The thesis deals with the economic crisis and financial crisis of 2007 -- 2010. There is described the development of the economic situation during the economic crisis and the impact on individual sectors. The main attention is paid to the IT industry and specifically the market with business information systems. As a specific example demonstrating the impact of current crisis is selected company SAP, which operates in the field of business information systems nearly 40 years and is a world leader in business information systems. Various situations were analyzed during several economic recessions and compared with the current economic situation. Aim is to analyze the current situation, the impact on specific sectors, especially in the IT industry and producers of business information systems. You can find here the analysis of effect on SAP and what is its response to the crisis. There are most common anti-crisis measures taken and their impact on business and also recommendation that companies should watch out in times of economic crisis.

The Thesis summarizes development and management of multinational corporation which must deal with the consequences of the financial crisis. It includes theoretical background within international management and strategic analyses which are applied in functional part to General Motors Corporation. The result of the strategic analyses is to map the current situation of the company, its prospective trend and recommendations.

Magister Commercii - MCom / Since the discovery of herding behaviour in financial markets in the 1990s, it has become an area of interest for many investors, practitioners and scholars. Herding behaviour occurs when investors and market participants trade in the same direction during the same time period, as a result of the influence of other investors. Studies on herding behaviour have been undertaken in both the developed and developing economies and majority of these studies have confirmed the existence of herding behaviour in the stock markets. Despite its tremendous growth, the South African financial markets are not immune to such market anomaly. Herding behaviour on the JSE was first investigated in 2002 focusing in the unit trust industry on the South African stock market. Motivated by this, this study assessed the presence of herding behaviour using the Johannesburg Securities Exchange tradable sector indices. Four indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period from January 2007 to December 2017. The industrials index ((FINI15) constitutes of 25 largest industrial stocks by market capitalization, the financials index (FINI15) comprises of 15 largest financial stocks by market capitalization, the resources index (RESI10) which represents 10 largest resources stocks by market capitalization and lastly the FTSE/JSE All Share Index defined as a market capitalization-weighted index which is made up of 150 JSE listed companies and is the largest index in terms of size and overall value JSE. The FTSE/JSE All Share Index was used as a benchmark for investors to check how volatile an investment is. The South African economy experienced the effects of the 2008 global financial crisis from 01 July 2007 to 31 August 2009. This study split the examination period into three categories namely before the global financial crises which was the period starting from 1 January 2007 to 30 June 2007, then the period during the global financial crisis which was from 1 July 2007 to 31 August 2009 and lastly the period after the global financial crises which was from 1 September 2009 to 31 December 2017. Apart from the diversity of the indices, the length of the examination period also had a significant influence towards the magnitude of herding behaviour on the JSE.

L’axe principal de la thèse est centré sur des approches non-linéaires modernes d’analyse des données économiques et financières, avec une attention particulière sur les cycles économiques et les crises financières. Un consensus dans la littérature statistique et financière s’est établie autour du fait que les variables économiques ont un comportement non-linéaire au cours des différentes phases du cycle économique. En tant que tel, les approches/modèles non-linéaires sont requis pour saisir les caractéristiques du mécanisme de génération des données intrinsèquement asymétriques, que les modèles linéaires sont incapables de reproduire.À cet égard, la thèse propose une nouvelle approche interdisciplinaire et ouverte à l’analyse des systèmes économiques et financiers. La thèse présente des approches robustes aux valeurs extrêmes et à la non-stationnarité, applicables à la fois pour des petits et de grands échantillons, aussi bien pour des séries temporelles économiques que financières. La thèse fournit des procédures dites étape par étape dans l’analyse des indicateurs économiques et financiers en intégrant des concepts basés sur la méthode de substitution de données, des ondelettes, espace incorporation de phase, la m´méthode retard vecteur variance (DVV) et des récurrences parcelles. La thèse met aussi en avant des méthodes transparentes d’identification, de datation des points de retournement et de l´évaluation des impacts des crises économiques et financières. En particulier, la thèse fournit également une procédure pour anticiper les crises futures et ses conséquences.L’étude montre que l’intégration de ces techniques dans l’apprentissage de la structure et des interactions au sein et entre les variables économiques et financières sera très utile dans l’élaboration de politiques de crises, car elle facilite le choix des méthodes de traitement appropriées, suggérées par les données.En outre, une nouvelle procédure pour tester la linéarité et la racine unitaire dans un cadre non-linéaire est proposé par l’introduction d’un nouveau modèle – le modèle MT-STAR – qui a des propriétés similaires au modèle ESTAR mais réduit les effets des problèmes d’identification et peut aussi représenter l’asymétrie dans le mécanisme d’ajustement vers l’équilibre. Les distributions asymptotiques du test de racine unitaire proposées sont non-standards et sont calculées. La puissance du test est évaluée par simulation et quelques illustrations empiriques sur les taux de change réel montrent son efficacité. Enfin, la thèse développe des modèles multi-variés Self-Exciting Threshold Autoregressive avec des variables exogènes (MSETARX) et présente une méthode d’estimation paramétrique. La modélisation des modèles MSETARX et des problèmes engendrés par son estimation sont brièvement examinés. / This thesis centers on introducing modern non-linear approaches for data analysis in economics and finance with special attention on business cycles and financial crisis. It is now well stated in the statistical and economic literature that major economic variables display non-linear behaviour over the different phases of the business cycle. As such, nonlinear approaches/models are required to capture the features of the data generating mechanism of inherently asymmetric realizations, since linear models are incapable of generating such behavior.In this respect, the thesis provides an interdisciplinary and open-minded approach to analyzing economic and financial systems in a novel way. The thesis presents approaches that are robust to extreme values, non-stationarity, applicable to both short and long data length, transparent and adaptive to any financial/economic time series. The thesis provides step-by-step procedures in analyzing economic/financial indicators by incorporating concepts based on surrogate data method, wavelets, phase space embedding, ’delay vector variance’ (DVV) method and recurrence plots. The thesis also centers on transparent ways of identifying, dating turning points, evaluating impact of economic and financial crisis. In particular, the thesis also provides a procedure on how to anticipate future crisis and the possible impact of such crisis. The thesis shows that the incorporation of these techniques in learning the structure and interactions within and between economic and financial variables will be very useful in policy-making, since it facilitates the selection of appropriate processing methods, suggested by the data itself.In addition, a novel procedure to test for linearity and unit root in a nonlinear framework is proposed by introducing a new model – the MT-STAR model – which has similar properties of the ESTAR model but reduces the effects of the identification problem and can also account for asymmetry in the adjustment mechanism towards equilibrium. The asymptotic distributions of the proposed unit root test is non-standard and is derived.The power of the test is evaluated through a simulation study and some empirical illustrations on real exchange rates show its accuracy. Finally, the thesis defines a multivariate Self–Exciting Threshold Autoregressive with eXogenous input (MSETARX) models and present an estimation procedure for the parameters. The modeling procedure for the MSETARX models and problems of estimation are briefly considered.

This paper provides an empirical analysis of the stock price behaviour of firms listed on the Johannesburg Securities Exchange (JSE) around corporate events relating to final cash dividend change announcements over the period 2004 to 2009. Declared for the financial year-end, final cash dividend announcements either represent an increase, a reduction or no change relative to the previous year’s announcement. In this paper we analyse the stock price behaviour of firms that announced dividend reductions before and during the Global Financial Crisis of 2007 (GFC 2007). The pre-crisis analysis focuses on dividend reduction effects on share price during normal economic times and crisis analysis focuses on effects during economic downturn. We refer to the pre and during crises effects as firm-specific and systemic effects respectively. Studies about the general effect of dividend announcements on shareholder value are well documented; however our study is motivated by the fact that there has not been an abundance of forthcoming research in South Africa pertaining to how share prices have reacted to dividend reductions before and during the GFC 2007. We employ an event study methodology in the context of this emerging market to assess the share price behaviour to dividend reductions. Integral to an event study methodology in the corporate context, is the analysis of abnormal performance around the event date. Abnormal performance is measured by employing three widely used quantitative approaches namely, the market-adjusted, market model and the buy-and-hold abnormal return approaches. Based on daily closing share price information collected from iNet Bridge database, abnormal performance is calculated from 2004 to 2009 while controlling for the contemporaneous effect of earnings announcements (earnings data collected from Bloomberg database) occurring within 10 trading days of dividend announcement. The analysis shows that the market reaction is not statistically significant on the announcement day and that more negative returns occur during the pre-crisis period. Volatility of abnormal returns is higher during the pre-crisis period. The research does not support the Irrelevance Theory but seems to support the signalling hypothesis.

As turbulências causadas internacionalmente por crises financeiras levam estudiosos a análises dos impactos destas, ganhando destaque os conceitos de efeito contágio e interdependência. Efeito contágio pode ser entendido como uma quebra na estrutura de transmissão de choques previamente existente entre os países. Caso os choques transmitidos não sejam intensos o suficiente para promover esta mudança na interrelação entre as economias, diz-se que o cenário de interdependência foi mantido. O objetivo deste trabalho é, a partir das metodologias sugeridas por Forbes e Rigobon (2002) e Corsetti, Pericoli e Sbracia (2005), verificar indícios de efeito contágio entre quinze economias em oito episódios de crises financeiras. Os dois trabalhos propõem alternativas de ajustes nos coeficientes de correlação entre os países, os quais são utilizados como Proxy para a interrelação entre as economias, no intuito de corrigir problemas de heterocedasticidade nos dados que levariam a vieses indesejados nos resultados. Conclui-se que o modelo de Corsetti, Pericoli e Sbracia (2005), como esperado, apresentou-se mais eficiente em encontrar indícios de efeito contágio, uma vez que abrange variações nas componentes dos retornos não consideradas pelo modelo de Forbes e Rigobon (2002). Os resultados, corroborados por testes de robustez, indicam a crise asiática de 1997 como a mais contagiosa, seguida pelo ataque terrorista de 11 de setembro de 2001, crise brasileira de 1999, bolha da internet de 2000 e crise do Subprime. Os outros episódios não apresentaram indícios de contágio o que indica choques restritos ao país de origem da crise. / The international turbulences caused by financial crisis lead researchers to analyze their impacts, emphasizing the concepts of contagion effect and interdependence. Contagion effect can be understood as a break on the shock transmission structure previously existent between countries. In case the transmitted shocks are not strong enough to promote this change in the economies relation, the interdependence has been kept. This study object is, using the Forbes and Rigobon (2002) and Corsetti, Pericoli and Sbracia (2005) suggested methodology, verify the contagion effect between fifteen economies and eight financial crisis episode. Both studies are alternatives of adjustments on the correlation coefficients between countries as a proxy to the interrelation, to correct the data from heteroskedasticy problems which lead to biased results. The study conclusion is that the Corsetti, Pericoli and Scracia (2005) model is more efficient to detect contagion, once it considers the variance of the returns components that are not considered at Forbes and Rigobon (2002) approach. The results are corroborated by robustness tests. The most contagion episode is the 1997 asian crisis, followed by the terrorist attack from 2001 September 11th, 1999 brazilian crisis, the 2000 internet bubble and the Subprime crisis. The others episodes do present any evidence of contagion effect. This fact indicate that the shocks were restrict to the crisis origin country.

Thesis advisor: Peter Ireland / With interest rates stuck near zero for the foreseeable future, the Federal Reserve has had to employ numerous unconventional monetary policy measures in an attempt to stimulate an economy in the after math of the worst economic downturn since the Great Depression. I assess the usefulness of market-based measures of expectations in gauging the effects of these seemingly extreme policy actions undertaken in an environment of unprecedented fear and uncertainty. I use a principal component analysis to combine a number of asset prices that indicate different types of market expectations; by combining these variables into one single variable indicator, this principal component variable filters out the variance among these similar variables and focuses on the common movements among the variables that can be attributed to a specific market force such as investors’ inflation expectations, overall market risk appetite, and economic growth expectations. / Thesis (BA) — Boston College, 2012. / Submitted to: Boston College. College of Arts and Sciences. / Discipline: College Honors Program. / Discipline: Economics.

O trabalho tem por meta resgatar alguns aspectos relacionados à gestão da estrutura macroeconômica do Brasil e de Portugal entre 1850 e 1865, com especial enfoque às políticas monetária e cambial, intimamente relacionadas com a gestão do sistema de paridade internacional de moedas conhecido como o Padrão-ouro, que constitui o objeto principal desta análise. Os objetivos gerais desta tese tencionam, portanto, fornecer substratos a uma reflexão mais sistemática no que concerne a uma presumida conexão entre a dinâmica cíclica dos fluxos de capitais em escala global e os períodos de crises econômicas e pânicos financeiros observados no período, em íntima ligação com o mecanismo de integração financeira que se corporifica no Padrão-ouro, ao qual Brasil e Portugal aderiram em 1846 e 1854, respectivamente. O trabalho pretende, assim, avaliar as consequências da referida integração financeira, bem como das políticas monetárias empreendidas sobre o desenvolvimento do mercado financeiro de ambos os países ao longo do recorte temporal supracitado. / This research intends to examine some aspects related to Brazilian and Portuguese macroeconomic structures between 1850 and 1865, focusing monetary and trading policies, closely related to the management of Gold Standard, the main object of this research. Therefore, the main objectives of this research intends to provide substrates for a reflection about a connection between the cyclic dynamics of capital on global scales, and economic crisis and panics on the same period, closely related with financial integration externalized in Gold Standard, adopted by Brazilian monetary authorities in 1846, and by Portuguese in 1854. This research intends to evaluate the consequences of this financial integration and the consequences of monetary policies over the financial market from both countries along the same period.

Depuis les quarante dernières années, toutes les régions du monde ont été traversées par des événements majeurs d’instabilité économique et financière. L’un des traits caractéristiques de ces manifestations est qu’elles ont non seulement eu un impact sur la santé économique financière et sociale de leur pays d’origine, mais aussi sur les économies étrangères. Cette thèse retrace l’évolution de la crise financière mondiale, démontre comment la plupart des pays de l’OCDE ont été affectés par la contagion, et met en lumière le rôle de la politique monétaire dans la propagation de la crise. Elle se compose en six essais. Le premier chapitre s’attache à étudier les corrélations dynamiques entre différents actifs et certaines variables économiques et financières durant la bulle internet de 2000 et la crise financière mondiale. Dans le deuxième essai, nous nous intéressons aux changements de transmission internationale des chocs de politique monétaire américaine. Le troisième essai adopte une approche plus économique. Nous y étudions la synchronisation des cycles, la composante stochastique de la volatilité de l’inflation, du produit et des taux d’intérêts. Dans le 4ème essai, nous abordons l’existence d’un éventuel «shift-contagion» lors de la crise financière mondiale et lors de la crise de la dette souveraine en Europe. Le cinquième essai aborde la dynamique intra-journalière ainsi que la transmission de volatilité entre Allemagne, France, et Royaume-Uni lors de la crise financière mondiale. Enfin le dernier cherche à analyser la volatilité de 12 marchés d’action. / Depuis les quarante dernières années, toutes les régions du monde ont été traversées par des événements majeurs d’instabilité économique et financière. L’un des traits caractéristiques de ces manifestations est qu’elles ont non seulement eu un impact sur la santé économique financière et sociale de leur pays d’origine, mais aussi sur les économies étrangères. Cette thèse retrace l’évolution de la crise financière mondiale, démontre comment la plupart des pays de l’OCDE ont été affectés par la contagion, et met en lumière le rôle de la politique monétaire dans la propagation de la crise. Elle se compose en six essais. Le premier chapitre s’attache à étudier les corrélations dynamiques entre différents actifs et certaines variables économiques et financières durant la bulle internet de 2000 et la crise financière mondiale. Dans le deuxième essai, nous nous intéressons aux changements de transmission internationale des chocs de politique monétaire américaine. Le troisième essai adopte une approche plus économique. Nous y étudions la synchronisation des cycles, la composante stochastique de la volatilité de l’inflation, du produit et des taux d’intérêts. Dans le 4ème essai, nous abordons l’existence d’un éventuel «shift-contagion» lors de la crise financière mondiale et lors de la crise de la dette souveraine en Europe. Le cinquième essai aborde la dynamique intra-journalière ainsi que la transmission de volatilité entre Allemagne, France, et Royaume-Uni lors de la crise financière mondiale. Enfin le dernier cherche à analyser la volatilité de 12 marchés d’action.

Abstract Background: Following the financial crisis in 2008, a debate concerning excessive compensation of CEOs in retail banks arose. Previous studies have examined the association between CEO compensation and different factors namely, firm performance, board characteristics and firm size. Although the literature regarding the impact of the financial crisis and government intervention on CEO compensation is still to be empirically explored.   Purpose: To examine if the determinants of CEO compensation in retail banks have changed following the 2008 financial crisis and to determine if government intervention of retail bank have influenced the CEO compensation.   Method:  To achieve the purpose, the thesis takes on a deductive, quantitative research approach through the use of a multiple linear regression model. The multiple regression implements previously established determinants of executive compensation (Randoy & Nielsen, 2002). The regressions use accounting- and non-financial data that is collected from annual reports published by a sample of eight retail banks listed on the Stockholm- and London Stock Exchange over 16 years between 2002-2017.   Conclusion: The thesis finds that the financial crisis had little impact on the determinants of the CEO compensation. Although, the thesis is able to conclude that the government intervention of the retail banks in Sweden and United Kingdom follow the expectations stated beforehand, since the result show that the compensation of the CEO is reduced in those banks affected by government intervention.