There is a large body of research that indicates that international equity markets co-move over time. This co-movement manifests in various instruments, ranging from equities and bonds to soft commodities. However, this co-movement is more prevalent over crisis periods and can be seen in returns and volatility transmission effects. The recent financial crisis demonstrated that no local market is immune to transmission effects from international markets. South African financial market participants, such as investors and policymakers, have a vested interest in understanding how the equity market in particular and the economy in general react to international financial crises. This study aims to contribute an improved understanding of how the South African equity market interacts with international equity markets, by identifying the degree of price and volatility transmission before, during, and after an international financial crisis. This was done by investigating the possibility of changes in price and volatility transmissions from the Asian financial crisis (1997–1998), the dotcom bubble (2000–2001) and the more recent subprime financial crisis (2007–2009). An Exponential Generalized Autoregressive Conditional Heteroskedasticity (E-GARCH) model was employed within the framework of an Aggregate Shock model. The results indicate that during the international financial crises studied, the JSE All Share Index was directly affected through contagion effects inherent in the returns of the originating crisis country. Volatility transmissions during international financial crises came directly from the originating crisis country. Finally, the FTSE 100 Index was the main exporter of price and volatility transmission to the JSE All Share Index. / Thesis (M.Com. (Risk management))--North-West University, Potchefstroom Campus, 2012

In the era of constant advancing of the globalization and quick development of the financial markets, the financial markets supervision is still the current topic. Lately, these tendencies have been significantly strengthened under the influence of ongoing world financial crisis. In the light of the crisis, which started as a "credit crisis", the topic of the financial markets supervision has become discussed in countries worldwide and also at the international level, because finding of an effective arrangement and supervision execution could substantially help to overcome the crisis. The main goal of this paper is the analysis and comparison of the legislation on the activities of the Czech and Slovak National Bank in the field of the execution of financial market supervision. The development of Czech and Slovak legislation is interesting as they both emerged from the same legal foundation, went through the phase of individual development and then they became closer again influenced by the European Union. The first two chapters of this thesis focus on the definition of basic terms used further in the thesis and then characteristics of the basic models of the supervision institutional organization. The second chapter deals with the subjects of the financial markets supervision and contains list of...

Models of EU financial market supervision Author: JUDr. Evžen Šťastný, LL.M. This paper seeks the optimal way of supervision of a single EU financial market. The reason for my research is that, based on the development of financial markets in recent years, the interconnection of markets, modern investment instruments and the strengthening of multinational financial groups allow for quick and easy transfer of capital and risk between countries and financial sectors. This forces us to reconsider the appropriateness of the currently used supervisory model. The paper analyzes models of home state supervisor in connection with supervision on a consolidated basis and supervision of financial conglomerates, the model of a lead supervisor and a single supervisor model with the unified structure and dual structure with the Union and national supervisory authorities. As the evaluation criteria were chosen costs for financial institutions, supervisory effectiveness, consumer confidence and political acceptability. The analysis concludes that the most appropriate model of supervision of a single financial market of the European Union is the model of a single supervisory authority with the unified structure. The work is divided into eight chapters to present reasons why the issue should be examined, analyzed...

Esta dissertação analisa a ocorrência do prêmio de valor, ou value premium para ações brasileiras no período de 2000 a 2009. Utilizando a metodologia de Fama e French (1992, 2007), foram coletados dados do múltiplo P/VPA (Preço / Valor Patrimonial da Ação) trimestrais de empresas que compõem os índices Ibovespa e IBrX, e a partir de testes entre decis e quartis desses valores, foram identificadas as relações entre risco e retorno, e elaboradas 20 carteiras com o uso de 22 ações. Foi utilizada a técnica de bootstrapping para testar a hipótese de existência de value premium nas carteiras. Os resultados obtidos corroboram as evidências de estudos recentes que apontam as carteiras formadas por ações de baixo índice P/VPA como as de melhor desempenho. As principais contribuições deste estudo são a identificação do value premium no período recente no mercado de capitais brasileiro e a adoção de testes mais robustos para evidenciar este resultado. / This dissertation analyses the value premium for Brazilian stocks from 2000 through 2009. adopting the Fama and French (1992, 2007) methodology and data from Bloomberg. We constructed 20 portfolios, composed of 22 shares based on the calculated P/B (Price/Book) indexes. For every portfolio we calculated risk and return, both in U.S. Dollars and Brazilian Reais. The adopted methodology includes Bootstrapping technique to test the value premium hypothesis. The results support evidence from previous studies which show the strategy of building stock portfolios with low P/B index as the best approach to increase performance. The main contributions of this paper are statistically relevant findings about value premium in the Brazilian stocks market and adoption of robust tests to support the evidences.

The development of time series techniques associated with non stationary data, such as the testing for unit roots and cointegration has presented the applied worker with new challenges in the applied analysis of economic problems.This thesis uses some of these methods to consider a number of questions in the area of labour and financial markets.In particular the thesis considers the application of these methods to two general questions, the specification of the aggregate wage equation in Australia and the efficiency of the Australian stock market. More specifically the thesis focuses on the time series properties of variables commonly used in specifications of the wage equation and then tests them for cointegration. In the financial economics area the thesis tests for the gains to portfolio diversification from the perspective of an Australian investor and the applicability of the present value model of stock prices to the Australian stock market.

The purpose of this thesis is to investigate the relationship between the annualised volatility and correlation of G7 ten-year bond returns for the period July 1992 to June 1998 and the effects that such a relationship has on portfolio diversification. The stock market crash of 1987 and the growing importance of global equity markets has encouraged a plethora of research into the volatility and correlations between international equity markets. Despite this, very little attention has been paid to the transmission of currency-based bond returns across national boundaries. The findings in this thesis are important because evidence is provided that suggests the benefits of international bond diversification are limited. The evidence provided clearly indicates that because correlations amongst G7 currency-hedged bond returns are high, the relationship between bond volatility and correlation of returns has limited benefits for portfolio managers and traders. As a result, diversification may not significantly reduce portfolio risk. Even during periods of ongoing annualised volatility decreases, the correlation between most markets remains high. Unlike the volatility trends presented in this thesis, there appears to be no trend or consistency amongst the correlation of returns between G7 markets. / Master of Commerce (Hons)

<p>In this thesis we present a model of the interacting agents on the financial market. The agents are represented by a non-Euclidean random graph, where each agent communicate with another with probability p, and the interaction according to the Ising Model. We investigate properties of the model by direct calculations for small graph sizes, and by perfect simulation for larger graph sizes. We also present a model for asset price variation by using the magnetization of the Ising model.</p>

With the progress of the times, the international financial market link is becoming more and more closely, while the probability of extreme events more and more high, if there are some indicators can be used as a prediction of the crash, as whether to sell the stocks, it can be very useful. The study process for the use of the Fama-French five-factor model, as well as the VaR model, with the cluster analysis method, and clustering for Taiwan 50 constituent stocks in accordance with the five-factor characteristics of the individual stocks, the similar nature of stock into the same group, the establishment of portfolio, the use of portfolio daily returns to calculate the the VaR, and observe the VaR spread before the crash, how the trend, and whether certain characteristics. Comparison of the cluster group for the predictive ability of the collapse events, as well as the relationship between risk factors and predictive ability. The results of VaR spread movements are often subject to fluctuations significantly change the situation before the crash occurs. By intense will be stable or from stable will be severe. Good predictive ability of the cluster, often its constituent stocks and the collapse of the reasons more closely the relationship. Financial stocks sensitive to the financial tsunami; Electronic stocks are subject to exchange rate affect.Overall, the group with the best predictive ability is more sensitive to momentum effects and investor sentiment indicators ,but non-sensitive to book-to-market factor.To use the Var spread as a predictor of reference,choosing to meet the aforementioned conditions of stocks to the portfolio is a nice way.

In this dissertation, three related issues of building empirical time series models for financial markets are investigated with respect to contemporaneous causality, dynamics, and structural change. In the first essay, nation-wide industry information transmission among stock returns of ten sectors in the U.S. economy is examined through the Directed Acyclical Graph (DAG) for contemporaneous causality and Bernanke decomposition for dynamics. The evidence shows that the information technology sector is the most root cause sector. Test results show that DAG from ex ante forecast innovations is consistent with the DAG fro m ex post fit innovations. This supports innovation accounting based on DAGs using ex post innovations. In the second essay, the contemporaneous/dynamic behaviors of real estate and stock returns are investigated. Selected macroeconomic variables are included in the model to explain recent movements of both returns. During 1971-2004, there was a single structural break in October 1980. A distinct difference in contemporaneous causal structure before and after the break is found. DAG results show that REITs take the role of a causal parent after the break. Innovation accounting shows significantly positive responses of real estate returns due to an initial shock in default risk but insignificant responses of stock returns. Also, a shock in short run interest rates affects real estate returns negatively with significance but does not affect stock returns. In the third essay, a structural change in the volatility of five Asian and U.S. stock markets is examined during the post-liberalization period (1990-2005) in the Asian financial markets, using the Sup LM test. Four Asian financial markets (Hong Kong, Japan, Korea, and Singapore) experienced structural changes. However, test results do not support the existence of structural change in volatility for Thailand and U.S. Also, results show that the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) persistent coefficient increases, but the Autoregressive Conditional heteroskedasticity (ARCH) impact coefficient, implying short run adjustment, decreases in Asian markets. In conclusion, when the econometric model is set up, it is necessary to consider contemporaneous causality and possible structural breaks (changes). The dissertation emphasizes causal inference and structural consistency in econometric modeling. It highlights their importance in discovering contemporaneous/dynamic causal relationships among variables. These characteristics will likely be helpful in generating accurate forecasts.

This text will discuss the financial reform and the monetary policy in China opens progress since 1979, from it understanding the China government has already opened which financial markets, and discussing the present condition and problems of these financial markets, and analyzing whether these financial markets reach the purpose by the monetary policy that the China government have like to maintain economic growth and price stabilize or not. This text will aim at the commercial bank, stock market, foreign exchange market of China three sections to conduct a research. Commercial bank's lifting the ban gradually has to cause the China authorities face the NPL¡¦s problem of bank, and their bank have to compete with foreign capital bank with functional deficiency. And the open of stock market cause the China residents get bogged down in an investment upsurge, but the not perfect system and corrupt make the China economy appear a bust condition. The reform of exchange rate causes the pressure of China export, and has influence to the domestic monetary policy. At the moment China still is placed in a high economic growth, low inflation stage, but also appears excessive of exports surplus and the monetary credit throws. How to avoid possible inflation and make the economic growth not too boom is the focus that China authorities and the scholars pays attention to.