"It is the part of a wise man to keep himself today for tomorrow, and not venture all his eggs in one basket."                     - Don Quixote (Part I, Book III, Chapter 9) by Miguel de Cervantes Saavedra [1547-1616]     This research aimed to investigate whether it is possible for investors to diversify their investment and reduce the risk of investment by investing in the selected European countries.  Stock market cointegration and international diversification is a widely accepted topic among the scholars and academics in recent years.  This current study is motivated from the significant amount of interesting studies in this field. A combination of not perfectly positively correlated instruments gives the investor an opportunity to gain from portfolio diversification.  Similarly, Investors can attain diversification benefit if one country’s stock market is not cointegrated with other country’s stock market.  Six European countries and a time frame of ten years (January, 2001 to December, 2010) have been taken into consideration for the purpose of this research.  The countries are UK, Denmark, Germany, Spain, Poland, and Czech Republic.  The time period of the study is divided into two sub period to observe the recent crisis effect on these selected countries. A quantitative approach is adopted in the research.  We used an econometric model for this research which is Johansen and Juselius multivariate cointegration approach.  The evidence from the study suggest that although cointegration exists among the selected countries in some extent, investors can still get some diversification opportunity by investing in the emerging countries (Czech Republic and Poland).  This study is unique in the sense that in our research, we wanted to fill the research gap by combining new and old EU member countries with the latest time period of study and also considered the recent crisis effect.   This study has a number of implications on portfolio managers, policy makers, and academic scholars.

本篇論文使用Correlation of Coefficient 與 Johansen cointegration test來探討股票市場與匯率市場之間的連動性。實證結果顯示股票市場與匯率市場之間有高度的相關性，特別是在西元2000年之後，全球呈現出集體的連動性。而此兩變數之間的關係亦可在不同的地區或是不同的工業化程度國家下看見不同的結果，歐體以及諸多新興市場等區域內皆呈現出股市與匯市相關係數的一致性。然而，當此研究以Johansen cointegration test來分析時，無法在此兩研究變數間發現顯著的長期關係。 / This study utilized Correlation of Coefficient as well as Johansen cointegration test to investigate the relationship between stock prices and exchange markets. The empirical results show that the two markets of study are highly correlated, especially after the year of 2000. Since then, the stock prices and exchange rates worldwide have presented one common trend, either negative correlation or positive. Different region, such as European Union or East Asian countries exclude Japan, and different level of industrialization lead to diverse relationship between exchange rates and stock prices. Put this relationship in a long-term scope, however, no distinct trend can be discerned by using Johansen cointegration test.

Philosophiae Doctor - PhD (Economics) / The main objective of this thesis was to closely examine several nancial and economic aspects of the stock markets in Sub-Saharan Africa. Thus, the objectives of this thesis were to explore the interdependence, the time-varying conditional correlation and the volatility linkages among Sub-Saharan African and developed stock markets; to investigate the relationship between - nancial liberalization and the development of stock markets; and to examine the patterns of the aggregate market liquidity and the relevance of the mainstream determinants of market liquidity in the chosen Sub-Saharan African stock markets. The study was composed of three standalone essays. The rst essay, which investigated stock price co-movements and the volatility linkages between selected Sub-Saharan African markets and the key developed markets, used the Johansen cointegration test, the VECM and the GARCH models for the sample period 2 January 2009 { 31 December 2016. The second essay, examining the e ect of nancial liberalization on the development of stock markets in Sub-Saharan Africa, employed the Bayesian VAR for the sample period 1975Q1 { 2014Q4. Lastly, the third essay, which investigated the determinants of liquidity levels in Sub-Saharan African stock markets employed the Markov Switching Vector Autoregressive model for the sample period 2 January 2009 { 31 December 2016.This study aimed at contributing to the already existing literature by focusing on analysing four key stock markets in the region, namely the Nigerian Stock Exchange, the Kenyan Securities Exchange.

This study investigates the domestic and external determinants of net capital flows to Turkey. The results of the Johansen cointegration analyses indicate that capital flows to Turkey increase in response to increases in domestic real interest rate, domestic real income growth, and budget balance / appreciation of domestic currency / and decreases in financial fragility and the US real interest rates. It can be said that, higher domestic real returns and improved country creditworthiness attract more foreign capital flows to Turkey. In addition, the decreases in world interest rates enable Turkey to enjoy higher capital flows. The findings are theory consistent and data-acceptable.

nÃo hà / A preocupaÃÃo central deste trabalho à analisar a relaÃÃo entre a arrecadaÃÃo de ICMS pelos estados nordestinos e a taxa de cambio. O ICMS à um imposto que incide sobre as importaÃÃes e estas sÃo influenciadas, em parte, por variaÃÃes na taxa de cambio, de forma que uma desvalorizaÃÃo cambial espera-se que reduza a arrecadaÃÃo de ICMS ao desincentivar as importaÃÃes. Para tanto, foi realizada uma anÃlise de longo prazo, atravÃs da abordagem de cointegraÃÃo de Johansen e uma anÃlise de curto prazo, por meio de funÃÃes impulso resposta. Dos resultados, constata-se que existe um efeito resultante de alteraÃÃes na taxa de cÃmbio sobre a arrecadaÃÃo de ICMS nordestina, como esperado no curto prazo. Entretanto, a abordagem de cointegraÃÃo nÃo identificou um relacionamento de longo prazo. / The aim of this work is analyzed the relationship between the ICMS revenue by Northeast Brazilian states and the exchange rate. The ICMS is a tax that is applied under imports and these are affect by exchange rate changes. If the Marshall-Lerner condition is accepted, a devaluation in the exchange rate reduces the imports. To investigate whether this channel is important to determine the ICMS revenue we used two methodologies: short run methodology based on impulse response function obtained from a VEC estimation; long run methodology based on Johansenâs cointegration tests. The results showed that the short run effect of exchange rate under the ICMS revenue was expected, at the period from 2002 to 2011. That is, a depreciation of the exchange rate reduces the ICMS imports. However, the long run effects could not be confirmed.

The study describes how cointegration-based techniques can be employed in order to construct profitable trading strategies that exploit mispricing events between similar securities. Particularly, the Johansen Maximum Likelihood Estimation and the Kalman filter approaches are applied to the universe of 200 most liquid ETF stocks traded on NYSE and NASDAQ. The results show that the strategies are quite sensitive to transaction costs, but are still able to maintain profitability even after accounting for a conservative level of transaction costs. While the Kalman filter produces better results on daily data, the 15-minute timeframe is dominated by portfolios constructed by the Johansen cointegration test. Both strategies achieve significantly higher risk-adjusted returns on the intraday timeframe. The study also reveals a performance decline of both strategies in the period of 2013-2015 and outlines possible interpretation of such event.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2017 / The study intends to investigate the determinants of employment in the platinum mining industry in South Africa. Employment levels decreased dramatically in the platinum mining industry in South Africa. This is due to decrease in export demand for platinum, high operating cost, labour unrest, low levels of production and other determinants of employment. The specific objective of the study is to determine the nexus between employment, output, domestic demand and export demand. Annual time series data covering the period between 1992-2013 was used. The study employed the Vector Error Correction Model approach. Johansen Cointegration test results confirmed the existence of a long run relationship amongst variables under investigation. Export demand and output are found to be positively related with employment. The speed of adjustment to equilibrium is -0.283202. Impulse response functions and variance decomposition are also generated to explain the response to shock amongst variables. The results of the study vindicate that the platinum mining industry should implement policies and strategies to increase output which will lead to higher levels of employment as well as economic growth. In addition, government should also create a conducive environment to enable the industry to expand and the industry should also intensify its export drive, these findings are envisaged to contribute significantly to the existing but limited literature on the subject under investigation. / National Research Foundation

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

The aim of this work is understand how the Exchange rate volatility affects the cearensesâs exports. Many researchers have appointed that an increase in the exchange rate volatility generate risk factors on trade. Therefore, understand the relationship between volatility and trade is fundamental to forecast better the behavior of trade under instabilities of the exchange markets, as the recent international crisis. The period of analysis is from 2002 to 2011 and the data has monthly frequency. Two methodologies are used to investigate this relationship: short run, through impulse response function, obtained from a VEC; long run, through the Johansen cointegration test. The results showed that the exchange volatility reduces the exports of CearÃ. / O objetivo deste trabalho à entender como a volatilidade da taxa de cÃmbio afeta as exportaÃÃes cearenses. Diversos autores tÃm apontado que uma volatilidade da taxa de cÃmbio mais elevada pode estar associada a fatores de risco de exportaÃÃo e importaÃÃo. Dessa forma, entender o relacionamento entre esses componentes à fundamental para aumentar o poder de previsibilidade, especialmente, em perÃodos de instabilidade econÃmica, em que a volatilidade da taxa de cÃmbio tende a ser maior. Nesse trabalho, utilizou-se de dados com frequÃncia mensal entre 2002 a 2012. Duas anÃlises foram feitas: uma de curto prazo, atravÃs da abordagem de funÃÃes impulso resposta obtidas a partir de um VEC e outra de longo prazo atravÃs do teste de cointegraÃÃo de Johansen (1991). Dos resultados encontrados, verificou-se que a volatilidade da taxa de cÃmbio tem efeito sobre as exportaÃÃes cearenses tanto no curto quanto no longo prazo. Ambos, longo e curto prazo, a volatilidade da taxa de cambio reduz o quantum exportado, indicando que tal volatilidade pode ser interpretada como risco associado as exportaÃÃes.

Thesis (M.Sc. (Agricultural Economics)) -- University of Limpopo, 2022 / Agricultural production measures the performance and efficiency of a country’s agricultural sector. The state of agricultural production can be assessed through the value of agricultural production, which is a product of agricultural gross production and output prices in monetary terms. The study examines the relationship between the value of agricultural production, government spending on agriculture, and other selected variables. Annual data for the value of agricultural production, government expenditure in agriculture, consumer price index, average annual rainfall, food import value, and population from 1983 to 2019 were collected from different sources and were used in the analysis for this study. The Johansen cointegration test was used to determine the existence of a long-run relationship between the value of agricultural production and selected variables by using both the trace and eigenvalue tests. The results indicated that there is a long run relationship among the variables. The study further used the Granger causality test to check the causality between the value of agricultural production and government expenditure in agriculture. The results show that there is no causal effect between the two variables. Lastly, the study used a Vector autoregressive (VAR) model to determine the relationship between the value of agricultural production and selected variables. The results of the VAR model indicated that government expenditure on agriculture, average annual rainfall, food import value, and population positively affect the value of agricultural production. The study also found that the consumer price index negatively affects the value of agricultural production. The study recommends that the government increase its spending on the agricultural sector, which could be in the form of research investment in technologies such as climate-smart agricultural technologies. Additionally, the study recommends that policymakers should review the monetary policy of South Africa to ensure price stability and prevent inflation. Lastly, the study recommends that the South African government should discourage imports and encourage South African agricultural producers to produce more major imported food products.