Thesis (Ph. D.)--University of Illinois at Urbana-Champaign, 1999. / Includes bibliographical references (leaves 131-136).

This study examines the effects of delisting on firm value, risk and market liquidity. In a world where markets are becoming increasingly integrated, delistings may prove counter productive. We use the unique event, free from company specifics, that occurred on January 2, 1990 in the stock exchanges of Singapore and Malaysia to test for the above effects. On that day, dual listed companies were required to delist from the foreign stock exchange. We also use this event to test if the Singapore and Malaysia markets are globally integrated. Since financial data is found to show persistence in volatility, we model the return generating process in a generalized autoregressive conditionally heteroskedastic (GARCH) framework that takes into consideration changing volatility. For comparison purposes, OLS and Time-Deformation models are included. The study found delistings to decrease firm value, the size of which is related to how actively the stocks were previously traded on the foreign stock exchange. Risk levels increased following delistings. Nevertheless, thinly traded stocks showed significant changes in neither firm value nor riskiness. Further evidence of new listings to increase firm value was noted. Consistent with the political motive hypothesis, delisted stocks showed an increase in post-event volume, but however, lost relative liquidity compared with other stocks. While all portfolios considered show evidence for existence of conditional heteroskedasticity, comparison with standard OLS event-study results yields similar conclusions, although the return generating models with GARCH errors result in lower abnormal return variances. As for the time-deformation model, trading volume was found to be a good proxy for rate of information flow only for smaller capitalized stocks. Correlation and regression analyses showed that the Singapore and Malaysia markets are integrated to some degree with the international markets, such that a major delistings event between both markets did not change the pricing of risk in these markets.

Thesis (MBA)--Stellenbosch University, 2004 / ENGLISH ABSTRACT: This paper investigates the vulnerability of four key emerging markets to crises originating in Asia in 1997; Russia in 1998; Brazil in 1999 and Argentina in 2001. The emerging markets examined, Argentina, Malaysia, Poland and South Africa have been chosen to represent different geographic continents. Stock market data is used to measure for changes in unconditional correlation coefficients during and after the crisis periods. This is to establish whether the volatility shocks generated by the crises are what would reasonably be expected. Results suggest that there is evidence of contagion during the Asian crisis but there is little support of significant cross-market correlations transmitted during the Russian, Brazilian or Argentinean crises. Granger Causality tests are calculated to identify the existence of a relationship between stock market returns of countries in crisis and each of the four emerging markets. There is no evidence of causality emanating from the Thai stock market during the Asian crisis or from the Argentinean index during the Argentinean.crisis. Findings show that there is Granger causality from the Russian index during the Russian crisis to the Argentinean stock market but there was no impact on the markets in Malaysia, Poland or South Africa. Interestingly, there is no evidence that the Polish stock market returns were affected by the Russian crisis, the Argentinean returns by the Brazilian crisis or the Malaysian market by the Asian crisis. The paper further examines whether there is a relationship between stock market returns and country credit ratings and if credit risk can explain stock market returns. Significantly for active investment management, past values of country credit ratings can help predict stock market returns in Argentina, Malaysia and South Africa. Therefore, country credit risk contains information about expected stock market returns and potential investors would benefit by devising an asset allocation strategy that incorporates the explanatory powers of credit risk. / AFRIKAANSE OPSOMMING: Hierdie verslag ondersoek die kwesbaarheid van vier sleutelontwikkelende markte ten opsigte van krisisse wat onstaan het in Asië in 1997; Rusland in 1998; Brasilië in 1999 en in Argentinië in 2001. Die Argentynse, Maleisiese, Poolse en Suid Afrikaanse markte is gekies om verskillende geografiese kontinente te verteenwoordig. Effektebeurs data is gebruik om die verandering in onkondisionele korrelasie koeffisiente gedurende en na die krisis tydperk te meet. Dit is gedoen om vas te stel of die wisselvalligheid-skokke wat veroorsaak is deur die krisis ooreenstem met wat wesenlik verwag sal word. Resultate dui daarop dat daar getuienis is van besmetting ("contagion") gedurende die Asiatiese krisis, maar dat daar min ondersteuning gebied word vir die oordraging van beduidende kruis-mark korrelasie gedurende die Russiese, Brasiliaanse of Argentynse krisisse. Granger "causality" toetse is uitgevoer om die bestaan van 'n verwantskap tussen die effektemark opbrengste van die lande in krisis en elkeen van die vier opkomende markte te identifiseer. Daar is geen bewyse van enige veroorsakende verband voortgebring vanuit die Thai effektebeurs gedurende die Asiatiese krisis, of van die Argentynse indeks gedurende die Argentynse krisis nie. Die bevindinge toon dat daar Granger veroorsaking is vanaf die Russiese indeks na die Argentynse effektebeurs gedurende die Russiese krisis, maar dat daar geen impak was op die markte in Maleisië, Pole of Suid Afrika nie. Dit is interessant dat daar geen bewyse is dat die Poolse effektebeurs opbrengste beïnvloed is deur die Russiese krisis, die Argentynse opbrengste deur die Braziliaanse krisis, of die Maleisiese mark deur die Asiatiese krisis nie. Die verslag ondersoek verder of daar 'n verwantskap bestaan tussen effektebeurs opbrengste en die land se kredietgraderings asook of krediet-risiko effektebeurs opbrengste kan verduidelik. Betekenisvol vir aktiewe beleggingsbestuur is dat die historiese kredietgraderings kan help met die vooruitskatting van effektebeurs opbrengste in Argentinië, Maleisië en Suid Afrika. Dus bevat land kredietgraderings informasie rakende verwagte effektebeurs opbrengste. Potensiële beleggers sal dus baat vind in die ontwikkeling van 'n bate-allokasie strategie wat die verduidelikende kragte van krediet risiko inkorporeer.