Thesis (M.B.A.)--University of Hong Kong, 1997. / Includes bibliographical references.

Thesis (M.B.A.)--University of Hong Kong, 1997. / Includes bibliographical references. Also available in print.

Thesis (M.M.S.)--Carleton University, 1999. / Also available in electronic format on the Internet.

Thesis (Ph. D.)--University of Nebraska, 1988. / Includes bibliographical references (leaves 87-94).

Stock market linkages have implications for portfolio diversification, asset pricing, monetary and regulatory policy as well as financial stability. This study examines the extent to which African stock markets are linked using daily data for the period 2000-2010. The study is divided into three main parts each focussing on the ways in which integration of the stock markets can be viewed. Firstly, we analyse the long run co-movement of the stock markets using both bivariate and multivariate Johansen (1988) and Johansen and Juselius (1990) cointegration approaches. Secondly, we analyse returns linkages using Factor analysis and the Vector Autoregressive (VAR) models. In the Factor Analysis model, we used two extraction methods, namely Principal Component Analysis and the Maximurn Likelihood technique. The VAR model was extended with impulse response, variance decomposition and block exogeniety. Thirdly, we analyse the behaviour of volatility and the volatility linkages among the stock markets. We initially analysed and modelled volatility in each stock market using the GARCH, EGARCH and GJR GARCH and then examined the long-term trend of the volatility. Conditional volatility series for each country were then estimated using the most appropriate model and were analysed using VAR, block exogeniety, impulse response and variance decomposition to determine the extent of their linkages. The findings of the study are as follows: Both the bivariate and multivariate models found slim evidence of cointegration amongst the stock markets, suggesting that there were opportunities for portfolio diversification for investors. In general, the financial crisis had very little impact on the long-run relationships of the stock markets. Results for the returns linkages showed that there were limited retums linkages with the exceptions of South African-Namibia and Egypt-Morocco to a lesser extent. South Africa was found to be the most endogenous, whilst Ghana and Nigeria were the most exogenous on the continent. We regards to volatility, we found that it was asymmetric and persistent across all the stock markets with long term trend of volatility showing that it significantly increased for most of the markets. Finally, there were limited volatility linkages, only between South Africa, Egypt and Namibia, implying that African stock markets are still largely segmented from each other. However, the linkages between South Africa and Egypt could have negative effects as they could lead to the spread of contagion effects during times of crises. Therefore, policymakers should consider revising and improving policies to enhance economic integration on the continent.

Orientador: Ricardo Luiz Coltro Antunes / Dissertação (mestrado) - Universidade Estadual de Campinas, Instituto de Filosofia e Ciências Humanas / Made available in DSpace on 2018-08-22T15:16:16Z (GMT). No. of bitstreams: 1 Haro_OmarRodrigo_M.pdf: 4761037 bytes, checksum: 66c54f9677afe0a55bbcb119ca34050a (MD5) Previous issue date: 2013 / Resumo: Examina-se o processo de internacionalização da maior corporação de telecomunicações da América Latina: a América Móvil, proprietária, no Brasil, das empresas EMBRATEL, CLARO, NET Serviços e Star One. Cada uma dessas empresas é especializada na administração de mensagens e informações do sistema comunicativo brasileiro e têm redes distribuídas em diversas partes da América Latina. O objetivo geral da presente dissertação é analisar as ligações entre os principais grupos financeiros internacionais com o proprietário da América Móvil, o magnata Carlos Slim Helú - hoje considerado o homem mais rico do mundo. Para conhecer o caminho percorrido no Brasil por esse empresário e a história do grupo de empresas de sua propriedade. Foram examinados os momentos de aquisição dos ativos de gigantescas corporações do mesmo ramo de indústrias como a MCI, a SBC e a AT&T, processo que colocou a América Móvil como terceiro grupo de telecomunicações no Brasil. Para tanto, considera-se importante analisar as transformações do sistema capitalista nos últimos anos, no que se refere aos novos mecanismos para gerar capital e permitir as migrações de grandes montantes de dinheiro em curto prazo a partir de um catalisador que maximizou suas operações: a indústria de telecomunicações. O desenvolvimento e a internacionalização da América Móvil não representam propriamente um ponto de ruptura com as formas de centralização de lucros das épocas passadas. Pelo contrário, essa empresa continua desenvolvendo os mecanismos próprios do sistema capitalista como o tráfico de influências, a falta de transparência de informação sobre suas operações e as alianças com gigantescos grupos de poder financeiro dos países centrais, predominantemente dos Estados Unidos. O primeiro capítulo problematiza as formas como é entendido o conceito de globalização na economia política, a partir de uma perspectiva que privilegia os processos produtivos e informacionais subordinados aos grandes negócios, bem como a relação entre as grandes corporações e o capital financeiro para o exercício de controle da indústria das telecomunicações em escala internacional. O segundo capítulo examina o papel da indústria das telecomunicações na atual crise do capitalismo. Apresenta-se uma explicação útil para compreensão de como, utilizando-se dessa indústria, o capital consegue grandes avanços no sentido de reinvestir os excedentes do sistema e aplicá-los na aquisição de antigas empresas paraestatais. Analisa-se o papel do grupo de empresas componentes da América Móvil e todas as aquisições de empresas privatizadas no Brasil. No geral, é possível perceber que o processo de compra e venda de empresas públicas só pode concretizar-se por meio da geração da interdependência do governo no Brasil e no México, com os grandes grupos empresariais de investidores envolvidos com o capital financeiro. O êxito da privatização da indústria de telecomunicações nesses dois países acompanhou a destruição dos movimentos operários, principalmente por meio de um movimento generalizado de "flexibilização" e "precarização" do trabalho. O terceiro e último capítulo procura trazer algumas contribuições sobre a questão da estruturação da propriedade da América Móvil, e como essa organização do capital permite gerar dinâmicas de grandes negócios com outros grupos empresariais e financeiros. O foco da análise abrange a estrutura da propriedade da América Móvil, as alianças no plano internacional com outros grupos econômicos e o potencial e real tráfico de influências que existe no conselho diretivo dessa empresa / Abstract: To examine the process of internationalization of a major telecommunication corporation of Latin America: America Movil, owned by Brazilian companies EMBRATEL, CLARO, NET and Star One. Each of these companies specialized in the administration of messages and information within the brazilian communication system and has networks in many parts of Latin America. The general objective is to present my dissertation on the partnerships between the major international financial groups with the major owner of America Movil, tycoon Carlos Slim Helú, currently considered the richest man in the world. To learn the chosen path in Brazil by this business man and the history of his group of companies, its political and economical aspects, to examine the acquisition of brazilian companies, such as MCI, SBC and AT&T. This process ranked America Movil the top three telecommunications groups in Brazil. I also want to consider important analysis as transforming the capitalist system in the latest years, new methods of creating capital and allowing the flow of great quantities of money in the short term. Recognizing the telecommunication industry as one of the most important catalysts of this process. Development and internationalization of America Movil don't represent a breaking point in the different forms of centralization of profits and wealth in the past. To the contrary, this corporation continues developing mechanisms of the capital system such as traffic of Information influence, lack of transparency about their operations and alliances with huge powerful financial groups of central countries, predominately the United States. The first chapter problemizes the understood forms of political and economic concepts of globalization, the perspective from the productive and informatic processes characteristic of large companies and the relation between big corporations and financial capital in order to control the telecommunication industry on an international scale. The second chapter examines the role of the telecommunication industry in the current capitalist crisis. It looks to explain and understand how, using this industry, capital profits grow in order to reinvest surplus back into the whole system and acquire old government corporations. There is an analysis of the role of the corporate group America Móvil and all acquisitions of privatized companies in Brazil. Overall, it's possible to see that the process of buying and selling of public companies can only become real through the generation of interdependence of the public sector in Brazil and Mexico, with major business groups of investors involved with financial capital. The successful privatization of the telecommunications industry in both countries caused the destruction of labor movements mainly through a general movement of "flexibility" and "instability" of work. The third and final chapter seeks to bring some contributions on the issue of the ownership structure of América Móvil, and how this organization can generate dynamic capital of big business with other business groups and financial giants. The focus of the analysis covers the ownership structure of América Móvil, its international alliances with other groups and economic potential and actual influence peddling that exist in the Board of Directors of that company / Mestrado / Sociologia / Mestre em Sociologia

published_or_final_version / Business Administration / Master / Master of Business Administration

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-06-07T18:03:34Z No. of bitstreams: 2 HAMILTON CRUZ NEVES JUNIOR.pdf: 4080164 bytes, checksum: dcfca2a4598c2741282bf94fc30c3bde (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-06-07T18:03:34Z (GMT). No. of bitstreams: 2 HAMILTON CRUZ NEVES JUNIOR.pdf: 4080164 bytes, checksum: dcfca2a4598c2741282bf94fc30c3bde (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2016-07-27 / This research outlined a longitudinal view of Asset Backed Securities (in Brazilian version named FIDC) presenting evaluation events and problems that led to the early amortization and/or settlement by analyzing 44 ABS of a sample selected in the period between the years 2005 and 2014. It???s a descriptive and bibliographic research, with a qualitative approach and informative material content analysis related to such funds: regulations, prospectuses, rating reports and minutes of shareholders' meetings available on the websites of Brazilian Securities Commission (CVM) and Center for Custody and Financial Settlement of Securities (CETIP). The limitation of this research was that the document databases for the history of each existing fund with the CVM are not always complete. This study aimed to identify the main features of these ABS, the reasons that led to the evaluation events, and the presence of evidence to suggest "conflict of interest" from the perspective of agency theory in the management of these funds. On the one hand the results showed that many ABS who enjoyed high preliminary rating had operational problems that hampered receivables flows for these funds: only 20% of evaluated cases, ratings agencies could lower the ratings before evaluation events were announced . On the other hand, during biennium 2014/2015 CVM sought to improve legislation to prevent conflicts of interest among the participants of these operations, and to create mechanisms to ensure necessary information flows for credit rating agencies to carry out their monitoring work more effectively. / Essa disserta????o delineou um panorama longitudinal dos Fundos de Investimento em Direitos Credit??rios (FIDCs) que apresentaram eventos de avalia????o e problemas que levaram ?? amortiza????o e/ou liquida????o antecipada, analisando 44 FIDCs de uma amostra selecionada no per??odo que vai entre os anos de 2005 a 2014. Trata-se de uma pesquisa descritiva e bibliogr??fica, com abordagem qualitativa e an??lise de conte??do de material informativo referente a esses fundos: regulamentos, prospectos, relat??rios de rating e atas das assembleias de cotistas dispon??veis nas p??ginas da internet da Comiss??o de Valores Mobili??rios (CVM) e da Central de Cust??dia e Liquida????o Financeira de T??tulos (CETIP). A limita????o para a realiza????o desta pesquisa foi que os bancos de dados de documentos referentes ao hist??rico de cada fundo existente junto a CVM nem sempre s??o completos. Este trabalho objetivou identificar as principais caracter??sticas desses FIDCs, os motivos que levaram aos eventos de avalia????o e a presen??a de elementos que indiquem ???conflito de interesses??? sob a ??tica da Teoria da Ag??ncia na administra????o desses fundos. De um lado os resultados mostraram que diversos FIDCs que gozavam de elevado rating preliminar apresentaram problemas operacionais que prejudicaram o fluxo de receb??veis para esses fundos: somente em 20% dos casos avaliados, as ag??ncias puderam rebaixar os ratings antes que fossem acionados os eventos de avalia????o. Por outro lado, a CVM no bi??nio (2014/2015) procurou aprimorar a legisla????o para evitar conflitos de interesse entre os participantes dessas opera????es, bem como criar mecanismos que garantam o fluxo de informa????es necess??rias para que a ag??ncias de classifica????o de risco possam realizar seus trabalhos de monitoramento com mais efic??cia.

In the first essay, I study the power of predictive regressions in a world of forecastable returns and find it to be quite poor. Using a simple model, I investigate the properties of short- and long-horizon regressions. The mechanisms biasing coefficients in short-horizon regressions differ from those affecting longer horizons. Further, I demonstrate that R\(^2s\) are biased and give an estimable bias correction. A calibration exercise shows sample lengths will be insufficient to determine what predicts asset returns until beyond the year 2100. The problem is not isolated to highly persistent predictors; even modestly persistent predictors have difficulties. Further, long-horizon regressions have inferior power relative to their single-period counterparts. These results present a predicament. If return predictability exists, then our ability to identify its source using predictive regressions alone is exceedingly poor. The second essay, written with James Stock and Mark Watson, considers the estimation of approximate dynamic factor models when there is temporal instability in the factors, factor loadings, and errors. We demonstrate that estimators for the factors and for the number of those factors are consistent for their population values even when affected by these instabilities. Further, we characterize the inferential theory in our framework for the estimated factors and for diffusion index forecasts and factor-augmented vector autoregressions that make use of the estimated factors. These results illustrate the broad robustness factor models have against temporal instability. In the third essay, co-author Peter Tufano and I consider the complex accounting rules, explicit fund sponsor supports, and government actions, that grant US money market mutual fund investors an implicit put option allowing them to redeem their shares at a fixed price of $1.00, regardless of the portfolio's market value. We describe the institutional features that generate these options, identify their writers, and estimate their premia. Using a hypothetical MMMF, we find that currently, non-redeeming shareholders, fund sponsors, and the government collectively bear annual premia of 22 to 44 basis points to give MMMF shareholders the right to redeem their shares at $1.00 rather than at the market value of the fund portfolio. These premia rose dramatically during the financial crisis, with the put value potentially being over 50 basis points.

Cette thèse est une tentative de mieux comprendre l’impact des différentes mesures prises par les banques centrales depuis 2008, et en particulier en zone Euro. Elle se concentre sur les effets des différents politiques non-conventionnelles sur le marché monétaire. Le chapitre 1 montre comment la fragmentation du marché interbancaire perturbe la transmission de la politique monétaire. Le phénomène de fragmentation est introduit dans un modèle standard de marché interbancaire. On voit alors que de la liquidité excédentaire apparaît de façon endogène dans le modèle. Cela conduit les taux d’intérêt à court terme à s’éloigner du taux de la banque centrale. Le modèle est utilisé pour analyser les politiques conventionnelles et non conventionnelles de l’Eurosystème. Le chapitre 2 explique comment le programme d’achat de titres souverains de l’Eurosystème (le PSPP) a poussé certains taux du marché monétaire en dessous du taux de la facilité de dépôt de l’Eurosystème, qui est pourtant sensé être un plancher. Le chapitre explore empiriquement les interactions entre le PSPP et les taux d’intérêts collatéralisés. Le chapitre 3 montre comment des régulations très proches de celles de Bâle III étaient utilisées par les banques centrales dans les trois décennies qui ont suivi la Seconde Guerre mondiale. A l’époque ces régulations étaient utilisées pour stabiliser l’inflation et la production, un rôle qui serait aujourd’hui typiquement attribué à la politique monétaire (et non à la régulation bancaire). Les expériences historiques que nous décrivons montrent clairement que la régulation de la liquidité a des effets restrictifs sur l’activité. / The first chapter shows how interbank market fragmentation disrupts the transmission of monetary policy. Fragmentation is the fact that banks, depending on their country of location,have different probabilities of default on their interbank borrowings. Once fragmentation is introduced into standard theoretical models of monetary policy implementation, excess liquidity arises endogenously. This leads short-term interest rates to depart from the central bank policy rates. Using data on cross-border financial flows and monetary policy operations,it is shown that this mechanism has been at work in the Euro-Area since 2008. The model is used to analyze conventional and unconventional monetary policy measures. The second chapter shows how the Euro area money market rates have been standing below the deposit facility rate since 2015, which financial markets perceive as a byproduct of Eurosystem's public sector purchase program (PSPP). This paper explores empirically the interactions between the PSPP and short term secured money market rates (repo rates). We document different channels through which asset purchases may affect the various segments of the Euro area repo market. Using proprietary data from the PSPP and individual repo transactions made on the repo market for specific securities, our results show that the PSPP has contributed to push down repo rates. Purchasing 1% of a bond outstanding is associated with a decline in its repo rate of -0.75 bps.