Thesis (M.Sc.)--University of Hong Kong, 2007. / Includes bibliographical references (p. 95-96).

Thesis (M.A.)--Chulalongkorn University, 1988. / In Thai; abstract also in English. Added t.p.: The role of Ayutthaya's market places in internal and external trade, 1630-1767. Includes bibliographical references (leaves [144]-160).

This thesis consists of three papers addressing different aspects of financial markets and macroeconomic activities. Firm Risks, Credit, and Labor Market Fluctuations studies the effect of changes in firm risks on the cyclical properties of the labor market. I develop a general equilibrium model in which the adjustment of employment is costly. Financial frictions arise from the limited liability property of the contract between lenders and firms. The changes in firm risks alter the amount of debt that firms can borrow to finance their working capital. This mechanism amplifies labor market fluctuations and displays a countercyclical external finance premium, consistent with the empirical evidence. Shadow Banks and Stabilization Policies studies the interaction between commercial banks and shadow banks and the effect of stabilization policies. I develop a general equilibrium model in which the shadow banks obtain loans from commercial banks in the form of short-term collateralized debt. The moral hazard creates volatile leverage of shadow banks, which makes the economy more vulnerable to economic shocks. Upon an aggregate disturbance, a stabilization policy in the form of direct lending is relatively more efficient than policies aimed at the shadow-banking sector. Bank Capital and Lending: An Analysis of Commercial Banks in the United States empirically evaluates the impact of bank capital on lending patterns of commercial banks in the United States. Using two different measures of capital, namely the capital adequacy ratio and tier 1 ratio, we find a moderate relationship between bank equity and lending. We also use an innovative instrumental variables methodology that helps us overcome the endogeneity issues that are common in such analyses.

The purpose of this study is to investigate the effects of a decade of financial deregulation on stock markets in term of market integration within Asia-Pacific countries. It investigates the existence of inter-relationships between five emerging and two developed stock markets in the region. Then, it examines the 'causal' relationships between each market and its country's economic fundamentals. The study is comprised of three major sections of empirical analysis: In the first section, three tests, correlation coefficients, unit root tests, and cointegration tests, are used to examine the short-term as well as long-term changes in the co-movement patterns of Asia-Pacific stock markets before and after financial deregulation. The second section employs VAR model to estimate and analyze the dynamic interdependencies among Asia-Pacific stock markets and trace out the effects of shocks to those markets. It also examines whether there is one or more dominant or particularly influential market within the region. Finally, the third section investigates the existence of interactions between stock returns and domestic economic fundamentals by applying causality tests. It focuses on the predictive content of historical information of stock returns in explaining economic variables, and hence, it tests whether the economic variables do or do not Granger-cause stock returns, and vice versa. The study provides a number of interesting and important results which can help us to understand the nature of stock market integration as well as evolution of financial integration in this increasingly important region. The study suggests that financial liberalization has enhanced the inter-relationships among Asia-Pacific stock markets, and that therefore high capital controls account for instances of low interactions. The study shows that the effects of a shock to stock markets are completed within two days, indicating that stock markets adjust quickly, but not instantaneously, to all relevant information in the region. The study also finds that Japan and Hong Kong are the most influential markets in terms of their effects on other markets in the region. Moreover, the result of the absence of cointegration may simply rule out the existence of a long- run equilibrium tending relationship, but does not invalidate any short-run relationships which may arise due to profit-seeking opportunities in transactions. Furthermore, examining the 'causal' relationships between a stock market and economic fundamentals shows that the exchange rate and the corporate bond rate are the only two out of several factors tested that are 'causal' of stock returns in many markets in the Asia-Pacific region. In short, the results are consistent with the view that stock returns only respond to monetary variables. Hence, one possible implication is that most of the indicators of macroeconomic fundamentals in the Asia-Pacific region are not the predictors of stock returns and that information captured in a stock market does not reflect changes in its country's macroeconomic fundamentals.

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Firms targeting high-income consumers are finding their markets becoming increasingly saturated and this has caused a shift in focus to the extensive base of low-income consumers. The opportunity and wealth that is present in the low-income segment has been iterated in numerous instances, yet the challenges to compete in this market are plentiful. To better understand the low-income market and their needs, firms need to develop strong market sensing capabilities that allow them to interpret and develop insights into this market. This report seeks to better understand the adaptive and dynamic nature of these market sensing capabilities and how firms are using these to compete in low-income markets. A qualitative design was followed where 12 senior managers from 11 firms competing in the South African low-income market were interviewed. This was facilitated by a semi-structured in-depth interview method. An inductive and deductive analysis approach was used to interpret the findings against existing models, as well as to discover new themes emerging from the data. The findings included three key themes: the use of mixed method market sensing practices to adapt to the market; improving the capability through continuous sensing, responding and learning; and influencing success by creating an adaptive internal environment. Based on these findings, a framework for competing in low-income markets using market sensing capabilities was constructed. / Dissertation (MBA)--University of Pretoria, 2013. / mngibs2014 / Gordon Institute of Business Science (GIBS) / MBA / Unrestricted

The study deals with the relatively unexplored area of the evolution of HQ-subsidiary relations in emerging market Multinational Corporations (MNCs). The study uses a framework proposed by Harzing, Sourge and Paauwe (2001) to study the evolution of four components of the relationship over a ten year period, namely: control mechanisms, expatriate assignments, level of interdependence and degree of local responsiveness. The paper also assesses the impact of two additional factors on the relationship, namely subsidiary evolution and the country-of-origin effect. The study analyses the case of a South African MNC, UTi Worldwide Inc. (“UTi”) a leader in the global network of freight forwarding and contract logistics and distribution services. Seven propositions are tested by means of the case study method to analyse the factors that contribute to the said evolution in the MNC. The study found that there was indeed an evolution in most aspects of the MNC’s HQsubsidiary relationship over that last ten years. In addition, the subsidiary themselves had evolved and the nature of the country-of-origin effect had significantly changed over the same period. This evolution process was influenced by a number of factors specific to and circumstances unique to the MNC. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

This study originated in an interest in the evolving field of emerging markets and ongoing efforts being made by academics to test current theory and develop theories and approaches for emerging markets, which constitute a major growth component of today’s global market. This study specifically set out to verify whether or not Multi-National Corporation (MNC) theories and approaches proposed by International Business researchers and theorists in respect of strategy, locational considerations and market assessment also apply to multinational firms coming out of emerging markets, dubbed Emerging Multi National Corporations (EMNCs) or Emerging Multi National Enterprises (EMNEs). Ongoing review of present MNC theory and its applicability to these newcomers on the block is being undertaken and is coupled with research into the development of business models and approaches specific to EMNCs. The research was undertaken as a single case study, using the Standard Bank Group (SBG) and its Africa operations as an example of an EMNC with the specific objective of verifying present MNC theory in the areas of strategy, locational consideration and market assessment. Qualitative interviews with experts from the SBG Africa operations provided interactions and insights on the central themes of the research and these, in the light of approaches argued in the available literature, formed the basis of the research findings. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

This thesis consists of three essays. The first two essays present empirical studies in which option market features related to information flows are examined. The third essay introduces a theoretical model to explain predictable dynamics in option pricing through the agents' learning process. In the first essay, I investigate the previously unexplored effects of asymmetric information on the adoption process of new equity options introduced into the market. I use a microstructure model to estimate measures of informational asymmetries. I discover that high informational asymmetries in the year prior to option listings produce larger levels of option adoption. Additionally, I find that option introductions induce reductions in asymmetric information. I also report that option bid-ask spreads start from low initial levels with a tendency to increase over time, which is unexpected since the introduced options are initially illiquid; however, this can be explained by the low level of initial activity by informed agents.The second essay examines whether the dynamics of the implied volatility surface of equity options contain exploitable predictability patterns. The option pricing predictability is expected due to the learning behaviour of agents in option markets. In particular, I explore the possibility that the dynamics of the implied volatility surface of individual equity options may be associated with subsequent movements in the volatility surface implicit in S&P 500 index options. I present evidence of strong relationships in the cross-section and the dynamics between implied volatility surfaces of equity options and S&P 500 index options. Moreover, I show that the predictability patterns of equity options are better characterized by the incorporation of information from the recent dynamics in the implied volatility surface of S&P 500 index options. Additionally, I analyse the economic value of the equity option predictability through trading strategies using straddle and delta-hedged portfolios, which produce abnormal risk-adjusted returns.Finally in the third essay, I introduce an equilibrium model to explain predictability patterns in option pricing through the learning process followed by investors. In this model the unknown fundamental dividend growth rate is subject to breaks, where the time periods between breaks follow a memoryless stochastic process. Immediately after a break there is insufficient information to price option contracts accurately. Therefore, a representative Bayesian agent has to learn step by step as new information arrives regarding the new fundamental value. I show that learning makes beliefs time-varying, which produces dynamic biases in option prices and implied volatilities. In addition, I find that learning generates different dynamic impacts on option contracts across moneyness and time-to-maturity; and hence it induces dynamics on the implied volatility surface. Furthermore, similarly to the predictability features observable in option market data, learning mechanisms make the option pricing dynamics predictable.

Thesis advisor: Arthur Lewbel / In this series of essays, I apply the tools of economics to a variety of real world problems. The first essay looks at the impact of a gun control regulation on mortality and crime. A third of US states have removed all restrictions on carrying concealed handguns. This might decrease crime by invisibly arming law-abiding citizens, or increase it by eliminating penalties for criminals. It could have no effect at all, because handguns are easily hidden, so anyone who wished to carry a gun was already doing so. I compare counties along the borders of states that liberalized concealed carry to contiguous counties in neighboring states that did not, using mortality and crime micro-data. I find that deregulation had no impact on homicide, violent crime, firearm mortality, firearm usage, or firearm ownership. The second essay, co-authored with Sajala Pandey, looks at the impact of an earthquake in Nepal on child development. Biologists have posited that prenatal maternal stress (PNMS) has an adverse impact on child development, possibly via the process of epigenetic imprinting which occurs during the first trimester. Researchers have attempted to study this link by using natural disasters as a source of exogenous variation. A shortcoming of these studies is that natural disasters may also affect prenatal healthcare provision, either by decreasing it’s provision (due to infrastructure being destroyed) or increasing it (thanks to aid flowing into the region.) We look at the impact of 2015 Earthquake in Nepal on children who were (a) in utero at the time of the earthquake and (b) in areas severely affected by it. Consistent with theories from PNMS, we find that the earthquake adversely impacted their height-for-age, and the effects were concentrated on individuals who were in the first trimester of gestation. These negative effects were entirely offset by an increase in the consumption of antenatal healthcare. We find that the earthquake resulted in a improvement in development indicators for those children who were in severely affected areas but not in-utero at the time of the earthquake, highlighting the importance of healthcare provision in early childhood. The third essay, co-authored with Andrew Copland, proposes a solution to the problem of assigning multiple scarce goods to agents in the absence of prices, for example assigning seats in courses to students in a university. Students submit a list of preferences over courses, a lottery for rankings is held, and an algorithm allocates each student their top available course, reversing their ranks at the end of each round. Then, for each student, the algorithm compares their outcomes to the outcomes generated by every alternative ordering they could have set. Whenever such revisions result in more preferred outcomes, their preferences are replaced with the alternative. Our solution is non-dictatorial and Pareto optimal. When it converges without encountering a loop, it is strategy-proof. It retains properties even in small economies. We compare our algorithm to alternatives. / Thesis (PhD) — Boston College, 2021. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: Economics.