This paper uses a new measure of volatility based on extreme day return occurrences and examines the relative prevailing volatility among worldwide stock markets during 1997-2009. Using several global stock market indexes of countries categorized as an emerging and developed capital markets are utilized. Additionally this study investigates well known anomalies namely Monday effect and January effect. Further using correlation analysis of co movement and extent of integration highlights the opportunities for international diversification among those markets. Evidences during this time period suggest volatility is not the only phenomena of emerging capital markets. Emerging markets offer opportunities of higher returns during volatility. Cross correlation analysis depicts markets have become more integrated during this time frame; still opportunities for higher returns prevail through global portfolio diversification.

In this thesis I study the investment climate in the four rapidly growing emerging economies Brazil, Russia, India and China (BRIC). The first study, Chapter 2, uses a bivariate EGARCH methodology with time varying conditional correlation to study the global and regional integration of the BRICs and to identify the existence of diversification opportunities for international investors. The second study, Chapter 3, employs a restricted version of the model to explore the relationship between equity market returns and volatility of equity returns in the BRIC countries and global oil prices. Chapter 4 is an extension of Chapter 3, and focuses on the sustainability of Russia???s economic growth in view of its large dependence on oil income. A qualitative analysis of the oil industry in Russia, including an overview of the operations of the largest oil producing companies, government regulations, oil production and proven oil reserves, is conducted for the purpose of this study. The last study, Chapter 5, uses a panel data methodology to explore the determinants of changes in sovereign bond spreads for the BRICs as an asset class and for each of the BRIC countries individually. I conclude that the regional and global level of integration of the BRICs is relatively low, and portfolio investors can enjoy sound diversification benefits particularly by taking investment positions in the Indian and Chinese equity markets. Despite the aggressive economic growth of the BRICs and their increased oil consumption, the volatility of stock returns from the BRICs does not have a significant impact on global oil prices; however, oil prices do impact the volatility of equity returns in India and China, and particularly the level of returns and volatility of equity returns in Russia. Based on this and the qualitative analysis in Chapter 4, it is concluded that in the short to medium term Russia???s continued economic growth will depend on increased reinvestment in the oil industry and in the longer term the government should diversify its revenue sources and focus on development of other sectors within the economy. Lastly, it is concluded that sovereign risk in the BRICs is driven by different global and country-specific factors, hence risk should be observed on an individual country basis and not for the BRICs as an asset class.

Diss. Stockholm : Handelshögskolan, 2007.

<p> </p><p>The purpose of this research paper is to find how much risk is involved in investing emerging market debt. Emerging markets are becoming a hub for foreign investors either that is an equity or debt investment. The risk is the important element for investors. As for emerging markets the most important risk that investor can face is exchange rate and political risk. I used Augmented Dickey-Fuller to carry out unit roots and johansen cointegration analysis of exchange rates and political risk in emerging markets. My result shows that individual variables are integrated order one, means unit root exist. This shows that political risk tends to follow a random walk. My finding suggests that there is a long run relationship between political risk and exchange rate. As the political risk increase exchange rate also fluctuate with relation to political situation.</p><p> </p>

The foundational international business (IB) scholarship grappled with whether multinational enterprises (MNEs) are largely efficiency-enhancing or market-power inducing institutions. Contemporary scholarship, however, often associates foreign direct investment (FDI) with efficiency-enhancing properties and thus neglects the market-power interpretation of the MNE. Such an imbalance is problematic given that the theoretical and empirical justifications behind the field's embrace of the efficiency interpretation are not fully evident. Instead, both efficiency and market-power effects are seemingly present in cross-border investment activity. Based on a comprehensive sample of up to 4,361 cross-border investments materializing between 1986 and 2010, we present theoretically-grounded hypotheses with regard to when market-power effects will tend to dominate efficiency effects. We find that cross-border investments undertaken by emerging-market MNEs in both developed and emerging markets tend to involve substantial efficiency effects and minimal market-power effects when compared with the cross-border investments undertaken by developed-country MNEs in both developed and emerging markets.

Submitted by Thiago Curado (tlcurado@gmail.com) on 2015-04-27T20:26:44Z No. of bitstreams: 1 Dissertacao_Curado.pdf: 578449 bytes, checksum: dfeb58219bdc5802a75cdc91152f024c (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Bom dia Thiago, Por favor, incluir a página de agradecimento e como o trabalho é em inglês é necessário o Abstract vir antes do Resumo. Att. Suzi 3799-7876 on 2015-04-28T11:54:19Z (GMT) / Submitted by Thiago Curado (tlcurado@gmail.com) on 2015-04-28T18:12:29Z No. of bitstreams: 1 Dissertacao_Curado.pdf: 578450 bytes, checksum: 2f94ba41c57666b11eebe216d8941c44 (MD5) / Rejected by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br), reason: Thiago, Falta a folha de agradecimentos, pelo menos seu orientador é necessário agradecer. É uma página antes do abstract. Aguardo Grata. Suzi on 2015-04-28T18:55:09Z (GMT) / Submitted by Thiago Curado (tlcurado@gmail.com) on 2015-04-28T20:04:17Z No. of bitstreams: 1 Dissertacao_Curado.pdf: 579686 bytes, checksum: f41554f1122e5984524dcf04b028082b (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2015-04-29T11:55:54Z (GMT) No. of bitstreams: 1 Dissertacao_Curado.pdf: 579686 bytes, checksum: f41554f1122e5984524dcf04b028082b (MD5) / Made available in DSpace on 2015-04-29T13:29:42Z (GMT). No. of bitstreams: 1 Dissertacao_Curado.pdf: 579686 bytes, checksum: f41554f1122e5984524dcf04b028082b (MD5) Previous issue date: 2015-03-27 / There is substantial evidence that terms of trade behavior are relevant to understand both the macroeconomic dynamics and the default risk of emerging markets. Nevertheless, the literature of sovereign debt that follows Eaton and Gerzovitz (1981) and Arellano (2008) has not yet adequately explored the connections between terms of trade and default incentives. We advance in this field, introducing terms of trade volatility to the model proposed by Mendoza and Yue (2012), where the sovereign debt decisions are linked to a general equilibrium model for the domestic economy. We find that an economy that faces stochastic terms of trade innovations can produce a consumption variability that highly exceeds the output variability, which is a key stylized fact of emerging markets business cycles. Our exercises also show that default episodes are driven by sudden shifts in the terms of trade but are no necessary related with bad times. / A evidência empírica aponta que Termos de Troca é uma variável relevante tanto para dinâmica macroeconômica como para o risco de default em países emergentes. No entanto, a literatura de dívida soberana baseada nos trabalhos de Eaton e Gerzovitz (1981) e Arellano (2008) ainda não explorou de forma adequada as conecções entre a dinâmica de termos de troca e incentivos ao default. Nós contribuímos nessa área, introduzindo volatilidade de Termos de Troca no modelo proposto por Mendoza e Yue (2012), no qual as decisões de dívida soberana são vinculadas à um modelo de equilíbrio geral para a economia doméstica. Nós encontramos que uma economia exposta à volatilidade dos termos de troca consegue produzir uma variabilidade do consumo que supera significativamente a variabilidade do produto, característica que constitui um fato estilizado chave de business cycles de países emergentes. Nossos exercícios também mostram que decisões de default são geradas por mudanças bruscas nos termos de troca, mas não necessariamente estão vinculados à estados ruins da economia.

Made available in DSpace on 2010-04-20T21:00:43Z (GMT). No. of bitstreams: 3 martapenteado.pdf.jpg: 11699 bytes, checksum: 9232ff3dc532a9afde1daef98ac3b484 (MD5) martapenteado.pdf: 450658 bytes, checksum: 9cc147f1c5bd4707d13b11128587b27e (MD5) martapenteado.pdf.txt: 63539 bytes, checksum: 9cfa646fd6544835b97c815999281d1a (MD5) Previous issue date: 2007-08-15T00:00:00Z / The goal of this paper is to evaluate the validity of Taylor principle when it comes to controlling inflation in seven developing countries that use inflation targeting regimes: Brazil, Colombia, Mexico, Philippines, Poland, South Africa and Turkey. The test is based on a state-space model to determine when each country have followed the principle, then, a threshold unit root test is used to verify if the stationarity of the deviation of the expected inflation in relation to the target depends on the compliance with Taylor principle. The results show that the compliance with Taylor principle leads to the stationarity of the deviation of the expected inflation in relation to the target in all cases. Furthermore, in most of the cases the non-compliance with Taylor principle leads to a non-stationary deviation of the expected inflation. / O presente trabalho busca testar a validade da Regra de Taylor no controle da inflação em sete países emergentes que adotam o sistema de metas inflação: Brasil, Colômbia, México, Polônia, Turquia, África do Sul e Filipinas. A estimação e inferência são realizadas a partir de um modelo de estado espaço para determinar os períodos em que os países seguiram a regra. Em seguida é realizado um teste de raiz unitária com threshold para verificar se o desvio da inflação em relação a meta depende (ou não) da indicação dada pela Regra de Taylor. Os resultados obtidos indicam que em países que seguem a Regra de Taylor, o desvio da expectativa de inflação em relação a meta é estacionário, em todos os casos. Em contrapartida, na maioria dos casos em que a Regra de Taylor não é respeitada, o desvio da expectativa de inflação em relação à meta é não-estacionário.

This thesis explores the mechanics of governance within several layers of participating firms in the global value chain of the automotive industry, and how new forms of governance shape the development of the Brazilian and Chinese automotive industry. In particular, it examines how the local supply firms from Brazil and China can integrate and upgrade in the globalized automotive industry. By using the global value chain (GVC) framework, the changing inter-firm dynamics between buyer and supplier are analyzed, and their impact on the indigenous supply firms from Brazil and China examined. The results highlight the role of product architecture in defining the value chain governance approach. Through the evolution of product architecture, the lead-firms can globalize their approaches to procurement and supply chain management. Moreover, the globally harmonized products allow the lead-firm to effectively restructure the global supply base to establish a globally harmonized components supply industry by internationalizing the most capable supply firms. Oligopolies along the entire GVC are consciously created by the lead firm. The dynamics of competition between supply firms are changing, as the market for integral components with high asset-specificity are merging into one global market with oligopolistic and oligopsonistic features. While some supply firms from the emerging markets have been able to utilize their business ties with western assembly firms to upgrade within the GVC, most are under pressure to be squeezed out of the GVC through increased global competition. The thesis contributes to the field of development studies by analyzing the prospects for emerging market firms to participate and upgrade in the GVC of western lead-firms. Furthermore, it contributes to the economic theory of governance by presenting evidence of forms of influence outside the realm of supplier-buyer contracts. The thesis further extends the global value chain framework by introduction a fine-tuned approach to ‘power’ as a determinant of governance.

In a global world with an ever-changing environment, expansions of partnerships have been suggested in order to stay competitive. A fundamental goal of partnerships has shown to be value creation. Previous research has focused on value creation in partnerships mainly in developed markets. This study helps to address the gap of value creation in partnerships in emerging markets, by showing how value is created in markets characterized by a complex environment. The purpose of this study was, therefore, to explore how organizations can create value through their partnerships in emerging markets. To begin with, a literature review was conducted. Following by a case study on partnerships in emerging markets in order to explore value creation in these partnerships. Data was collected using seven semi-structured interviews at four different organizations. The researchers have in this study identified different aspects important to create value in partnerships at different stages in emerging markets. A model with three stages have been developed including: starting the partnership, throughout the duration of partnership, and shared value. Identifying and declaring these stages is in itself a contribution to academia, as well as practitioners, since these stages have not been noted in earlier literature.

This paper studies if a change in political risk has a significant impact on the stock returns of countries. Additionally, the paper assesses if this change in political risk impacts stock returns differently in emerging and developed countries. The paper conducts a risk based portfolio analysis and a linear cross-sectional regression analysis in order to find a conclusive result. The portfolio analysis, which replicates a study carried out by Diamonte, Liew, and Stevens (1996), reveals that there is a difference in the impact that change in political risk has in developed and emerging countries. The regression analysis finds that change in political risk does impact stock returns but there is no statistically significant difference in this impact between emerging and developed countries. The regression analysis also finds that the existing level of risk does not significantly affect the impact that growth in political risk has on stock returns.