This dissertation studies the impact of several different housing market features on the macroeconomy. Chapter 1 augments the New-Keynesian model with collateral constraints to incorporate long-term debt in order to examine the interaction between multi-period loans, leverage, and indeterminacy. Allowing firms to borrow heavily against commercial housing by increasing the loan-to-value ratio from 0.01 to 0.90 reduces the level of steady state output approximately 3.19% and decreases social welfare. In contrast, increasing the debt limit of households increases steady state output by 2.72%. Social welfare is maximized under a utilitiarian function when households can borrow at a loan-to-value ratio of about 0.49. An economy with long-term debt also makes stabilization much more difficult for monetary policymakers because determinacy is harder to attain. Instead of only having to satisfy the Taylor Principle (which implies that a more than one-to-one response to inflation), central bankers must either use a strict inflation target or aggressively respond to inflation and the output gap to ensure determinacy. Chapter 2 examine a New-Keynesian model with housing where default occurs if housing prices are sufficiently low, resulting in a loss of access to credit and housing markets. Default decreases aggregate and patient household consumption, increases impatient household consumption, and amplifies the decline in housing prices due to a misallocation of housing. The effects on consumption often peak immediately before default occurs. Policies that prevent underwater borrowing or raise interest rates along with housing prices are generally desirable because they increase utilitarian social welfare. This paper shows that default is not simply a symptom of economic downturns, but a cause. Chapter 3 explores the correlation between the home mortgage interest deduction (HMID) and state economic growth. The HMID was introduced to incentivize home purchases by distorting the after-tax price, resulting in an overinvestment in real estate. Previous empirical work has shown that investment in physical capital increases economic growth more so than investment in structures. Theoretically, the anticipated effect of the HMID would be lower subsequent economic growth. However, this paper finds that residential housing is actually beneficial for economic growth.

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

Online stock forums have become a vital investing platform on which to publish relevant and valuable user-generated content (UGC) data such as investment recommendations and other stock-related information that allow investors to view the opinions of a large number of users and share-trading ideas. This thesis applies methods from computational linguistics and text-mining techniques to analyse and extract, on a daily basis, sentiments from stock-related micro-blogging messages called “StockTwits”. The primary aim of this research is to provide an understanding of the predictive ability of stock micro-blogging sentiments to forecast future stock price behavioural movements by investigating the various roles played by investor sentiments in determining asset pricing on the stock market. The empirical analysis in this thesis consists of four main parts based on the predictive power and the role of investor sentiment in the stock market. The first part discusses the findings of the text-mining procedure for extracting and predicting sentiments from stock-related micro-blogging data. The purpose is to provide a comparative textual analysis of different machine learning algorithms for the purpose of selecting the most accurate text-mining techniques for predicting sentiment analysis on StockTwits through the provision of two different applications of feature selection, namely filter and wrapper approaches. The second part of the analysis focuses on investigating the predictive correlations between StockTwits features and the stock market indicators. It aims to examine the explanatory power of StockTwits variables in explaining the dynamic nature of different financial market indicators. The third part of the analysis investigates the role played by noise traders in determining asset prices. The aim is to show that stock returns, volatility and trading volumes are affected by investor sentiment; it also seeks to investigate whether changes in sentiment (bullish or bearish) will have different effects on stock market prices. The fourth part offers an in-depth analysis of some tweet-market relationships which represent an open problem in the empirical literature (e.g. sentiment-return relations and volume-disagreement relations). The results suggest that StockTwits sentiments exhibit explanatory power in explaining the dynamics of stock prices in the U.S. market. Taking different approaches by combining text-mining techniques with feature selection methods has proved successful in predicting StockTwits sentiments. The applications of the approach presented in this thesis offer real-time investment ideas that may provide investors and their peers with a decision support mechanism. Investor sentiment plays a critical role in determining asset prices in capital markets. Overall, the findings suggest that investor sentiment among noise traders is a priced factor. The findings confirm the existence of asymmetric spillover effects of bullish and bearish sentiments on the stock market. They also suggest that sentiment is a significant factor in explaining stock price behaviour in the capital market and imply the positive role of the stock market in the formation of investor sentiment in stock markets. Furthermore, the research findings demonstrate that disagreement is not only an important factor in determining trading volumes but it is also considered a very significant factor in influencing asset prices and returns in capital markets. Overall, the findings of the thesis provide empirical evidence that failure to consider the role of investor sentiment in traditional finance theory could lead to an imperfect picture when explaining the behaviour of stock prices in stock markets.

abstract: The city of Shanghai is set to become an international financial center (IFC) by 2020. To achieve this goal, it is imperative to clearly define the key characteristics of an IFC. In this study I draw from recent research on the ranking of IFCs to develop an index of these key characteristics that can be used to assess a city’s standings as an IFC. Based on a review of prior research, I first put together a comprehensive list of the indicators that have been used to evaluate IFCs, which includes six first-level indicators and 34 second-level indicators. I then collect information on all these indicators from public sources for the following eight cities each year from 2011 to 2013: London, New York, Paris, Hong Kong, Tokyo, Singapore, Beijing and Shanghai. Next, I conduct a principal component analysis (PCA) on my data, and obtain four primary factors that contain most information of the original 34 indicators. The first factor covers 18 of the original indicators and reflects a city’s level of development in general business environment. The second factor covers 10 of the original indicators and reflects a city’s level of development in financial markets. The third factor covers three of the original indicators and reflects a city’s level of economic vitality. The fourth factor covers three of the original indicators and reflects a city’s level of the costs of living. I further calculate the composite scores for the above eight cities along these four factors, and find that these eight cities can be classified into three tiers on the basis of their scores. The first tier consists of New York and London; the second tier consists of Singapore, Hong Kong, Paris and Tokyo; and the third tier consists of Shanghai and Beijing. I also find that Shanghai has been making progress in its scores along these four factors over the last three years, especially regarding financial market development, economic vitality, and cost of living. What Shanghai needs to focus on next is to improve its business environment so that it can move up to the second tier in IFC status. / Dissertation/Thesis / Doctoral Dissertation Business Administration 2015

Submitted by Jean Akio Shida Hashioka (jeanhashioka@hotmail.com) on 2018-07-15T18:07:38Z No. of bitstreams: 1 JEAN AKIO SHIDA HASHIOKA - DISSERTAÇÃO.pdf: 1481230 bytes, checksum: 0f68b8e12c0a1f82eeaf421be75f5c17 (MD5) / Approved for entry into archive by Elza Mitiko Sato null (elzasato@ibilce.unesp.br) on 2018-07-17T13:30:41Z (GMT) No. of bitstreams: 1 hashioka_jas_me_sjrp.pdf: 1481230 bytes, checksum: 0f68b8e12c0a1f82eeaf421be75f5c17 (MD5) / Made available in DSpace on 2018-07-17T13:30:41Z (GMT). No. of bitstreams: 1 hashioka_jas_me_sjrp.pdf: 1481230 bytes, checksum: 0f68b8e12c0a1f82eeaf421be75f5c17 (MD5) Previous issue date: 2018-06-15 / Este trabalho consiste em apresentar a abordagem das cadeias de Markov como ferramenta auxiliadora na prática docente da matemática no Ensino Médio, tornando o processo mais tangível à realidade dos alunos. A contextualização dos conteúdos de matrizes, sistemas lineares e probabilidade poderá ser feita com exemplos práticos do cotidiano, considerando o meio social em que vivem os estudantes, resgatando assim o desejo pela aprendizagem e pelas aplicações da matemática. Espera-se desta forma maior receptividade da disciplina por parte dos discentes e, potencialmente, melhor resposta ao aprendizado pretendido. Assim sendo, o estudo aborda, num primeiro momento, a convergência de distribuição de probabilidade de uma cadeia de Markov de dois estados por meio de limites no in nito de uma função de probabilidade. Desta primeira cadeia de Markov de dois estados, é elaborado um roteiro de aula a ser abordado como exemplo a ser trabalhado em sala de aula relacionado às probabilidades de um time de futebol vencer as suas próximas partidas. Prosseguindo, observa-se a aplicabilidade das cadeias de Markov para calcular a distribuição de probabilidades de um jogador estar perdido em diferentes salas de um labirinto para cada tentativa de encontrar a saída. A m de evidenciar outro exemplo de aplicação das cadeias de Markov, há a construção de um modelo de preci cação de ativos com o objetivo de prever os preços de algumas ações de empresas negociadas na BM&FBOVESPA, a bolsa de valores do Brasil. Tal modelo de preci cação de ativos mostrou-se adequado estatisticamente como ferramenta de análise e cálculo dos retornos médios esperados de alguns dos ativos estudados. Por meio do conteúdo apresentado neste estudo, espera-se contribuir com o aprofundamento de alguns recursos e conceitos para a prática docente com aulas sobre cadeias de Markov no Ensino Médio. Esses aspectos direcionam esta pesquisa para um relevante processo de desenvolvimento do raciocínio, senso crítico e tomada de decisões em situações progressivamente mais complexas vividas pelos alunos. / This work presents the Markov chain approach as a useful tool in the teaching practice of mathematics in High School, making the process more tangible to the students' reality. The contextualization of matrix contents, linear systems and probability can be done with practical examples of daily life, considering the social environment in which students live, thus recovering the desire for learning and the applications of mathematics. It is expected in this way more receptivity of the discipline on the part of the students and, potentially, better response to the intended learning. Thus, the study addresses, rst, the convergence of probability distribution of a two-state Markov chain by means of in nite limits of a probability function. From this rst Markov chain of two states, a lesson script is elaborated to be approached as example to be worked in classroom related to the probabilities of a soccer team to win its next matches. Proceeding, we observe the applicability of Markov chains to calculate the probability distribution of a player being lost in di erent rooms of a maze for each attempt to nd the exit. In order to highlight another example of the application of the Markov chains, an asset pricing model is designed to predict the prices of some shares of companies traded on BM&FBOVESPA, the Brazilian stock exchange. Such an asset pricing model proved to be statistically adequate as a tool for analysis and calculation of the expected average returns of some of the assets studied. Through the content presented in this study, it is hoped to contribute with the deepening of some resources and concepts for the teaching practice with classes on Markov chains in High School. These aspects direct this research to a relevant process of development of reasoning, critical sense and decision making in progressively more complex situations experienced by students.

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.

This diploma thesis is focused on the financial market supervision, especially on terms and conditions of entry into the financial market and the role of the Czech National Bank in this area. The thesis mentions some arguments for the need of financial market regulation and supervision and explains the importance of the quality licence system. There is also an analysis on institutional organization of financial market regulation and supervision and contemporary trends. The thesis compares and contrasts legislation on licences for different types of the financial institutions. Together with development of the financial market and the economic situation in the Czech Republic during the past 20 years (1989 -- 2009) the thesis also points out substantial changes and improvements in primary and secondary legislation in the area of licensing.

My thesis is directed to the definition, description and comparison of models of the financial market's regulation and supervision. The attention is addressed in particular to institutional aspects of individual systems, advantages and risks which are connected with them, and also to reasons which trigger changes in single countries. The internacional standards are basis for their legal anchorage in which parameters of the independence and accountibility play an immense role. The quality setting of the institutional structure is one, however not sufficient, presumption for the effective supervision's performance. It should not be an objective but only a stepping stone to achieve a better effeciency. The decision which model will be applied for the regulation and supervision is left upon national jurisdictions as it is actually them to take into account all the benefits and expenses including the economic size, structure and level of the market development, legal environment and the central bank's role. Within the last 20 years a fully integrated supervision was generally accepted in the frame of single institution for all financial market's sectors, mostly outside the central bank. Nevertheless, the contemporary regulation is scrutinized in the light of global financial crisis originated in the year 2008. On the base of actual findings it can be expressed that the current mechanism of regulation is not efficient and does not correspond with the degree of global interconnection among financial markets and the offer of inovative financial products. Although the European Union prepared amendments which came into effect from January 1st 2011, by which new bodies were established, the time for a detailed analysis of the potentional contributions has not come yet. However, I suppose the framework for regulation will again be reevaluated in the future. In my opinion no solution brings a complete eliminaton of risks concerning vulnerabilities and systematic shocks on the financial markets. The main analytic part of my thesis is focused on the current supervisory system in the Czech republic and Slovakia, which is based on fully integrated architecture within the central bank. Having used the methods of enquiry and intentional selection I verified the validity of two hypotheses: 1. National supervisory institutions grow in favour of market participants unlike the new set european bodies. 2. The current institutional form of the financial market supervision has a support of market participants in the Czech republic and Slovakia. The results imply that the first hypothesis is valid for the Czech republic only where generally exists a bigger discretion in relation to the new european regulation and supervision bodies. In the case of the second hypothesis it can be said that it was confirmed in terms of the institutional form of the financial market supervision has a major support of financial institutions and experts in both the Czech republic and Slovakia.

The following master´s thesis analyzes the process of searching investment opportunity in the international investment background. The first part describes investment environment including various types of financial assets, investment process and structure of financial markets. The second practical part analyzes a particular investment opportunity in form of a selected company stocks.

A major financial sector reform program has been implemented in Ghana since the early 1980s, involving financial liberalization and institutional reforms. Financial reforms became necessary, because the pre-reform policies together with acute and prolonged economic crisis had severely damaged the financial system. In the early 1990s, the government launched financial market liberalization policies under the financial sector adjustment program to restructure the distressed banks and clean up nonperforming assets in order to restore banks to profitability and viability. The study investigated the market structure of Ghana's banking industry and determined whether the market structure has been changed after the financial restructuring. This study specifically measures the degree of competition of the banking system in Ghana by using the H-statistic. Various studies on the degree of competition were reviewed. This study employs a widely used nonstructural methodology put forward by Panzar and Rosse (1987)--the H-statistic-- and draws upon comprehensive average annual data from the various issues of the Bank of Ghana annual reports from 1988 to 2008. Maximum likelihood techniques were used to estimate the model. Based on the reported H-statistic for pre and postliberalization (2.35657 and 3.27530 respectively), it can be concluded that Ghana's banks are operating under perfect competition. However, the test for a change in competition status at the time of liberalization was not significant, indicating no evidence of a change in competition as a result of liberalization. The result of the market equilibrium reveals that the market equilibrium equals zero, revealing the existence of long-run equilibrium making the Panzar and Rosse model meaningful to interpret. The findings are consistent with the results obtained by Yuan (2006) who found Chinese banking market to be near perfect competition. This study has extended and strengthened some earlier results on bank competition in Ghana. However, the results of this study are different from the study undertaken by Buchs and Mathisen (2005), who found Ghanaian banking markets to operate under monopolistic conditions without considering the effect of liberalization. Three innovations of the current study are the use of comprehensive data source, the consideration of longer period of time covering two decades (1988-2008) and the incorporation of liberalization factors. Overall, the Panzar and Rosse model is regarded as a valuable tool for assessing the banking market conditions in Ghana. Since a bank's revenue is more likely to be observable than output prices and quantities or actual costs.