Multinational bank activities have gradually risen in developing countries since the beginning of the globalisation process. Rising foreign bank activities in developing countries have motivated researchers to investigate foreign banks, comprehensively. Turkey is a typical example of a developing country that achieved a tremendous growth rate in foreign bank asset, especially throughout the last decade. The aim of this thesis is to examine two-way linkage; (1) between foreign bank penetration (FBP) and banking variables; (2) between FBP and country risk and (3) between FBP, foreign direct investment (FDI) and foreign portfolio investment (FPI) in Turkey. Therefore, this thesis is constructed by three empirical sections. Moreover the pattern of FDI inflow and outflow in the world and in Turkey has been analysed, chronologically. In addition, the theory of FDI is taken into account and existing FDI theories has been criticised. In the first empirical work – Chapter 3 - the short run and long run relationship, if it exits, between FBP and determinants of bank performance (namely, domestic bank assets, domestic credit and banking profitability) in Turkey was investigated after controlling DGDP and 2001 financial crisis (DUM2001). The outcome of the Granger causality test indicates that there was unilateral causality which runs from DDB to DFBP . Moreover, I also found feedback causality between DFBP and DCREDIT . By employing impulse response functions, I found that there is positive relationship between DFBP and DCREDIT as I expected. Moreover, the response of DFBP to one standard deviation shock in domestic bank assets is initially statistically significant and positive. The reverse effect is statistically significant and positive. In the final model, the response of DFBP to one standard deviation shock in profitability (PRO) is significant and positive at 3rd quarter. The reverse effect is surprisingly positive but not statistically significant. Specifically, what has not been also investigated deeply in the empirical literature is the two-way linkage between foreign bank penetration and risk such as political, financial and economic. Thus, in chapter 4, linkage between FBP and country risk (namely, political risk, economic risk and financial risk) was examined in Turkey using quarterly data from 1994Q1 to 2009Q4. My finding indicated that I found one error correction term significant and positive in bivariate vector error correction in model 1 and 2, implying that in the long run, foreign bank penetration has contributed to economic and political risk. Moreover, short run causality based on VAR approach between DFBP and financial risk is investigated but I failed to find any significant causality in the VAR model after controlling DGDP and 2001 financial crisis, even at the 10% level. By analysing impulse response functions, I could not detect any significant relationship between DFBP and host country risk variables in the short run. This is because adding control variables (DGDP and DUM2001) make the relationship between host country risk variables and DFBP statistically insignificant. Finally, I investigated two-way linkage between FBP, FPI and FDI in Turkey after controlling DGDP and 2001 financial crisis. The finding from the VAR based block exogeneity wald test indicated that changes in DFBP significantly lead to changes in DFDI and there is also unilateral causality which runs from FPI to DFBP. Moreover, using the variance decomposition technique I found that DFDI and FPI have little explanatory power for the evolution of DFBP in Turkey. The contribution of DFBP to the variability of DFDI is more than that of FPI. The contribution of DFDI to FPI variability ranges between 0.000% and 9.122% throughout 12 quarter periods whilst the contribution of DFBP to FPI variability ranges between 0.000% and 7.611%.

第一章 台灣與美國股市價量關係的分量迴歸分析 摘要 本文利用分量迴歸來觀察台灣和美國股市報酬率和成交量的價量關係。實證結果發現兩地股市的價量關係截然不同。台灣股市的報酬率與成交量之間具有正向關係，呈現「價量齊揚」和「價跌量縮」的現象，而前者效果通常較顯著；但報酬率接近最大漲幅限制時，報酬率與成交量之間並無顯著關係，報酬率接近最大跌幅限制時，「價跌量縮」的現象甚至更強。相對於台灣，美國股市的報酬率與成交量則出現「價量齊揚」與「價量背離」互相對稱的 “V” 字關係。就實證方法而言，傳統以 OLS 方法估計的迴歸模型並無法得到上述的實證結果。進一步的分析顯示，融券成數的高低以及平盤以下不得放空等規定都是造成台灣股市出現「價跌量縮」的可能原因。 第二章 股市價量關係的分量迴歸分析 (二) 摘要 本章利用分量迴歸觀察包括台灣在內的亞洲新興工業國家與成熟股市的價量關係。實證結果顯示，亞洲新興工業國家和日本股市「價量齊揚」的效果較強，其中香港、南韓和新加坡呈現較弱的「價量背離」現象，因此價量之間有不對稱的 “V” 字關係；而日本股市則呈現「價跌量縮」，與第一章分析的台灣股市價量關係相似。在成熟股市的價量關係中，英國金融時報指數、美國道瓊工業指數和德國股價指數皆呈現對稱的 “V” 字關係，與美國US指數的價量關係相似。亞洲地區的國家在1997下半年到1998上半年普遍經歷了一場金融風暴，本文進一步的分析發現在這場風暴期間，亞洲地區除了台灣以外，日本、香港、南韓與新加坡都出現較強的「價量齊揚」與「價量背離」，這種現象可能肇因於投資人認為風暴期間的股價報酬率風險較高，遂使得股價報酬率對成交量的反應較為敏銳。相對而言，歐美地區的國家，受到亞洲金融風暴的影響較小，所以整體的價量關係在亞洲金融風暴期間並無重大改變。本章的結果都是透過分量迴歸所獲得。 第三章 股市價量因果關係的分量迴歸分析 摘要 本文依據分量迴歸設計 Granger 因果關係的新檢驗方法，並依此方法來檢驗幾個股市價量之間的因果關係。本文分析的股市包括日本、英國與美國等世界前三大股市，以及合稱亞洲四小龍的台灣、香港、南韓與新加坡等新興工業國家或地區的股市。實證結果顯示：除了台灣股市以外，其他的股市皆呈現 “V” 字的跨期價量關係。其中英國、美國、香港和新加坡股市的跨期價量關係大體呈現正向「價量齊揚」與負向「價量背離」互相對稱的 “V” 字關係，而日本和南韓股市則是「價量齊揚」較強的不對稱 “V” 字關係。此一結果表示這些股市的價量之間都存在分配上的 Granger (1969) 因果關係。但若以均數迴歸來衡量跨期價量關係，則所有股市都呈現不顯著的跨期價量關係，也就是傳統文獻上所謂價量之間沒有 Granger 因果關係。本文所提出的 Granger 因果關係之分量迴歸分析，可以觀察到整個條件分配中各分量的因果關係，為分配上的 Granger 因果關係提供一個較完整的檢驗方法。 / We examine the relationship between the stock return and trading volume in the Taiwan and U.S. Stock Exchanges using quantile regression. The empirical results show that the return-volume relations in these two exchanges are quite different. For Taiwan data, there are significant positive return-volume relations across quantiles, showing that a large positive return is usually accompanied with a large trading volume and a large negative return with a small trading volume, yet the effect of former is stronger. However, such relations change when returns approach the price limits. We also find that for U.S. data, return-volume relations exhibit symmetric V-shapes across quantiles, showing that a large return (in either sign) is usually accompanied with a large trading volume. On the other hand, linear regressions estimated by the ordinary least square method are unable to reveal such patterns. Further investigation shows that various restrictions on short sales in the Taiwan Stock Exchange may explain the difference between the return-volume relations in Taiwan and U.S. data.

論文摘要 為探討中國證券市場A股、H股雙重上市的情況、中國內資股對外資股價格相對較高的現象及中國政府陸續開放市場的措施，本文首先使用Engle- Granger共整合模型探討中國QFII、QDII及港股直通車等政策，對A股與H股市場的影響。研究樣本為中國A股與香港H股雙重上市的十六檔股票，研究期間自2002年起至2008年年底，採用日資料進行實證分析。研究結果發現自QDII實施後，A股與H股市場呈現顯著共整合現象，且一直延續到2008年年底；接著本文亦針對相對流動性、相對股票供給量、資訊不對稱程度與匯率變動等四項因素，探討其對個別公司A股、H股的價差影響程度，實證顯示這些因素皆對A股、H股價差有顯著的影響。H股的流動性、公司規模和港幣兌換人民幣的匯率都會對A股、H股的價差產生反向的影響，H股的供給量則會對A股、H股的價差產生正向的影響。另外，藉由2002年至2008年研究期間股價的觀察，發現在中國政策開放下，A股與H股股價亦有逐漸靠攏的趨勢，價差逐漸縮小，顯示中國的市場開放政策的確改善了原本市場區隔的現象，促進境內與境外的資金流動與市場效率，未來兩市場股價的整合應可預期。

The purpose of this bachelor thesis is to determine what type of causative relationship between FDI and GDP exists in Lithuania. The analysis includes assessment of the overall economic situation in the country, analysis of historical statistical data on FDI, overview of existing studies and regression analysis. The regression is performed in order to reveal the impact of various economic factors on GDP growth. The model in question includes such economic indicators as corruption perceptions level index, harmonized consumer price index, net export, foreign investments via liabilities and FDI. Firstly, Granger causality test is performed in order to see whether FDI Granger causes GDP. Then, after making corrections for sequences to be stationary, a regression is performed using ordinary least squares method. The results of the analysis show that there is no statistically significant impact of FDI on economic growth in Lithuania. Nevertheless, foreign investments of other type had a great influence on economic performance in the past several years. However, due to their nature economic growth could not be sustained. The reasons for FDI having no influence over the economic growth in Lithuania are seen in the fact of scarcity of the investments, country’s inability to attract foreign investors, corruption existence, and unstable taxing system. Recommendations are provided on the matter. / Darbo tikslas – nustatyti koks egzistuoja ryšys tarp tiesioginių užsienio investicijų (TUI) ir BVP augimo Lietuvoje. Darbe analizuojama dabartinė šalies ekonominė situacija, TUI statistiniai duomenys, apžvelgiama susijusi literatūra bei moksliniai straipsniai, atliekama regresinė analizė. Regresinės analizės tikslas – nustatyti kokią įtaką ekonominiam augimui daro į modelį įtraukti kintamieji. Į regresinį modelį įeina korupcijos lygio indeksas, suderintas vartotojų kainų indeksas, grynasis eksportas, kitos užsienio investicijos ir TUI. Pirmiausia atliekamas Grendžerio duomenų analizės testas, kuris nustato ar TUI gali dinamiškai paaiškinti BVP augimo tempus. Tuomet, atlikus laiko eilučių stacionarumo korekcijas, mažiausių kvadratų metodu įvertinama tiesinė regresija. Analizės rezultatai parodė, kad TUI neturi statistiškai reikšmingos įtakos ekonominiam augimui Lietuvoje. Tačiau kitos užsienio investicijos, pastaraisiais metais ekonominiam vystymuisi turėjo didelę įtaką, nors dėl jų pobūdžio, stabilus ekonomikos augimas nebuvo užtikrintas. Galima įvardinti pagrindines priežastis, dėl kurių TUI neturėjo įtakos ekonominiam augimui Lietuvoje – tai investicijų trūkumas, šalies nesugebėjimas pritraukti užsienio investuotojus, korupcija ir nestabili mokesčių sistema. Darbo pabaigoje pateikiamos rekomendacijos.

The output of the National economy of the Czech Republic is conditioned by a sum of important factors. There are sectors, which increased power during the last two decades, mainly due to expansion of modern technologies and knowledge workers. One of this is Construction. Construction is specific to its position in the economy and in particular is characterized by the greatest seasonality ever. However, this is not a problem for statistical analysis, rather a benefit. Modern approaches allow us to analyze seasonal fluctuations. From selected data we are able to construct evolutionary forecasts. The work will be performed for the most important indicators in the Czech Construction. The outcome of the paper will be conditional forecasts of these indicators. It will also make analyze of the relationship between these indicators and other variables that might affected it. The work is practical application of stochastic modeling approach by Box and Jenkins, augmented by more modern approaches, such as verification of Granger causality and co-integration and testing of seasonal unit roots by Hylleberg et al.

The aim of the thesis is to examine the relationship between the course of the business cycle and the cycle of the Hollywood film industry. In the introductory section are raised theoretical approaches to the economic cycle, which seeks to clarify the causes of decline of economic activity, and compares the different recommendations. The next section is devoted to clarify the specifics of the film industry and provides a better understanding of non-transparent processes within the industry. The analytical part tests the causal relationship between the economic situation of the individual and the Hollywood studios, based on a sample of 90 observations using the Granger causality test and VAR model. Prior to empirical testing is provided a comprehensive analysis of the industry cycles from the inception to the present and is compared to the economic activity of the country. Finally, the confirmation or refutation of dependence and the result is compared with economic theory.

In the post Bretton Woods era, the volatile nature of exchange rates has been the focus of many researchers. Although some previous studies suggest that variations in an exchange rate has the potential to affect a country’s economic performance, LDC’s (Less Developed Countries’) have received less attention compared to industrialized or developed economies. In this thesis we analyse the nature of exchange rate behaviour in three LDCs: Ghana, Mozambique and Tanzania. These countries have gone through comparable policy engagements with the IMF, have followed similar floating exchange rate regimes since early 1990s and currently all adhere to the IMF convention of free current account convertibility and transfer (Ghana and Tanzania accepted Article VIII of IMF “Articles of Agreement” in 1994. Mozambique began floating in 1992 under the SAP reforms of IMF; Article IV consultation was completed in 2009 and acceptance of Article VIII seems imminent).The main content of the thesis can be summarised as follows.I. We examine whether exchange rate behaviour in these three countries are influenced by similar factors. In order to justify the applicability of a number of volatility modelling techniques, we also examine the data to find if they exhibit the empirical regularities found in other exchange rate/financial markets such as volatility clustering, non-linearity, non-normality and asymmetry. Our results suggest that exchange rate behaviour in these countries is generally influenced by similar factors. In particular, we find that the series exhibit the empirical regularities found in other exchange rate/financial markets, justifying the application of the ARCH methodology which we use to estimate the volatility of exchange rate in these countries. We however observed that the ARCH family of models does not always produce the best fit. For instance, volatility forecasts generated by an Exponentially Weighted Moving Average (EWMA) model based on the RiskMetricsTM estimation technique produces the best fit for the daily Ghanaian exchange rate series under consideration compared to volatility forecasts from our estimated ARCH family of models.II. We explore the causal relationship between exchange rate depreciation and uncertainty/volatility using the VAR toolkit. Our main motivation for this study is to analyse whether the changes in the levels of exchange rate as a result of appreciation or depreciation in an underlying currency changes the level of exchange rate uncertainty (volatility). Further, we also analyse the reverse causal relationship; whether increasing uncertainty feeds back into the exchange rate market. We find a bi-directional Granger causal relationship between the level of exchange rate and uncertainty in the foreign exchange markets. Despite adopting similar macro-policies since the mid 1980s and early 1990s, uncertainty in the Tanzanian exchange rate as a response to changes in the level of exchange rate takes a shorter length of time to dissipate. We attribute this to the macroeconomic policies undertaken by Tanzanian policymakers which have ensured price and currency stability.The reverse causality reflects the effectiveness of the Tanzanian macro-policies and the confidence in them; we observed that intervention reduces uncertainty in the Tanzanian exchange rate, whereas for Ghana and Mozambique, macro-policies intending to mitigate undesired exchange rate changes rather create further uncertainty in their exchange rate markets. For all three LDCs under consideration, we observed that effects of shocks to exchange rate from innovations in uncertainty for each country is fleeting III. We investigate the relationship between exchange rate volatility and economic performance (via trade) for each of these countries and some of their biggest trade partners. Exchange rate volatility resulting from a depreciating underlying currency of trade can potentially affect the economic performance of a country. Using a gravity model augmented with variables that are deemed to influence earnings from trade, we observe that earnings from trade are not significantly affected by exchange rate volatility. We conjecture that in periods of uncertainty, traders increase the volume of trade to compensate for the ill effects of currency volatility.

Real estate is commonly viewed as a good diversification tool since the real estate market cycle exhibit low correlations to other asset classes. Moreover, Real Estate Investment Trusts (REITs) have become increasingly popular in the past decades since this investment form offers private investors a convenient way of diversifying stock portfolios with real estate. Some studies investigating the within-country diversification potential of REITs and stocks have been performed. These studies generally suggest poor diversification potential. Hence, we investigate the international diversification potential of REITs from Europe, Asia Pacific and the US for private investors holding European stocks from 2007 to 2019. For Europe and Asia Pacific, REIT markets with different maturity levels are included since emerging and developed REIT markets might have different characteristics affecting the diversification potential. We also examine which market leads which in terms of changes in returns. Moreover, the diversification potential of REITs may depend on the investment horizon, hence the long- and short-run perspectives for private investors are examined. The lesson learned from the Global Financial Crises and European Debt Crisis is that abnormal market conditions may change the behavior of assets on the financial markets, and significantly affect portfolio behavior. Hence, diversification potential in relation to crises is also considered. The methods employed are Johansen’s cointegration, Granger non-causality and DCC-GARCH. Our findings suggest long- and short-run diversification potential of international REITs for European stocks. Cross-regional combinations of REITs and stocks generally offer better diversification potential than within-regional combinations, and emerging REIT markets are preferred over their developed counterparts due to lower conditional correlations. Moreover, changes in stock market returns lead changes in REIT market returns, indicating that stock markets react more quickly to new information on the market. Long- and short-run diversification potential still exists during the crises although increased conditional correlations suggest higher interdependence in this period. However, there is no trend of increasing conditional correlations over the whole sample, suggesting the abnormal market conditions during the financial turmoil did not permanently change the diversification potential of REITs in stock portfolios.

股價報酬與經濟成長的關係雖有許多理論上的支持，但進行跨國比較時仍未有理論能夠分辨，因而提出三個問題進行研究，想探討的也就是常聽到的這兩句話「股市是經濟的櫥窗」、「股市是經濟的先行指標」是否成立。 　　針對所提出問題的理論基礎先做清楚的釐清，發現消費與投資是影響經濟成長的重要因素；從制度面進行新的推論，找出「財產權保護」、「內部交易」兩變數做為分類的標準；將預計實證的結果分為「健全的股市制度」與「未成熟的股市制度」兩大類陳述。本文以股價指數(SI)代表金融面、工業生產(IP)代表實質面、財產權保護與內部交易兩制度變數做為分類的依據，針對二十四個國家進行跨國比較，研究期間最早從1981年1月到2000年12月，在此採用最一般化的模型以進行跨國比較，採用 Granger Causality 之因果關係檢定，將實證結果分為【第一階段】、【第二階段】、【第三階段】依序探討。 　　雖然並無直接的證據支持預計實證的結果，但經由三階段的分析仍可發現股價報酬與經濟成長的關係強弱、領先程度應該和市場健全發展有直接關係，雖然內部交易與財產權保護兩制度變數無法捕捉健全市場的全貌，但仍扮演一定的角色。唯有股價報酬與經濟成長的關係較強，才不容易形成泡沫危機；也唯有股價報酬領先經濟成長的時間較長，才有可能從政策面著手緩和景氣循環的波動，因此提供一個健全發展的金融環境非常重要。

本篇探討在2002年起的原物料多頭浪潮至2011年3月期間，以原物料指數：高盛綜合商品指數(GSCI)、農商品指數(GSCI AG)與股市、匯市為研究對象，利用共整合檢定與向量自我迴歸(VAR)還有向量誤差修正模型(VECM)模型等實證方法，在九個國家中，探討變數間的關聯性。 實證結果顯示，在股、匯市與GSCI的模型中，美國、印度與俄國具有共整合關係；在股、匯與GSCI AG的模型中，美國、澳洲與台灣具有共整合關係。表示這幾個國家變數間存在長期穩定關係。VAR與VECM結果顯示，不管是原物料出口國或是進口國，對於各國股市的影響，皆為顯著正向影響，在Granger 因果檢定上，除了日本以外，所有國家的股市皆具有Granger領先原物料變數的關係，而原物料會Granger領先於股市的國家有日本與俄羅斯，其中俄國股市與原物料GSCI具有雙向因果關係股市也顯著領先原物料指數。在農糧物料部分，股市會Granger領先農糧指數的國家比起綜合商品指數來說大幅減少許多，僅剩中國，印度兩國。在匯率部分，除了美國因為大多商品以美金計價，使得美元貶值與商品價格上漲有著顯著的關係外，其他國家貨幣因為是對美元匯率，所以一致呈現出當原物料價格上漲該國貨幣就會升值的影響。在原物料輸出大國，加拿大與澳洲特別明顯。另外在匯市上，原物料指數對大多數國家匯市具有Granger領先關係，而其中匯市Granger領先股市的國家有台灣與韓國，表示此兩國匯市與原物料具有雙向因果關係。在農糧物料方面，農商指數對大多數國家匯市仍具有Granger領先關係，而其中匯市Granger領先股市的國家僅有俄國，表示此國匯市與原物料具有雙向因果關係。