In the economic environment of the information age, the performance of the stock market is considered an important indicator of the health of a nation's economy. Typically, the performance of any stock market is reflected through stock market prices. It would not be over emphasizing to state that, now the stock market is shedding value, it is having a tremendous influence in shaping the overall economies of most developed nations around the globe. Two research questions from the perspective of the Australian stock market have been developed for empirical examination.The questions are: (i) what systematic risk factors are influential for the Australian stock market returns in both the long-and short-runs; and (ii) is the Australian stock market linked to developed stock markets under the influence of globalization? The methodological approaches suitable for empirical analyses have been closely investigated to reveal the precise characteristics of the long-run stock market pricing process.Empirical tests have been performed to ascertain whether the Australian stock market is responsive to the a priori variables, and if so, which ones and to what extent. Cointegration techniques have been applied to help answer both research questions. To answer the second research question, an analysis has been performed that examined six overseas developed stock markets and asked whether the Australian stock market is cointegrated with those markets in the long-run. The results of the first study show that only a few systematic risk factors are responsible for Australian stock market price movements in the long-run while short-run dynamics are in force. The results of the second study confirm that the Australian stock market is being influenced by a small number of overseas markets and it is integrated with those markets under the influence of globalization. / Doctor of Philosophy (PhD)

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University of Macau / Faculty of Science and Technology / Department of Mathematics

ADRs are negotiable certificates,which represent the ownership of foreign corporations and are traded in the U.S stock market. As a potential alternative to direct investment in foreign stocks,ADRs have become popular tools for international diversification. In our paper,we focus on the price transmission mechanism amongst the ADR and it¡¦s pricing factors as well as the global diversification effect of ADRs. Specifically,three topics are examined in our paper¡R First we apply several multiple regression models to identify what factors affect ADR returns and the returns on underlying stocks. These factors we used to incorporated included foreign exchange rate, S&P 500 Index and world Index. Due to possible common factors not incorporated in our models, we apply SUR to yield more robust results. Second, we apply VAR to investigate how ADR returns and returns on underlying stocks interrelated and augmented by lagged U.S. equity index and world index on a daily basis. Finally, we apply vector-error-correction model to investigate how ADR returns and returns on underlying stocks interrelated with deviations from long run relationships. We first implement Augmented Dickey-Fuller tests to see if they are integrated of the same order. The residuals are then used as error-correcting terms for VECM. Due to the fact that these markets do not close synchronously, VECM with different error correcting terms documented in this study does provide important information regarding how ADR or stock returns react to the deviations from the long-run equilibrium.

Thesis (Ph. D.)--Catholic University of America, 1922. / Vita. Bibliography: p. 136-138.

Includes bibliographical references (p. 98-99).

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 143-148). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 460-465). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 460-465). Also available on the Internet.

Thesis (Ph. D.)--University of Missouri-Columbia, 2001. / Typescript. Vita. Includes bibliographical references (leaves 143-148). Also available on the Internet.