The foreign exchange market plays an important role in global finance, as it is considered to be among the largest financial markets in the world because of the significant amount of money involved in the foreign exchange market's transactions. Economic theories show that the exchange rate market may interact with the stock market index, but empirical studies on the interaction between the exchange rate market and the stock market index produced mixed results. Thus there is no empirical agreement regarding the interactions between the stock prices and exchange rate. This study examined the interaction between the real exchange rate and the stock market index in South Africa, with the aim of identifying the effect of exchange rate shocks on the Johannesburg Stock Exchange (JSE). It establishes the direction of causality between the stock market index and the real exchange rate; identifies the long-run and short-run relationships between the South African stock market and the exchange rate and determines the response of the South African stock market to different exchange rate regimes from 1978 to 2008. This study used different econometrics models, including descriptive statistics analysis, Engle-Granger cointegration approach, Error Correction Model and a Granger-Causality test. Variables used in this study include the real values of the JSE all share index and the real exchange rate series (the Rand/U.S. dollar exchange rate) from January 1978 to December 2008. The stock market index responded to changes in exchange rate regimes. Although the response tended to be slightly stronger during the period of the free floating exchange rate, correlation coefficients were insignificant in both fixed and flexible exchange rate regimes. A negative long-run relationship between the real exchange rate and the stock market index was found. The short-run results established that changes in the real exchange rate have no impact on the real stock market index. Granger-Causality tests indicated that there is a bidirectional causal relationship between the South African stock market index and the Rand/U.S. dollar exchange rate. / Thesis (M.Com.)-University of KwaZulu-Natal, Pietermaritzburg, 2011.

The introduction of the Capital Asset Pricing Model in 1964, and its subsequent study by hundreds of thousands if not millions of people at universities throughout the world, has had far reaching consequences in terms of the way portfolios were constructed for many insurance and pension funds. It has affected the investment philosophies of large numbers of investors as well as influenced the calculations of firms costs of capital. Countless investment proposals have been accepted or rejected based on what the Capital Asset Pricing model has calculated the minimum return demanded by shareholders to be. This dissertation looks at the empirical evidence supporting the debate about the usefulness of the Capital Asset Pricing model, as well as presenting evidence as to any possible anomalies to this model on the JSE. / Thesis (MBA)-University of Natal, Durban, 2000.

The theory behind the efficient market hypothesis exerts that it is not possible to consistently outperform the overall stock market by using stock picking and market timing strategies. The argument holds that, in an efficient market, all stock prices are appropriately priced and there is no over- or undervalued stocks to be found. Nevertheless, deviations from true stock prices can occur according to the hypothesis, although these deviations are mostly random occurrences. Thus, the only way an investor can outperform the overall stock market is by luck alone. However, the efficient market hypothesis is a controversial topic where it is often discussed within modern financial circles where academic theory has strong arguments both for and against the theory. Purpose: The purpose of this study is to investigate whether it is feasible to outperform the overall stock market through investing in stocks that appear undervalued according to enterprise multiple (EV/EBITDA) and the price-earnings ratio. / Thesis (MBA)-University of KwaZulu-Natal, Westville, 2009.

Director interlocks have concerned shareholders, the public and legislators since the early 1900’s. In 1914 the Clayton Act prohibited interlocking directorates among competing corporations in the USA. Research has been performed since the 1930’s covering stock exchanges around the world, however very little information was available concerning director interlocks in South Africa. This paper analysed interlocking directorships of the Top 40 companies listed on the Johannesburg Stock Exchange using key metrics as per Newman and Conyon’s Small World theory, comparing the results to research on Italian, French, German, UK and US companies performed in 2008 by Santella, Drago, Polo and Gagliardi. South Africa was found to be closest to Italy, between the low density models (UK and US) and the significantly higher density models (Germany and France), suggesting that rather than just the two camps, there is a continuum currently reflected as the UK, US, South Africa, Italy, France and Germany. The presence of directors with multiple directorships and having significant influence in the network suggests systemic collusion is possible. Analysis performed on the composition of JSE boards showed that many of the King III Code requirements (presence of Non-Executive Directors, split of Chairman from Chief Executive amongst others) are met while some, such as the annual rotation of one third of directors and the independence of directors is problematic. There is still much that can be learned through enhancing the research coverage to provide a factual basis for understanding the impact of legislation and governance codes on the South African network, as well as to perform holistic research covering the combined network formed by board on exchanges across the globe. / Thesis (MBA)-University of KwaZulu-Natal, Durban, 2012.

In order for companies to be competetive on the market, there’s a need of capital. If a company is in a need of capital to make major investments and isn’t able to prioritize internal funding, the priority will be external financing with safe securities; loans. How companies should prioritize the allocation between equity and debt, which together form value, leads us to the subject of capital structure. The purpose of the study is to examine what possible relationship; P/E-ratio, tangible assets, size, profitability and inflation have on leverage, for listed companies on the Stockholm Stock Exchange between the years 2008-2012. The study use a quantitative method of a collection of annual report data. The conclution shows that P/E ratio, tangible assets and inflation have no relationship with leverage. Size showed the strongest positive relationship and profitability of the strongest negative relationship. The authors conclude that the trade-off theory, both contradict and support the results of the study and the authors find support for the Pecking order theory.

Abstract Islamic Banking, a growing banking segment related consistent with Sharia law and principles. Since its establishment in 1983, the use of Islamic Banking has grown rapidly in Malaysia as a result of the Malaysian government active effort to make “Malaysia, Asia’s Islamic finance hub.” This study investigates the impact of various regulation changes – applicable to both conventional and Islamic Banking – in Malaysia, on the volume of financing of Islamic Banks. The main way to accommodate for possible omitted variable bias was by including control variables including the production index, real effective exchange rate, price index against the return on assets, return on equity and net income margin ratio. This study was conducted using an autoregressive-distributed lag model, and an event study. Ultimately, the abnormal returns for Islamic vs. Conventional Banks – though statistically significant individually during the event studies, on average were not statistically significant. The implication is that were the sample size to be larger, we may be able to find more statistical significance, but given that the bank population in Malaysia is so small, it is hard to find a statistically significant trend.

Due to the fact that the European transition economies practically started from scratch in financial market development the size of financial markets in the CE-10 is significantly smaller with respect to GDP than in developed market economies. We can show by residual analysis that financial markets in the Czech Republic and Slovakia still need some restructuring. We also find that stock markets hardly contribute to economic prosperity, neither in the CE-10 nor in the EU. (authors' abstract) / Series: EI Working Papers / Europainstitut

This master thesis examines the role of foreign investors in the Istanbul Stock Exchange in three dimensions: differences among sectors and subsectors in terms of foreign trading activity, the effect of November 2000 &amp / #8211 / February 2001 crisis on returns and foreign trading activity, and the relationship between return and foreign trading activity. Data used in this thesis covers 72 months between January 1997 and December 2002. Significant differences among sectors and subsectors in terms of foreign trading activity is found. On the other hand, there is no statistically significant difference in the mean values and variances of returns on the overall market, national sector and most subsector indices before and after the crisis period of November 2000 &amp / #8211 / February 2001. However, foreign trading activity has decreased in interest-sensitive and cyclical industries and increased in defensive industries during the recession that follows the crisis. The relationship between return and net foreign trading volume relative to the total trading volume is statistically significant for the overall market and national sectors. Furthermore, we find that the effect of net foreign trading volume relative to the total trading volume on return is larger for stocks included in the ISE-30 index. The mean returns on stocks associated with negative NFV and positive NFV are statistically significantly different from each other. We further find that it is more likely to observe positive (negative) return on a stock when net foreign trading volume in that stock is positive (negative).

This thesis analyzes the relationship between stock returns and firm-specific characteristics including market beta, size, book-to-market ratio, leverage, earnings yield, net sales-to-price ratio and prior return performance in Istanbul Stock Exchange during the period 1993-2003. Moreover, the predictability of some macroeconomic variables based on the stock market return behavior is investigated.

This research contains three essays that explore the speed of adjustment, volatility and noise in the Indonesia Stock Exchange. The first essay explores the speed of adjustment in the Indonesia Stock Exchange at daily interval from 2000 to 2004. The model employed is the speed of adjustment with noise. Firstly, I work on the estimation of the speed of adjustment. The estimated speed of adjustment coefficient concludes that the large size leads the smaller size group to adjust to new information. Secondly, I analyse the component in the noise that contributes significantly to the speed of adjustment level. It is confirmed that the factor determining the noise is bid-ask fluctuations. Therefore, it is reasonable to infer the component in the noise from bid-ask component. The decomposition of bid-ask spread into transaction cost and asymmetric information reveals that the latter is found to be a significant component determining the speed of adjustment level. The second essay analyses the fine grain dynamics of the speed of price adjustment to new information from 2000 to 2007. The exact time of adjustment is estimated at intraday frequency instead of at daily frequency. In this work, as an alternative of first moment estimation, second moment model-free estimation using volatility signature plot to estimate of the speed of adjustment is proposed. Both first and second moment estimation of the speed of adjustment provide consistent result of 30 minute adjustment period. Negative relation after 5-minute return interval between speed of adjustment estimate and realized variance is found implying lower noise leads to smaller deviation between observed and equilibrium price. In the third essay, I concentrate the work on the second moment of continuously compounded returns from 2000 to 2007 in the Indonesia Stock Exchange. The main purpose of the last essay is to estimate the noise and efficient variance in the Indonesia Stock Exchange. The realized variance based estimator is employed in the third essay. During the period of the study, noise variance decreases indicating smaller deviation between the observed and equilibrium price, hence improving market quality in the Indonesia Stock Exchange. The optimal frequency to estimate the efficient variance, on average, is nine minutes. The variance ratio of daily efficient variance to daily open-to-close reveals significant private information underlying price process in the Indonesia Stock Exchange.