本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。 / This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.

Philosophiae Doctor - PhD (Economics) / The main objective of this thesis was to closely examine several nancial and economic aspects of the stock markets in Sub-Saharan Africa. Thus, the objectives of this thesis were to explore the interdependence, the time-varying conditional correlation and the volatility linkages among Sub-Saharan African and developed stock markets; to investigate the relationship between - nancial liberalization and the development of stock markets; and to examine the patterns of the aggregate market liquidity and the relevance of the mainstream determinants of market liquidity in the chosen Sub-Saharan African stock markets. The study was composed of three standalone essays. The rst essay, which investigated stock price co-movements and the volatility linkages between selected Sub-Saharan African markets and the key developed markets, used the Johansen cointegration test, the VECM and the GARCH models for the sample period 2 January 2009 { 31 December 2016. The second essay, examining the e ect of nancial liberalization on the development of stock markets in Sub-Saharan Africa, employed the Bayesian VAR for the sample period 1975Q1 { 2014Q4. Lastly, the third essay, which investigated the determinants of liquidity levels in Sub-Saharan African stock markets employed the Markov Switching Vector Autoregressive model for the sample period 2 January 2009 { 31 December 2016.This study aimed at contributing to the already existing literature by focusing on analysing four key stock markets in the region, namely the Nigerian Stock Exchange, the Kenyan Securities Exchange.

nÃo hà / A preocupaÃÃo central deste trabalho à analisar a relaÃÃo entre a arrecadaÃÃo de ICMS pelos estados nordestinos e a taxa de cambio. O ICMS à um imposto que incide sobre as importaÃÃes e estas sÃo influenciadas, em parte, por variaÃÃes na taxa de cambio, de forma que uma desvalorizaÃÃo cambial espera-se que reduza a arrecadaÃÃo de ICMS ao desincentivar as importaÃÃes. Para tanto, foi realizada uma anÃlise de longo prazo, atravÃs da abordagem de cointegraÃÃo de Johansen e uma anÃlise de curto prazo, por meio de funÃÃes impulso resposta. Dos resultados, constata-se que existe um efeito resultante de alteraÃÃes na taxa de cÃmbio sobre a arrecadaÃÃo de ICMS nordestina, como esperado no curto prazo. Entretanto, a abordagem de cointegraÃÃo nÃo identificou um relacionamento de longo prazo. / The aim of this work is analyzed the relationship between the ICMS revenue by Northeast Brazilian states and the exchange rate. The ICMS is a tax that is applied under imports and these are affect by exchange rate changes. If the Marshall-Lerner condition is accepted, a devaluation in the exchange rate reduces the imports. To investigate whether this channel is important to determine the ICMS revenue we used two methodologies: short run methodology based on impulse response function obtained from a VEC estimation; long run methodology based on Johansenâs cointegration tests. The results showed that the short run effect of exchange rate under the ICMS revenue was expected, at the period from 2002 to 2011. That is, a depreciation of the exchange rate reduces the ICMS imports. However, the long run effects could not be confirmed.

The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on daily data, the 15-minute timeframe is dominated by portfolios constructed by the Johansen cointegration test. Both strategies achieve significantly higher risk-adjusted returns on the intraday timeframe. The study also reveals a performance decline of both strategies in the period of 2013-2015 and outlines possible interpretation of such event.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2017 / The study intends to investigate the determinants of employment in the platinum mining industry in South Africa. Employment levels decreased dramatically in the platinum mining industry in South Africa. This is due to decrease in export demand for platinum, high operating cost, labour unrest, low levels of production and other determinants of employment. The specific objective of the study is to determine the nexus between employment, output, domestic demand and export demand. Annual time series data covering the period between 1992-2013 was used. The study employed the Vector Error Correction Model approach. Johansen Cointegration test results confirmed the existence of a long run relationship amongst variables under investigation. Export demand and output are found to be positively related with employment. The speed of adjustment to equilibrium is -0.283202. Impulse response functions and variance decomposition are also generated to explain the response to shock amongst variables. The results of the study vindicate that the platinum mining industry should implement policies and strategies to increase output which will lead to higher levels of employment as well as economic growth. In addition, government should also create a conducive environment to enable the industry to expand and the industry should also intensify its export drive, these findings are envisaged to contribute significantly to the existing but limited literature on the subject under investigation. / National Research Foundation

The aim of this work is understand how the Exchange rate volatility affects the cearensesâs exports. Many researchers have appointed that an increase in the exchange rate volatility generate risk factors on trade. Therefore, understand the relationship between volatility and trade is fundamental to forecast better the behavior of trade under instabilities of the exchange markets, as the recent international crisis. The period of analysis is from 2002 to 2011 and the data has monthly frequency. Two methodologies are used to investigate this relationship: short run, through impulse response function, obtained from a VEC; long run, through the Johansen cointegration test. The results showed that the exchange volatility reduces the exports of CearÃ. / O objetivo deste trabalho à entender como a volatilidade da taxa de cÃmbio afeta as exportaÃÃes cearenses. Diversos autores tÃm apontado que uma volatilidade da taxa de cÃmbio mais elevada pode estar associada a fatores de risco de exportaÃÃo e importaÃÃo. Dessa forma, entender o relacionamento entre esses componentes à fundamental para aumentar o poder de previsibilidade, especialmente, em perÃodos de instabilidade econÃmica, em que a volatilidade da taxa de cÃmbio tende a ser maior. Nesse trabalho, utilizou-se de dados com frequÃncia mensal entre 2002 a 2012. Duas anÃlises foram feitas: uma de curto prazo, atravÃs da abordagem de funÃÃes impulso resposta obtidas a partir de um VEC e outra de longo prazo atravÃs do teste de cointegraÃÃo de Johansen (1991). Dos resultados encontrados, verificou-se que a volatilidade da taxa de cÃmbio tem efeito sobre as exportaÃÃes cearenses tanto no curto quanto no longo prazo. Ambos, longo e curto prazo, a volatilidade da taxa de cambio reduz o quantum exportado, indicando que tal volatilidade pode ser interpretada como risco associado as exportaÃÃes.

過去許多學術文獻針對租稅優惠吸引投資之效果進行實證分析，但實證結論並不一致。我國自1950年即開始實施一連串的租稅獎勵政策，時至今日，租稅減免仍是我國政府推動重大經濟政策慣用的誘因手段。為探討了解臺灣實施租稅優惠措施對投資變化之影響，本研究針對我國自民國50年代後期以來涉及租稅減免之相關法令進行整理，另為了充分量化這些租稅優惠措施，則參考國外相關實證文獻作法，建構了兩項租稅誘因指標作為虛擬變數，來追蹤自民國61年以來我國不同階段之減免稅狀態，並作為虛擬變數納入後續實證模型分析。 本研究利用相關變數之時間序列資料來探討租稅優惠對我國外人直接投資與國內私人投資之互動變化關係。研究步驟有三，首先，針對個別變數進行單根檢定，藉以確認變數的屬性，了解時間序列資料是否為衡定後，再利用Johansen共整合檢定法來估計和檢定多個變數，確認各變數間是否存在共整合關係後，以誤差修正模型來說明各變數間關係與整個變數脫離均衡關係後之動態調整情形。 實證結果顯示，就長期趨勢而言，我國實施之租稅優惠措施對吸引外人直接投資呈現負向且顯著之不良影響，另長期而言，租稅優惠誘因對刺激我國國內投資之變化確有顯著且正面助益，但影響效果之幅度不大。因此，本研究建議政府與其提供效果不明確之租稅誘因，不如致力於針對國家自身不完善的基礎建設或不穩定的總體經濟環境進行改善。 / Tax incentives have been in existence in Taiwan since 1950, and they are still very much on the agenda of the government. There is no agreement about the efficacy of incentives. Indeed there have been doubts about whether incentives have any effect on the economy since the 1950s. This has made some economists wonder why incentives are so popular despite the fact that their effects are either slight or unknow. This study conducts an empirical investigation of the impact of tax incentives on investment in Taiwan. We constructed two indexs of tax incentives which track the different types of incentives embarked upon by the government, and these indexes are then included in both foreign direct investment and private investment equations. Our testing procedure involves three steps. The first step involves tasting for the properties of the variables by conducting unit root teste. The second step involves testing for the long-run relationship between the variables using Johansen cointegration tests. And the third step involves estimating the long-run parameters and associated loading factors. The empirical results shows a significant negative impact of tax incentives on FDI, and a significant positive impact of tax incentives on private investment but the impact is slight. We suggest that rather than focusing on tax incentives, the country should concentrate on removing the factors that discourage investors such as poor infrastructural and institutions or macroeconomic instability.