The ASE has developed greatly since its establishment and has succeeded in accomplishing several of its goals by mobilising capital into the productive sectors of the economy. ASE appears to be well organised, attractive, and aims to attract international investments in order to increase the depth of the market. The aim of the study is to explore the efficiency of this emerging market and investigate the integration with other capital markets in the region. Conventional tests beside recent econometric techniques are implemented. The thesis starts with a review of the development of the efficient market hypothesis, followed by an overview of the development of the Jordanian Financial Market. The autocorrelation and runs test - runs up and down, distributions of runs by length, and runs above and below -are applied to the daily price indices of ASE to examine whether ASE is weak form efficient. The empirical results reflect significant positive dependency patterns in stock prices and suggest that the price behaviour in ASE does not follow the random walk model over time. However, further investigation is applied to find whether these results could be exploited, through technical analysis, to outperform the simple buy and hold policy. Filter rules and moving average techniques are used. Furthermore, and for the results of moving average techniques, standard statistical testing is extended through the use of bootstrap techniques. According to the moving average rule, buy and sell signals are generated by two moving averages of the level of the index (long and short period averages). The conditional returns on buy or sell signals from actual data are compared to the conditional returns from simulated series generated by a range of models (random walk with a drift, AR (1), and GARCH-(M)). The results of this part of the study generally suggest that technical analysis helps predict stock price changes in the Jordanian stock market. In the next part of the thesis, recent econometric Procedures are employed to investigate the behavioural properties of ASE indices. The Box-Jenkins estimation, irrespective of the index examined produced different models with a high prediction performance, violating the EM: H conditions. The unit-root test also confirmed these results as the return series for all indices did not exhibit unit root, and all processes were stationary. The GARCH-M(l, l) model is estimated and present mix results cross the indices. To a certain limit, the results support the existence of a significant link between conditional volatility and stock returns, and the conditional variance is found to change over time as a result of volatility clustering effects. The last part of the thesis applies the cointegration and Granger causality tests to investigate the concept of market integration and comovements. These techniques are applied using, firstly, the five Jordanian daily indices, and secondly, the weekly price indices for ten MENA (Middle East and North Africa) markets. The cointegration test between the Jordan index and every other market index is applied. Moreover, different groups of markets (GCC, Africa, and Europe) are composed and the cointegration test is applied for each group. Results suggest that the Jordanian stock market does not exhibit a long run relationship with most other markets, and there is an advantage for investors looking for diversification in the Middle East markets.

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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

Time series models have been widely used in simulating financial data sets. Finding a nice way to estimate the parameters is really important. One of the traditional ways is to use maximum likelihood estimation to make an approach. However, when the error terms don’t have normality, MLE would be less efficient. Quasi maximum likelihood estimation, also regarded as Gaussian MLE, would be more efficient. Considering the heavy-tailed financial data sets, we can use non-Gaussian quasi maximum likelihood, which needs less assumptions and conditions. We use real financial data sets to compare these estimators.

For the past forty-two years, the debate has raged over the optimal use of debt in the firm?s capital structure. Numerous studies have looked at the factors that affect a firm?s capital structure, in both the domestic and foreign markets. Many of these studies have focused their attention on the U.S. and developed countries. Similarities and differences between the U.S. and other industrialized countries have been explored and noted. The objective of this study is to determine if there are similarities between the factors that determine capital structure in emerging markets and those of more developed nations. Are the determining factors different for emerging markets and what are possible explanations for these difference? This study attempts to determine if factors that have been shown to influence the capital structure of developed nations are, in fact, influential in emerging market. The study also incorporates additional factors that may be particular to emerging markets to determine if they have an impact of the firm?s choice of capital structure. This study finds that capital structure determinants are more portable to firms in Asian markets than in Latin American markets. The study also finds that the means by which debt is measure does, in fact, have a bearing on the significance of the explanatory variables.

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This study investigates stock market anomalies in the Kuala Lumpur Stock Exchange (KLSE), Malaysia, with some comparisons with three other Far-Eastern markets, namely the Stock Exchange of Singapore (SES), the Stock Exchange of Thailand (SET) and the Stock Exchange of Hong Kong (SEHK). The main anomaly investigated is overreaction in the KLSE. Seasonality and firm size effects, which are usually associated with the overreaction effect, are also examined individually, and in the context of the overreaction effect. The impact of time-varying risk on overreaction is also investigated. First, stock market seasonality across four markets - KLSE, SES, SET and SEHK- is examined. The evidence suggests the existence of December and January effects in Singapore and Hong Kong respectively. A Chinese New Year effect is observed in all countries except Thailand. Next, stock market overreaction in the KLSE is investigated. Two portfolios of extreme stocks (based on their past 3-year excess returns) are formed, and their performance is measured in the next three years for evidence of overreaction. The initial results are consistent with overreaction; winner (loser) portfolios, which outperform (underperform) the market in the prior period, underperform (outperform) the market in the next period. The reversal in performance is more dramatic for losers. Further analyses show that risk and size factors cannot explain fully the observed phenomenon. A seasonal pattern is revealed in the excess returns of winners and losers; there is a pronounced February effect in both. Moreover, the February effect is observed to be greater for smaller firms. Lastly, a post-script chapter is included whereby the effect of the recent Asian economic turmoil on the markets, and on KLSE overreaction, is looked at. It is found that several months into the crisis, both winners and losers underperform the market.

The global strategies of the three South African retail giants are examined with a view to understand what factors motivate South African multinational enterprises to move into Africa, as well as what motivates their particular choice of countries, and how the capabilities and resources are deployed and managed in their foreign operations, so as to remain competitive in both local and foreign markets. The South African retail giant geographic expansion is a way to penetrate new markets, explore new opportunities and deliver the growth they seek on the journey to high performance. Their choice of countries is determined by various factors that contribute to the competitive nature of a country, namely: national values and cultures; macro and micro economic environment; political stability; institutions, and history. As these emerging market multinational enterprises cannot depend on countryspecific advantages, the contenders accelerate their development of firm-specific advantages at a rapid rate. South African companies have developed expertise for trading in Africa as they are more familiar with the physical, regulatory and social terrain than businesses from other parts of the world. The market, the culture and realities of infrastructure, poverty, lack of skills, as well as the technology in their non-South African operations are not a shock to the South African companies. The business strategies will, therefore, not entirely be the same as those of the multinationals from the developed world. / Dissertation (MBA)--University of Pretoria, 2010. / Gordon Institute of Business Science (GIBS) / unrestricted

The aim of this paper is to understand the roles knowledge and network play in the internationalization process of a small company in an emerging Kenyan market. The research is based on a qualitative approach using an embedded case study design where primary data was collected from Hydro Standard AB, Swedish Trade Council and two water companies in Kenya; Mombasa and Mavoko water companies. Semi-structured and in-depth interviews were used in the project. Findings from the study show that the internationalization process of Hydro Standard AB was successful and mainly driven by building of networks. The study also found out that tacit knowledge is crucial for a firm to develop itself in the Kenyan market which is very informal. Through tacit knowledge, a firm is able to gain knowledge and handle challenges concerning business culture and other unwritten rules found in the market. Further, building relationships with politicians or local branch managers can enhance a firm's performance.