica. A escolha destas topologias foi pelo fato de que duas delas - Livre de Escala e Interbancária Empírica - podem emular o sistema bancário real e a de Erdös-Rényi ter sido utilizada em diversos modelos da literatura. Cada nó representa um banco que possui balanço patrimonial constituído de passivos (patrimônio líquido, empréstimos e depósitos) e ativos (empréstimos, títulos e valores mobiliários). Foi analisada a influência da alavancagem do sistema, da probabilidade inicial de default e do número de clusters da rede Interbancária Empírica. O risco sistêmico foi medido utilizando o Indicador de Risco Sistêmico, o Índice de Risco Sistêmico e o VaR Sistêmico. Mostrou-se que as redes Livres de Escala são mais robustas em relação aos ataques aleatórios evitando o aumento da inadimplência. O aumento abrupto do impacto causados pela crise acontece devido ao aumento do grau de alavancagem do sistema. O número de clusters da rede Interbancária Empírica impacta a robustez do sistema. O modelo reproduz o resultado conhecido como Muito Interconectado para Falhar, que é quando bancos mais interconectados oferecem maior risco ao sistema. / The financial crises are processes of losses arising from financial market mechanism. They affect the institutions of the financial system by the process of contagion. Sometimes it is equal to the domino effect. This process can make many healthy financial institutions become insolvents. It happens because economic agents are interconnected through contractual relations and become dependent on each other. Systemic risk can be understood as the risk of a huge loss in a system. The present work aims to study the properties of a contagion model proposed to study the effects of the spread of financial crises, as well as the measurement of systemic risk in the interbank system. This problem was investigated considering three different network topologies: Erdös-Rényi, Scale-Free and Empirical Interbank. The choice of these topologies was made by the fact that two of them - Scale-Free and Empirical Interbank - may emulate the real banking system and Erdös-Rényi has been used in several models in the literature. Each node is a bank and consists on a balance sheet split as liabilities (equity, borrowings and deposits) and assets (lendings, bonds and securities). It was analyzed the influence of the coefficient of leverage, the influence of the initial probability of default and the influence of the number of clusters on the Empirical Interbank. The systemic risk was measured using the Systemic Risk Indicator, Systemic Index and Systemic Value at Risk. It was shown that Scale-Free networks are more robust against random attacks, avoiding increases in the number of defaults. The abrupt increase in the impact caused by the crisis happens due to the increase in coefficient of leverage. The number of clusters on Empirical Interbank network impacts the robustness of the system. The model reproduces the result known as Too Interconnected to Fail, that is, banks more interconnected offer higher risk to the system.

Typescript. Includes vita and abstract. Includes bibliographical references (leaves 41-43). Also available online.

Thesis (Ph. D.)--Michigan State University, 2000. / Includes bibliographical references (leaves 121-125).

Cette thèse, constituée de trois papiers de recherche, est organisée autour de la construction d’indicateurs de crises financières dont les signaux sont ensuite utilisés pour l’élaboration de stratégies de trading algorithmique. Le premier papier traite de l’établissement d’un cadre de travail permettant la construction des indicateurs de crises financière. Le pouvoir de prédiction de nos indicateurs est ensuite démontré en utilisant l’un d’eux pour construire une stratégie de type protective-put active qui est capable de faire mieux en termes de performances qu’une stratégie passive ou, la plupart du temps, que de multiples réalisations d’une stratégie aléatoire. Le second papier va plus loin dans l’application de nos indicateurs de crises à la création de stratégies de trading algorithmique en utilisant le signal combiné d’un grand nombre de nos indicateurs pour gouverner la composition d’un portefeuille constitué d’un mélange de cash et de titres d’un ETF répliquant un indice equity comme le SP500. Enfin, dans le troisième papier, nous construisons des indicateurs de crises financières en utilisant une approche complètement différente. En étudiant l’évolution dynamique de la distribution des spreads des composantes d’un indice CDS tel que l’ITRAXXX Europe 125, une bande de Bollinger est construite autour de la fonction de répartition de la distribution empirique des spreads, exprimée sur une base de deux distributions log-normales choisies à l’avance. Le passage par la fonction de répartition empirique de la frontière haute ou de la frontière basse de cette bande de Bollinger est interprétée en termes de risque et permet de produire un signal de trading. / This thesis is constituted of three research papers and is articulated around the construction of financial crisis indicators, which produce signals, which are then applied to devise successful systematic trading strategies. The first paper deals with the establishment of a framework for the construction of our financial crisis indicators. Their predictive power is then demonstrated by using one of them to build an active protective-put strategy, which is able to beat in terms of performance a passive strategy as well as, most of the time, multiple paths of a random strategy. The second paper goes further in the application of our financial crisis indicators to the elaboration of systematic treading strategies by using the aggregated signal produce by many of our indicators to govern a portfolio constituted of a mix of cash and ETF shares, replicating an equity index like the SP500. Finally, in the third paper, we build financial crisis indicators by using a completely different approach. By studying the dynamics of the evolution of the distribution of the spreads of the components of a CDS index like the ITRAXX Europe 125, a Bollinger band is built around the empirical cumulative distribution function of the distribution of the spreads, fitted on a basis constituted of two lognormal distributions, which have been chosen beforehand. The crossing by the empirical cumulative distribution function of either the upper or lower boundary of this Bollinger band is then interpreted in terms of risk and enables us to construct a trading signal.

Submitted by Geandra Rodrigues (geandrar@gmail.com) on 2018-01-10T11:04:45Z No. of bitstreams: 1 vítorhugoterra.pdf: 7857490 bytes, checksum: 98a156878f7721d7c9b73d02a6df2412 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2018-01-23T11:38:04Z (GMT) No. of bitstreams: 1 vítorhugoterra.pdf: 7857490 bytes, checksum: 98a156878f7721d7c9b73d02a6df2412 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2018-01-23T11:38:19Z (GMT) No. of bitstreams: 1 vítorhugoterra.pdf: 7857490 bytes, checksum: 98a156878f7721d7c9b73d02a6df2412 (MD5) / Made available in DSpace on 2018-01-23T11:38:19Z (GMT). No. of bitstreams: 1 vítorhugoterra.pdf: 7857490 bytes, checksum: 98a156878f7721d7c9b73d02a6df2412 (MD5) Previous issue date: 2017-08-18 / Este estudo tem como objetivo verificar os fatores motivadores e as consequências da internacionalização das Instituições de Ensino Superior no contexto mundial e no Brasil, tendo em vista as relações entre países centrais e países de periferia e semiperiferia. Em segundo lugar, buscou-se analisar o processo de internacionalização na Universidade Federal de Juiz de Fora (UFJF), onde o setor de relações internacionais gerencia seu próprio programa de mobilidade internacional, o PII-GRAD, além de programas do governo brasileiro, como o Programa Estudante-Convênio de Graduação (PEC-G), o Ciência sem Fronteiras (CsF) e o Idioma sem Fronteiras (IsF). Para a análise destes programas, este estudo se valeu da perspectiva do materialismo histórico-dialético, conforme exposto por Marx e Engels e sistematizado por Karel Kosik, situando as universidades públicas brasileiras em um contexto mais amplo, das crises das universidades mundiais, e relacionando-as não apenas às necessidades do mercado, mas às práticas neoliberais, aos ditames do capital financeiro e à própria manutenção do imperialismo. Como resultado, valendo-se do exemplo da UFJF, expomos como um programa próprio de internacionalização pode ser usado para se contrapor ao processo de internacionalização conduzido por organizações internacionais, como o Banco Mundial, e por instituições dos países centrais. / This study aims to verify the motivating factors and consequences of the internationalization of Higher Education Institutions in the world context and in Brazil, considering the relations between central countries and countries of periphery and semiperiphery. Secondly, we sought to analyze the internationalization process at the Federal University of Juiz de Fora (UFJF), where the international relations department manages its own international mobility program, PII-GRAD, as well as Brazilian government programs, such as the Exchange Program for Undergraduate Students (PEC-G), the Science without Borders (CsF) and the Language without Borders (IsF). For the analysis of these programs, this study draw upon the perspective of the historical and dialectical materialism, as explained by Marx and Engels and systematized by Karel Kosik, placing Brazilian public universities in a broader context, in the crises of world universities framework, and relating them not only to the needs of the market, but to neoliberal practices, to the dictates of financial capital, and to the very maintenance of imperialism. As a result, using the example of the UFJF, we show how an own internationalization program can be used to counteract the process of internationalization conducted by international organizations, such as the World Bank, and institutions of the central countries.

The identification of financial stress, and an understanding of financial contagion on a global scale, is of critical importance to a South African economy that is becoming increasingly integrated into the global economy. The last decade has been characterised by periods of high economic growth, but also periods of significant financial instability culminating in global economic crises. This study examines the extent to which the South African financial system is exposed to distress abroad by identifying and measuring the co-movement of financial stress originating from within and outside South Africa. The study can be separated into two sections: the identification of financial stress and the measurement of financial contagion. Using monthly data for the period 2000 to 2012, three indices were constructed for the emerging markets, advanced economies and South Africa using varianceequal weighting. The indices were tested for contagion using the Johansen and Jesulius (1990) multivariate cointegration approach supplemented with basic OLS architecture and Impulse Response analysis. The results indicate the three constructed indices were highly accurate at identifying the intensity and timing of financial stress over the three regions respectively. It was found that the South African financial sector is highly susceptible to financial stress originating from advanced economies. The results obtained for financial stress emanating from emerging markets were not as conclusive and found to be insignificant. Overall, it is clear that the methods employed to identify financial stress are highly accurate and that South Africa is highly susceptible to financial stress originating from abroad. It is clear that advanced economies have a greater ability to affect financial stress in South Africa via contagion. It must be noted that this does not conclude that South Africa is not affected by emerging market crises, but that these crises tend to affect South Africa through advanced economy channels as defined within this thesis.