Magistro baigiamajame darbe atliktas finansinių krizių prognozavimo galimybių tyrimas. Pirmojoje darbo dalyje yra vertinama ir analizuojama finansinės krizės samprata, apibrėžiamas finansinės krizės gyvavimo ciklas ir nustatomi finansinės krizės pradžią identifikuojantys rodikliai. Antroje darbo dalyje yra vertinama finansinių krizių prognozavimo metodologija, kuri yra naudojama kitų autorių tyrimuose. Antroje dalyje taip pat vertinamas pasirinktų finansinių krizių pradžios momentą apibrėžiančių kintamųjų tinkamumas, pasirenkami nepriklausomieji kintamieji bei apibrėžiama tyrimo metodologija. Trečioji darbo dalis yra skirta pagrindiniam tyrimui, kurio metu tiesinės regresijos metodu yra tikrinama galimybė prognozuoti finansines krizės pradžią pasitelkus pasirinktus nepriklausomus kintamuosius. Atlikus tyrimą pateikiamos išvados ir rekomendacijos tolimesniems moksliniams tyrimams bei valdžios institucijoms, atsakingoms už finansų sistemų priežiūrą. / The main task of the Master‘s degree final work is to implement the research of financial crises’ prediction possibility. Financial crisis, financial crisis cycle and the initial stage of financial crisis are identified in the first part of the work. The second part of the work consists of the analysis of financial crises’ prediction methodologies, which were implemented by other scientists, evaluation of selected dependent variables for the identification of financial crises starting point, selection of independent variables for the prediction of financial crises and the methodology of the main research. The results of the main research and calculations of correlations and linear regressions are presented in the third part of the work. The research ends with conclusions and recommendations for government institutions and further studies of financial crises’ predictability.

Economic resilience has recently enjoyed increased popularity in academic discourse, especially after the 2008 Global Crisis played havoc across the globe, but is as of now still in its infancy: A commonly agreed upon definition is yet to be found, and papers devoted to this concept are still rather scarce. It is commonly known that the manufacturing industries in European economies have generally been in decline for decades, and that they have primarily been replaced by the services sector. It has however been argued in the past that due to relatively high sunk costs, there is increased incentive for investors to keep manufacturing enterprises afloat during difficult times as long as possible, making them less likely to go out of business compared to others, thereby minimizing the initial blow of an economic shock to the respective economy and subsequently foster recovery. These assumptions are being examined in this paper by analysing data from the EU-28 starting at the outbreak of the 2008 crisis until 2015, followed by an investigation of individual economies in greater detail. The results show that more industrialised economies tend to have fared better during the crisis years and also managed to recover sooner.

This thesis studies the relationships between systematic risk, financial indicators and the financial crisis from the perspective of international airlines. The thesis uses the CAPM beta of airline stock as the proxy for airline systematic risk and explores its relationships with six financial indicators and the financial crisis which broke out in the second half of 2008. The findings of 28 international airlines over the period of 1997 to 2002 and 2007 to 2012 indicate that (1) airline systematic risk is negatively related to profitability and positively related to size, and these relationships hold over time periods, (2) the negative relationship between airline systematic risk and operational efficiency exists while it changes the sign over recent time periods, (3) airline systematic risk positively responds to financial leverage while its significance is influenced by samples used, (4) the positive relationship between airline systematic risk and liquidity is only significant over the first period, (5) no findings suggest airline systematic risk is related to growth. Moreover, the relationship between airline systematic risk and the financial crisis is not straight-forward because of lacking clear-cut judgment of the financial crisis year for airlines. Moreover, this thesis also tries panel data methods and finds both the same and different results compared with the model without panel data methods.

The purpose of this thesis is to investigate the financial volatility dynamics through the GARCH modelling framework. We use univariate and multivariate GARCH-type models enriched with long memory, asymmetries and power transformations. We study the financial time series volatility and co-volatility taking into account the structural breaks detected and focusing on the effects of the corresponding financial crisis events. We conclude to provide a complete framework for the analysis of volatility with major policy implications and benefits for the current risk management practices. We first investigate the volume-volatility link for different investor categories and orders, around the Asian crisis applying a univariate dual long memory model. Our analysis suggests that the behaviour of volatility depends upon volume, but also that the nature of this dependence varies with time and the source of volume. We further apply the vector AR-DCC-FIAPARCH and the UEDCC-AGARCH models to several stock indices daily returns, taking into account the structural breaks of the time series linked to major economic events including crisis shocks We find significant cross effects, time-varying shock and volatility spillovers, time-varying persistence in the conditional variances, as well as long range volatility dependence, asymmetric volatility response to positive and negative shocks and the power of returns that best fits the volatility pattern. We observe higher dynamic correlations of the stock markets after a crisis event, which means increased contagion effects between the markets, a continuous herding investors’ behaviour, as the in-crisis correlations remain high, and a higher level of correlations during the recent financial crisis than during the Asian. Finally, we study the High-frEquency-bAsed VolatilitY (HEAVY) models that combine daily returns with realised volatility. We enrich the HEAVY equations through the HYAPARCH formulation to propose the HYDAP-HEAVY (HYperbolic Double Asymmetric Power) and provide a complete framework to analyse the volatility process.

<p>Problem: -The 2008 Financial crisis has caused global impact on business market and led to question leader's competence. Prior study has found that leadership contributes certain effects to organizations' performace under a crisis situation, however there is lit-tle study which has been made regarding to identifying crisis leadership and its compe-tence and management during crisis.</p><p>Purpose: - The purpose in this thesis is to bridge the gap between crisis management and leadership by finding answers of five research questions. Which are ; How this 2008 financial crisis has affected the international financial institutions, what leadership dimensions are performed by leaders during the financial crisis, which leadership style do leaders tend to rely on in international financial companies during the 2008 financial crisis, why do leaders tend to rely on the dimensions of transformational leadership or transactional leadership and what are the implications in this study that could lead to fu-ture research.</p><p>Method: - The study employs qualitative methods to fulfill better and deeper understanding about 'how' and 'why' on leadership dimension during the 2008 financial crisis. Data were collected by personal interviews to support and act as a foundation of the analysis to answer the research questions. The choice of interviewees is middle managers of large international companies in the financial sector in Sweden and South Korea.</p><p>Conclusions: - The finding of this study indicates that 2008 financial crisis has af-fected on large international financial corporations in Sweden and South Korea. More-over, three dimensions of transformational leadership are strongly performed by the middle managers during the 2008 financial crisis. The three strongly performed dimen-sions are (1) Inspirational Motivation, (2) Charisma/ Idealized Influence and (3) Indivi-dualized consideration.</p>

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The aim of this study is to examine incubators which were formed by Innovation Center Iceland right after the financial crisis hit in 2008. The question is whether a new concept can be defined, or a new phenomenon, called “crisis incubation”. This is a concept that has not been studied before. This research is carried out by comparing the incubators formed in Iceland with incubators in six other European countries before the crisis hit, and see if there are any differences between the entrepreneurial processes. According to the study, the main differences between traditional incubators and crisis incubators are the following: Access to crisis incubators is much easier, incubatees within crisis incubators are much less likely to experience problems after they have entered the incubators, and they are much more likely to solve problems they experience. The only problem that incubatees in a crisis incubator are more likely to experience is obtaining finance. The study also finds some similarities between traditional incubators and crisis incubators. Overall, the main results strongly indicate that the differences between the two concepts are so great, that a new phenomenon can be defined, although further research is needed.

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

Crises in emerging markets during the 1990’s pose a challenge to understand why economies with apparently strong fundamentals did face severe devaluations and severe disruption in their functioning. We study three different aspects of crises: i) Contagion is defined as the possibility of a domestic financial or currency crisis to spread to other countries. We study the 1990’s crises and introduce a new measure for defining financial crises and isolating their impact on currency crises and vice versa; ii) During the 1990’emerging countries in crises suffered severe adjustments in the level of consumption. We build on Lucas’s measure of welfare loss and derive a more comprehensive measure that includes: total loss; loss related to changes in consumption growth rate; to volatility of consumption; and, to changes in the level of consumption; iii) Trying to explain the behaviour of consumption after crises in emerging markets during the 1990’s we found contradicting theoretical approaches and empirical results. We solve the model of intertemporal maximisation of consumption assuming that agents maximise over several periods at a time. We extend the intertemporal framework to include the decision of participating not only in the loanable funds market but in other financial assets and derive the solution for a stock market. The results imply an alternative to the specification of the Euler equation for consumption with more explanatory variables previously omitted.

Innovation and technological improvements are essential components in generating growth. While this topic is well studied, limited research exists on the effectiveness of innovation and how it drives firm value. The 2008 Financial Crisis serves as a major historical event that significantly changed the economic environment in the US. Centering my analysis around this event, my study empirically examines the efficiency of innovation investments and industry-level stock returns. By taking patents issued as a percentage of R&D outlays, I measure Efficient Innovation—how effective a firm’s R&D is in generating significant innovative change.