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本文主要探討新股初次上市(櫃)前後期間的股價反應，並藉由觀察準上市(櫃)公司正式上市(櫃)前於興櫃市場交易的股價反應，來驗證興櫃市場的價發現機能。實證結果顯示，上市(櫃)申請日起至興櫃市場最後交易日止期間平均持有報酬47.01%、上市(櫃)首日異常報酬為58.37%、正式掛牌上市(櫃)第二交易日起至一年後的報酬表現，新上櫃股票報酬為14.01%普遍優於新上市的-1.23%。 興櫃市場的價格發現機能相關研究方面，興櫃市場的價格發現機能相關研究的結論為:IPO首日超額報酬在興櫃市場就已經能率先適當反應，興櫃市場是有價格發現機能的，IPO首日超額報酬存在，很有可能是因為承銷價低估。 / This research aims to investigate the performance of IPO stocks during their offering. Our sample consists of IPO announced from March 1, 2005 to February 28, 2010 drawn from the Taiwan Economic Journal. The empirical results show that (1) the return from the day applying to TWSE or OTC to the last trading day on emerging stock market is 47.01%. (2)The IPOs market adjusted return on the first trading day is 58.37%. (3) The performance of IPO stocks listed on OTC is better than stocks listed on TWSE after their offering. We also observed the stock price before listing to test price discovery function of emerging stock market. Our research show that stocks price on emerging stock market has appropriately reacted before listing. Emerging stock market has price discovery mechanism.

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Four research projects have been carried out with the objective of providing insights into some of the popular Asian investment myths and beliefs. The studies also throw some light on the efficiency of one Asian stock market. At the same time, the results reported in these research papers provide pragmatic investment guidelines for Asian emerging stock market investors. These research efforts add depth and breath (sic) to the existing emerging stock market investment literature, especially on Asian emerging stock markets. The Four Research Papers were : Research Paper I : Stock Selection Criteria During the Bull Run in the Malaysian Stock Market; Research Paper II : How Important Were Political Factors for Asian Stock Market Investors Throughout the Recent Financial Crisis?; Research Paper III : Active Equity Management versus Passive Equity Management - The Case of Malaysia from the Perspective of Foreign Investors; Research Paper IV : Stock Selection Criteria during the Bear Phase of the Malaysian Stock Market. Four popular myths/beliefs (myliefs) were selected for in-depth study with the conviction that the findings from these four studies could provide an insight into the emerging Malaysia stock market. The selection of the myliefs is mainly based on the popularity of the mylief as well as the applicability of the research results in the view of a foreigner investor / Doctor of Business Administration

[Truncated abstract] Given the theoretical and historical evidence that support the benefit of investing internationally. there is Iittle knowledge available of proper international portfolio construction in terms of how much should be invested in foreign countries, which countries should be targeted, and types of assets to be included in the portfolio. The prospects of these benefits depend on the market volatilities, cross-country correlations, and currency risks to change in the future. Another important issue in international portfolio diversification is the growth of newly emerging markets which have different characteristics from the developed ones. Addressing the issues, the thesis intends to investigate the nature of volatility, conditional correlations, and the impact of currency risks in international portfolio, both in developed and emerging markets. Chapter 2 provides literature review on volatility spillovers, conditional correlations, and forecasting both VaR and conditional correlations using GARCH-type models. Attention is made on the estimated models, type of assets, regions of markets, and tests of forecasts. Chapter 3 investigates the nature of volatility spillovers across intemational assets, which is important in determining the nature of portfolio's volatility when most assets are seems to be connected. ... The impacts of incorporating volatility spillovers and asymmetric effect on the forecast performance of conditional correlation will also be examined in this thesis. The VARMA-AGARCH of McAleer, Hoti and Chan (2008) and the VARMA-GARCH model of Ling and McAleer (2003) will be estimated to accommodate volatility spillovers and asymmetric effect. The CCC model of Bollerslev (1990) will also be estimated as benchmark as the model does not incorporate both volatility spillovers and asymmetric effects. Given the information about the nature of conditional correlations resulted from the forecasts using a rolling window technique, Section 2 of Chapter 4 investigates the nature of conditional correlations by estimating two multivariate GARCH models allowing for time-varying conditional correlations, namely the DCC model of Engle (2002) and the GARCC model of McAleer et al. (2008). Chapter 5 conducts VaR forecast considering the important role of VaR as a standard tool for risk management. Especially, the chapter investigates whether volatility spillovers and time-varying conditional correlations discussed in the previous two chapters are of helps in providing better VaR forecasts. The BEKK model of Engle and Kroner (1995) and the DCC model of Engle (2002) will be estimated to incorporate volatility spillovers and conditional correlations, respectively. The DVEC model of Bollerslev et al. (1998) and the CCC model of Bollerslev (1990) will be estimated to serve benchmarks, as both models do not incorporate both volatility spillovers and timevarying conditional correlations. Chapter 6 concludes the thesis and lists somc possible future research.

民國91年1月2日啟動交易的「興櫃市場」，提供投資者一個合法、安全及透明的未上市（櫃）股票交易市場，而依台灣證券交易所(TSEC)上市審查準則及櫃檯買中心(OTC)上櫃審查準則之規定欲申請初次申請上市（櫃）股票之公開發行公司，必先登錄興櫃股票，並掛牌交易達六個月以上，先熟悉市場交易規則及充分透明的資訊揭露，進而才有資格申請成為上市櫃公司。然興櫃市場是否具有「價格發現」機制，又影響其申請上市櫃(IPOs)股票蜜月現象因素為何，係本研究之探討重點。 本研究主要探討興櫃公司初次申請上市（櫃）(IPOs)股票蜜月現象及其影響因素，研究目的在於「暸解檢驗興櫃公司從興櫃登錄至申請上市（櫃）（IPOs）期間是否存在超額報酬，並從公司基本因素、公司於興櫃市場表現因素、公司上市（櫃）時條件因素、市場景氣與制度因素與公司治理因素等五大類，瞭解其對於IPOs蜜月現象的影響。此外，並以實際登錄興櫃公司申請上市櫃進度，從興櫃股票在登錄興櫃日、上市（櫃）送件日、上市（櫃）審議委員會通過日等三個不同時點的兩個超額報酬，相對於上市（櫃）審議委員會通過日至上市（櫃）掛牌日這段期間之超額報酬的影響。另解析個案公司SWOT分析結果，探討個案公司相對於其所面對外部環境之機會與威脅，以及公司內部環境所具備的優勢與劣勢等相關影響因素。 本研究運用複迴歸分析，得到實證結果發現興櫃申請上市(櫃)公司： 1.「登錄興櫃日至上市（櫃）送件日之超額報酬」主要與產（行）業別、興櫃交易天數、登錄興櫃日至上市（櫃）送件日之大盤漲幅、會計師事務所聲譽等因素有關。 2.「上市（櫃）送件日至審議委員會通過日之超額報酬」受到公司成立年數、興櫃交易天數、稅後EPS、登錄興櫃日至上市（櫃）送件日之大盤漲幅、上市（櫃）送件日至審議委員會通過日之大盤漲幅的影響。 3.「審議委員會通過日至上市(櫃)掛牌日收盤價之超額報酬」與產（行）業別、興櫃個股日平均成交金額、興櫃交易天數、中籤率、承銷價、登錄興櫃日至上市（櫃）送件日之大盤漲幅、上市（櫃）送件日至審議委員會通過日之大盤漲幅、審議委員會通過日至掛牌日收盤價之大盤漲幅、首五日無漲跌幅限制、會計師事務所聲譽有關。 4.「議定承銷價至上市(櫃)掛牌日收盤價之超額報酬」則是受到公司成立年數、興櫃交易天數、承銷價、稅後EPS、首五日無漲跌幅限制等變數的影響。 除上述影響因素外，個案分析興櫃申請上市櫃(IPOs)公司可發現若該公司在產業皆具有領導地位、產品當紅有競爭利基（如ＩＣ設計等）具有國際競爭力及成長潛力、掌握關鍵研發創新技術、營收或獲利不斷成長、有較高毛利率及稅後每股盈餘、部份有富爸爸資源支持及垂直整合從與外資青睞，從登錄興櫃經審議委員會到上市（櫃）掛牌皆有超額報酬現象。 / Emerging Stock Market, which was started the transaction on January 2, 2002, provides the investors a legitimate, safe and transparent stock transaction market of unlisted company. According to the listed examination criterion of TSEC and OTC, an initial public offerings (IPOs) company has to be listed and transacted on Emerging Stock Market for over than six months to be familiar with the transaction rule of market and disclose the information of the company fully transparently. Then it has the admissibility of applying to transfer to listed market. This thesis mainly explores the honeymoon effect of IPOs stock and its influence factors. The five purposes including: 1. To examine whether there is exceed return when an emerging company transferring to an IPOs company. 2. To discuss the influence to the exceed return of IPOs by the five group factors, including the company fundamental, the performance in Emerging Market, the conditions of the company at IPOs, the market situations and systems, and the company governance. 3. To discuss the influence to the exceed return of IPOs by the two time period factors between the three time points: listed day in the Emerging Market, the apply day to TSEC and OTC, and the day the application approved by Examination Committee of TSEC or OTC. 4. To give SWOT analysis (combined with five forces analysis) in the case studies to explore, of the target companies, the opportunities and threats of the external environment and the strengths and weakness of the internal environment. 5. To apply the exploration in Purpose 1, Purpose 2, and Purpose 3 to the target companies in the case studies. By using multiple regression model, we found the following results: 1. The exceed return from the listed day in Emerging Market to the apply day to TSEC or OTC is related to the industry, the days staying in Emerging Stock Market, the performance of TSEC index, and the reputations of accountant business offices. 2. The exceed return from the day applying to TSEC or OTC to the day the application approved by Examination Committee is related to the company age, the days a company staying in Emerging Stock Market, the EPS after tax, and the performance of TSEC index. 3. The exceed return from the day the application passed by Examination Committee to the closing price at listing day is related to the industry, the average amount of transaction in Emerging Stock Market, the days a company staying in Emerging Stock Market, the transaction lot size, the stock offering price, the performance of TSEC index, the 7% price limit has been cancelled under the new underwriting system in five trading days after IPO, the reputations of accountant business offices. 4. The exceed return from the IPOs price to the closing price at listing day is related to the company age, the days a company staying in Emerging Stock Market, the stock offering price, the EPS after tax, the 7% price limit has been cancelled under the new underwriting system in five trading days after IPO. Besides the above factors, we found, from the case studies, that IPO companies have the exceed return when they possess: the leadership in the industry, the international competitiveness and growth potential of their niche products, the key creative technology of R&D, the continuation growing of revenue and profit, the higher profit rate and the EPS after tax, the support of the parent group, and the foreign capital investors.

In this thesis we apply neural networks as nonparametric and nonlinear methods to the Central European stock markets returns (Czech, Polish, Hungarian and German) modelling. In the first two chapters we define prediction task and link the classical econometric analysis to neural networks. We also present optimization methods which will be used in the tests, conjugate gradient, Levenberg-Marquardt, and evolutionary search method. Further on, we present statistical methods for comparing the predictive accuracy of the non-nested models, as well as economic significance measures. In the empirical tests we first show the power of neural networks on Mackey-Glass chaotic time series followed by real-world data of the daily and weekly returns of mentioned stock exchanges for the 2000:2006 period. We find neural networks to have significantly lower prediction error than classical models for daily DAX series, weekly PX50 and BUX series. The lags of time-series were used, and also cross-country predictability has been tested, but the results were not significantly different. We also achieved economic significance of predictions with both daily and weekly PX-50, BUX and DAX with 60% accuracy of prediction. Finally we use neural network to learn Black-Scholes model and compared the pricing errors of...

The thesis analyzes macro-economic determinants and roles of financial sector development. The literature argues that the size and efficiency of both banking systems and financial markets - the two major components of a financial system - matter for economic development. In the same vein, the quality of financial institutions and regulations are instrumental in the construction of a strong financial system. We study several aspects of financial sector development in relation to three recent phenomena, namely, the rise of Islamic banking and finance, the increasing interest for emerging stock markets, and the growing remittance flows. This thesis is made up of three essays. The first essay extends the literature on the determinants of financial sector development, from the angle of culture. We show that, on average, Islamic finance favors the development of the banking sector in Muslim countries. We provide evidence that several countries have indeed been successful in launching a new, Shariah-compliant, banking system, while not harming the existing, conventional, banking sector. Our empirical analysis uses a newly-constructed original database on the size and performance of Islamic deposit banks globally over the period 2000 to 2005. The second essay focuses on stock markets, in particular, the less-studied emerging equity markets. We confirm traditional literature findings on unconditional stock returns, over a panel of 53 Major and Frontier markets. Mainly, volatility is high, big surprises happen, and return correlations with the rest of the world are low but have been rising over the last decades. In spite of large differences in market size and liquidity, Frontier market returns are qualitatively similar to Major markets', except correlations, which are lower in Frontier markets. At current correlation levels, the latter continue to bring substantial diversification benefits to international investors. The last essay examines the relationship between remittances and economic growth. It confirms that remittances are important for developing countries as they stimulate domestic investment. It then demonstrates, theoretically and empirically, that improving the access to bank deposit accounts is crucial to channel remittances to more productive uses. This is even more true when the access to international borrowing is costly. The 2008-2009 financial crisis has propelled the improvement of financial systems to the top of policymakers' agendas. Our work contributes to a better understanding of the importance of finance in economic outcomes. It also brings a novel perspective on the determinants of financial systems./ Notre thèse a pour objet l'étude des déterminants et des rôles macro-économiques des secteurs financiers dans le monde. Selon la littérature scientifique, la taille et l'efficacité des systèmes bancaires et des marchés financiers - les deux composantes principales d'un système financier - sont importantes pour le développement économique. Il apparaît également que la qualité des institutions et des régulations financières contribuent à la création d'un système financier fort. Au travers de trois essais, nous examinons plusieurs aspects du développement du secteur financier, qui sont en relation avec trois phénomènes récents; à savoir: la croissance de la finance islamique, l'intérêt grandissant pour les marchés boursiers émergents, et l'augmentation des flux de transferts de fonds des migrants. Dans le premier essai, nous nous intéressons aux facteurs culturels comme déterminants des secteurs financiers et, en particulier, au rôle de la religion musulmane. Nous montrons que, en moyenne, la finance islamique favorise le développement du secteur bancaire dans les pays musulmans. Plusieurs pays ont en effet réussi à développer un nouveau secteur bancaire compatible avec la Shariah, sans porter ombrage au secteur bancaire non islamique avec lequel il co-existe. Notre analyse empirique est fondée sur une base de données nouvelle et originale. Celle-ci a pour intérêt de fournir des indicateurs de taille et de performance des banques islamiques de dépôt dans le monde, pour la période 2000-2005. Dans le deuxième essai, nous explorons les rendements inconditionnels obtenus sur les marchés boursiers, en particulier les marchés émergents d'actions. Notre analyse d'un large panel de 53 marchés émergents "Majeurs" et "Frontières" confirme les résultats traditionnellement observés dans la littérature. Ainsi, pour l'essentiel, les deux types de marchés sont volatils et émaillés d'événements extrêmes. De plus, les rendements des marchés émergents sont faiblements corrélés avec ceux du reste du monde, même si ces corrélations ont augmenté au cours des derniers décennies. Malgré d'importantes différences en terme de taille et de liquidité, les rendements sur marchés "Frontières" sont qualitativement similaires à ceux des marchés "Majeurs", à l'exception des corrélations. Ces dernières sont en effet actuellement plus faibles dans les marchés "Frontières", qui continuent dès lors à offrir d'importants bénéfices de diversification aux investisseurs internationaux. Dans le dernier essai, nous examinons la relation entre les transferts d'argent des migrants et la croissance économique. Nous confirmons l'idée que les transferts de fonds des migrants sont importants pour les pays en voie de développement. Mais surtout, nous démontrons, de manière théorique et empirique, qu'il est crucial de faciliter dans ces pays l'accès aux comptes de dépôt bancaires, afin de transformer une plus grande part des transferts des migrants en investissements productifs. Ceci est d'autant plus vrai quand l'accès aux autres sources de capitaux internationaux est coûteux. En conclusion, la crise financière de 2008-2009 a fait de l'amélioration des systèmes financiers la priorité de nombreuses politiques économiques. Dans cette perspective, notre travail apporte une contribution à une compréhension plus fine de l'importance de la finance pour l'économie, ainsi qu'une vision novatrice des déterminants des systèmes financiers.

The thesis analyzes macro-economic determinants and roles of financial sector development.<p> The literature argues that the size and efficiency of both banking systems and financial markets - the two major components of a financial system - matter for economic development. In the same vein, the quality of financial institutions and regulations are instrumental in the construction of a strong financial system.<p> We study several aspects of financial sector development in relation to three recent phenomena, namely, the rise of Islamic banking and finance, the increasing interest for emerging stock markets, and the growing remittance flows.<p> This thesis is made up of three essays.<p> The first essay extends the literature on the determinants of financial sector development, from the angle of culture. We show that, on average, Islamic finance favors the development of the banking sector in Muslim countries. We provide evidence that several countries have indeed been successful in launching a new, Shariah-compliant, banking system, while not harming the existing, conventional, banking sector. Our empirical analysis uses a newly-constructed original database on the size and performance of Islamic deposit banks globally over the period 2000 to 2005.<p> The second essay focuses on stock markets, in particular, the less-studied emerging equity markets. We confirm traditional literature findings on unconditional stock returns, over a panel of 53 Major and Frontier markets. Mainly, volatility is high, big surprises happen, and return correlations with the rest of the world are low but have been rising over the last decades. In spite of large differences in market size and liquidity, Frontier market returns are qualitatively similar to Major markets', except correlations, which are lower in Frontier markets. At current correlation levels, the latter continue to bring substantial diversification benefits to international investors.<p> The last essay examines the relationship between remittances and economic growth. It confirms that remittances are important for developing countries as they stimulate domestic investment. It then demonstrates, theoretically and empirically, that improving the access to bank deposit accounts is crucial to channel remittances to more productive uses. This is even more true when the access to international borrowing is costly.<p> The 2008-2009 financial crisis has propelled the improvement of financial systems to the top of policymakers' agendas. Our work contributes to a better understanding of the importance of finance in economic outcomes. It also brings a novel perspective on the determinants of financial systems./<p> Notre thèse a pour objet l'étude des déterminants et des rôles macro-économiques des secteurs financiers dans le monde.<p> Selon la littérature scientifique, la taille et l'efficacité des systèmes bancaires et des marchés financiers - les deux composantes principales d'un système financier - sont importantes pour le développement économique. Il apparaît également que la qualité des institutions et des régulations financières contribuent à la création d'un système financier fort.<p> Au travers de trois essais, nous examinons plusieurs aspects du développement du secteur financier, qui sont en relation avec trois phénomènes récents; à savoir: la croissance de la finance islamique, l'intérêt grandissant pour les marchés boursiers émergents, et l'augmentation des flux de transferts de fonds des migrants.<p> Dans le premier essai, nous nous intéressons aux facteurs culturels comme déterminants des secteurs financiers et, en particulier, au rôle de la religion musulmane. Nous montrons que, en moyenne, la finance islamique favorise le développement du secteur bancaire dans les pays musulmans. Plusieurs pays ont en effet réussi à développer un nouveau secteur bancaire compatible avec la Shariah, sans porter ombrage au secteur bancaire non islamique avec lequel il co-existe. Notre analyse empirique est fondée sur une base de données nouvelle et originale. Celle-ci a pour intérêt de fournir des indicateurs de taille et de performance des banques islamiques de dépôt dans le monde, pour la période 2000-2005.<p> Dans le deuxième essai, nous explorons les rendements inconditionnels obtenus sur les marchés boursiers, en particulier les marchés émergents d'actions. Notre analyse d'un large panel de 53 marchés émergents "Majeurs" et "Frontières" confirme les résultats traditionnellement observés dans la littérature. Ainsi, pour l'essentiel, les deux types de marchés sont volatils et émaillés d'événements extrêmes. De plus, les rendements des marchés émergents sont faiblements corrélés avec ceux du reste du monde, même si ces corrélations ont augmenté au cours des derniers décennies. Malgré d'importantes différences en terme de taille et de liquidité, les rendements sur marchés "Frontières" sont qualitativement similaires à ceux des marchés "Majeurs", à l'exception des corrélations. Ces dernières sont en effet actuellement plus faibles dans les marchés "Frontières", qui continuent dès lors à offrir d'importants bénéfices de diversification aux investisseurs internationaux.<p> Dans le dernier essai, nous examinons la relation entre les transferts d'argent des migrants et la croissance économique. Nous confirmons l'idée que les transferts de fonds des migrants sont importants pour les pays en voie de développement. Mais surtout, nous démontrons, de manière théorique et empirique, qu'il est crucial de faciliter dans ces pays l'accès aux comptes de dépôt bancaires, afin de transformer une plus grande part des transferts des migrants en investissements productifs. Ceci est d'autant plus vrai quand l'accès aux autres sources de capitaux internationaux est coûteux.<p> En conclusion, la crise financière de 2008-2009 a fait de l'amélioration des systèmes financiers la priorité de nombreuses politiques économiques. Dans cette perspective, notre travail apporte une contribution à une compréhension plus fine de l'importance de la finance pour l'économie, ainsi qu'une vision novatrice des déterminants des systèmes financiers. / Doctorat en Sciences économiques et de gestion / info:eu-repo/semantics/nonPublished