With the rapid development of option markets throughout the world, option pricing has become an important field in financial engineering. Among a variety of option pricing models, volatility of underlying asset is associated with risk and uncertainty, and hence is treated as one of the key factors affecting the price of an option. In particular, in the framework of the Black-Scholes option pricing model, volatility of the underlying stock is the only unobservable variable, and has attracted a large amount of attention of both academics and practitioners. This thesis is concerned with the implied volatility in the Australian index option market. Two interesting problems are examined. First, the relation between implied volatility and subsequently realized volatility is investigated by using the S&P/ASX 200 (XJO) index options over a five-year period from April 2001 to March 2006. Unlike the S&P 100 index options in the US market, the XJO index options are traded infrequently, in low volumes, and with a long maturity cycle. This implies that the errors-in-variable problem for the measurement of implied volatility is more likely to exist. After accounting for this problem by the instrumental variable method, it is found that both call and put options implied volatilities are nearly unbiased and superior to historical volatility in forecasting future realized volatility. Second, the volatility structure implied by the XJO index options is examined during the period from April 2001 to June 2005. The volatility structure with respect to moneyness and time to maturity are investigated for both call and put option price series. It is found that the volatility smile largely exists, with call (put) option implied volatilities decreasing monotonically as the call (put) goes deeper out of the money (in the money). This result is consistent with the welldocumented evidence of volatility smile on other index options since the stock market crash of 1987. In summary, this thesis presents some important findings on the volatility inferred from the XJO index options traded on the ASX.

It has been suggested that the Internet is the most significant driver of international trade in recent years to the extent that the term =internetalisation‘ has been coined (Bell, Deans, Ibbotson & Sinkovics, 2001; Buttriss & Wilkinson, 2003). This term is used to describe the Internet‘s affect on the internationalisation process of the firm. Consequently, researchers have argued that the internationalisation process of the firm has altered due to the Internet, hence is in need of further investigation. However, as there is limited research and understanding, ambiguity remains in how the Internet has influenced international market growth. Thus, the purpose of this study was to explore how the Internet influences firms‘ internationalisation process, specifically, international market growth. To this end, Internet marketing and international market growth theories are used to illuminate this ambiguity in the body of knowledge. Thus, the research problem =How and why does the Internet influence international market growth of the firm’ is justified for investigation. To explore the research question a two-stage approach is used. Firstly, twelve case studies were used to evaluate key concepts, generate hypotheses and to develop a model of Internetalisation for testing. The participants held key positions within their firm, so that rich data could be drawn from international market growth decision makers. Secondly, a quantitative confirmation process analysed the identified themes or constructs, using two hundred and twenty four valid responses. Constructs were evaluated through an exploratory factor analysis, confirmatory factor analysis and structural equation modelling process. Structural equation modelling was used to test the model of =internetalisation‘ to examine the interrelationships between the internationalisation process components: information availability, information usage, interaction communication, international mindset, business relationship usage, psychic distance, the Internet intensity of the firm and international market growth. This study found that the Internet intensity of the firm mediates information availability, information usage, international mindset, and business relationships when firms grow in international markets. Therefore, these results provide empirical evidence that the Internet has a positive influence on international information, knowledge, entrepreneurship and networks and these in turn influence international market growth. The theoretical contributions are three fold. Firstly, the study identifies a holistic model of the impact the Internet has had on the outward internationalisation of the firm. This contribution extends the body of knowledge pertaining to Internet international marketing by mapping and confirming interrelationships between the Internet, internationalisation and growth concepts. Secondly, the study highlights the broad scope and accelerated rate of international market growth of firms. Evidence that the Internet influences the traditional and virtual networks for the pursuit of international market growth extends the current understanding. Thirdly, this study confirms that international information, knowledge, entrepreneurship and network concepts are valid in a single model. Thus, these three contributions identify constructs, measure constructs in a multi-item capacity, map interrelationships and confirm single holistic model of ‗internetalisation‘. The main practical contribution is that the findings identified information, knowledge and entrepreneurial opportunities for firms wishing to maximise international market growth. To capitalise on these opportunities suggestions are offered to assist firms to develop greater Internet intensity and internationalisation capabilities. From a policy perspective, educational institutions and government bodies need to promote more applied programs for Internet international marketing. The study provides future researchers with a platform of identified constructs and interrelationships related to internetalisation, with which to investigate. However, a single study has limitations of generalisability; thus, future research should replicate this study. Such replication or cross validation will assist in the verification of scales used in this research and enhance the validity of causal predications. Furthermore, this study was undertaken in the Australian outward-bound context. Research in other nations, as well as research into inbound internationalisation would be fruitful.

Major problems are identified with the use of survey methodology to examine the relationship between market orientation (MO) and firm performance. The research, as it is argued, tells us more about managers' sense-making processes and causal attributions than whether and under what conditions MO drives performance, yet one way causal interpretations are still prevalent in the literature. The psychological mechanisms underlying managers' perceptions are identified and alternative causal paths specified for interpreting prior research results are proposed that also account for otherwise troublesome results. An exploratory experiment is designed to calibrate the extent of managers' attribution biases which is the most important part of the sensemaking framework. Different levels of performance, MO and environmental turbulence are manipulated in case scenarios. The results confirm a culture-centered view of MO and a strong psychological impact of performance on perceived environment turbulence. A multi-method view of studying the MO-performance link is proposed in the final part of the paper.

Most attempts by governments to reduce black market activity target the supplier rather than the consumer. The current thesis, however, sees reducing the willingness of the consumer to buy such goods as crucial in reducing the market. Over three studies, I examined variables that affected consumers buying from black markets and their perceptions of black markets. Study 1 (80 participants) confirmed the hypothesis that when the need to buy from a black market was for survival it would be considered more acceptable than to save money or to buy luxury goods. Study 1 further showed it was less acceptable to buy from the black market when the victim resulting from the purchase of the good was identified as an individual, rather than an organisation or society. Age and the gender of the consumer were also significant predictors of the rating of acceptability. In Study 2,65 participants completed a series of computer simulated scenarios to measure the price they would pay for different black market goods. Results indicate that the price participants were willing to pay for black market goods varied according to who the victim was (individual, organisation or society) and the participant's age and gender. Finally, in Study 3, 64 participants completed a similar task to Study 2, but some participants were informed about the true cost of black markets. Results confirmed the previous findings as well as indicating that the type of crime committed to procure the good and whether they saw information about the true cost of the markets also affected the price they would be willing to pay. The thesis concludes with suggestions for reducing black market activity.

Thesis (Ph. D.)--Oregon State University, 1968. / eContent provider-neutral record in process. Description based on print version record. Includes bibliographical references (leaves 323-333).

Thesis (Ph. D.)--University of Wisconsin--Madison, 1957. / Typescript. Vita. eContent provider-neutral record in process. Description based on print version record. Bibliography: leaves 172-175.

Inaug.-diss.--Jena. / Lebenslauf. Includes bibliographical references.

This paper explores the possibility of solving supply chain capacity allocation problems using internal markets among employees of the same company. Unlike earlier forms of transfer pricing, IT now makes it easier for such markets to involve many employees, finegrained transactions, and frequently varying prices. The paper develops a formal model of such markets, proves their optimality in a baseline condition, and then analyzes various potential market problems and solutions. Interestingly, these proposed solutions are not possible in a conventional market because they rely on the firm's ability to pay market participants based on factors other than just the profitability of their market transactions. For example, internal monopolies can be ameliorated by paying internal monopolists on the basis of corporate, not individual, profits. Incentives for collusion among peers can be reduced by paying participants based on their profits relative to peers. Profit-reducing competition among different sales channels can be reduced by imposing an internal sales tax. And problems caused by fixed costs can be avoided by combining conditional internal markets with a pivot mechanism.

Prepared in association with the Sloan School of Management and the Dept. of Economics

A key question in behavioural finance is why prices in financial markets change. The field of behavioural finance evolved in an attempt to understand better and explain how cognitive errors and emotions influence investors' decision-making processes. Behavioural finance is the study of the psychological effects of market events on investors that affect finance decisions. It is not a new field of study, but more emphasis has been placed on this field of finance in the past two decades. Behavioural finance explores the irrational nature of investors' decisions. The primary objective of the research was to provide an understanding of the psychological impact of people on prices in financial markets. The secondary objectives are <ul> <li> to provide a brief history of behavioural finance;</li> <li> to show that there are alternatives to the efficient markets theory; and</li> <li> to demonstrate the impact of popular models on prices.</li></ul> The report was compiled based on a literature study on the topic of behavioural finance. The purpose of the literature study was to provide sufficient information to meet the objectives of the study as set out above. The following sources were used: <ul> <li> published articles;</li> <li> textbooks; and</li> <li> the Internet.</li> </ul> The efficient market hypothesis and the CAPM are challenged by behavioural finance. Prices of speculative assets do not always reflect fundamental values. The perceptions of investors play an important role in the determination of prices. Hence, when there are market crashes on the equities markets, the contagion effect amongst investors should not be underestimated. It is shown in this report that portfolio insurance is an important contributing factor to the magnitude of any crash on equities markets. Dividends are an important determinant for the fundamental value of shares. This contrasts with the revenue model that is used to value new economy shares, such as Internet companies. It is also clear that investors expect to receive a dividend. In this report, various theories strongly suggest investors' preference for dividends. These include the self-control and prospect theories, regret-aversion and the clientele effect. Changes in dividends affect share prices. A decrease in the dividend of a company is a clear signal to investors that the share price is overvalued. Movements in share prices are therefore at least partially the result of changes in dividends. Investment strategies that can be followed by investors include the following: <ul> <li> It may help to acquire closed-end fund shares at the listing of a new fund. The research shows that initially closed-end funds trade at a premium of up to ten per cent, but within 180 days, the premium evaporates and the fund starts to trade at a discount.</li> <li> The optimal strategy for sophisticated investors is a strategy that involves market timing with increased exposures to shares that have fallen, and decreased exposure to shares after they have risen in price.</li> <li> Individual investors should follow a buy-and-hold strategy, as opposed to a trading strategy, as the cost of trading is excessive.</li> <li> Arbitrageurs (professional investors) can earn higher than normal returns on markets that are excessively volatile. However, they need to be cautious, as they can also lose significant amounts of money when markets are volatile.</li> </ul> Careful consideration should be given to what shares to trade, as the cost of trading is expensive, as much as six per cent. Furthermore, it is important to have stop-loss limits in place and to sell shares once they breach the lower limit that has been set. The notion that losing shares in a portfolio will somehow turn into winning shares is, in most cases, incorrect. Copyright 2003, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. Please cite as follows: Du Plessis, JJ 2003, Advances in behavioural finance, MBA dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-04202012-125738 / > F12/4/321/gm / Dissertation (MBA)--University of Pretoria, 2012. / Graduate School of Management / unrestricted