This thesis investigates whether or not changes in a country’s government debt could affect its domestic stock market performance. The relationship is investigated by examining three different European countries, Germany, Portugal and Sweden, on the basis of two variables; (1) quarterly government debt changes as a percentage of gross domestic product and (2) the quarterly stock market changes over the time period2000:Q2 – 2011:Q2. The evidence is presented with help of Ordinary Least Square Method and Granger Causality test for each respective country. According to the Efficient Market Hypothesis, stock market prices should fully reflect all relevant information, e.g. government debt changes, as soon as they occur, without any delay, if the market is efficient. Past information should be insignificant and therefore not affect the stock market prices in an efficient market. In the cases of Sweden and Germany, the results proved to be ambiguous and thus do not allow for either rejection or acceptance of the Efficient Market Hypothesis with respect to government debt changes. However, some support was found in the case of Germany since the government debt changes and the stock market performance were instantaneously correlated. The empirical results presented in this thesis further allowed for the assumption that Portugal was not able to efficiently capture changes in the debt levels without any delay. This indicates that the Efficient Market Hypothesis can be rejected in regards for Portugal with respect to government debt changes. Furthermore, since the Portuguese stock market performance was not able to capture efficiently changes in the government debt level, it hence could possibly mislead the direction of the economy when looking into the stock prices to determine economic conditions. Moreover, the results imply that each country faces different relationships between the variables and that the relationships possibly could depend on the economic health of a country.

The dividend payout policy is a very debated topic, in this thesis the differences between Sweden and Vietnam will be examined. By examine two different countries with more or less the same landmass, but regarding economic, culture and politics they differ highly.   The purpose of this study was to determine whether there were a difference between the countries in dividend payout ratios, to see if the countries payout a high or a low dividend during the years 2005 to 2012. The second purpose was to examine if there was a significant differences in the movements in the markets. The third purpose was to examine how the two countries acted during the financial crisis, if the dividend payout ratio changed. This may tell how the policies in the two countries differ and how long term or short term the firms within the countries were planning and which kind of investors they are attracting. The data being used is collected historical data from firms with in each of the countries. The thesis follows a quantitative research method based on a deductive and an inductive approach. The research design is comparative for examination of two the countries data samples and for the purposes descriptive and explanatory studies have been done. In order to determine whether there is a relationship between the countries dividend payout ratio, the normality of the data sample have been examined, showing that the data were not normal distributed. Therefor the data were examined with a Mann- Whitney test and by a Kruskal- Wallis test.   The result indicates that there is a difference between the countries in dividend payout ratios in the case of Vietnam and Sweden under the years 2005 to 2012. Comparing countries together between the years to determine possible differences, the dividend payout ratio was insignificant in 2005 to 2008, but significant in the years 2009 to 2012. The examination of Vietnam and Sweden separately with years as factors the dividend payouts in Vietnam showed a significant difference but an insignificant result in Sweden during the year 2005 to 2008. Further, the results showed that there is a difference between the years in Sweden between 2009 to 2012 but no differences in Vietnam under the same years.

The Chinese stimulus package of 2008 was a response by the government to rebound the second largest economy from the effects of the Global Financial Crisis. The package was one of the largest, and arguably one of the most successful, in boosting demand and spurring growth through targeting infrastructure projects and consumer spending. This paper investigates whether the package had any spillover effects on the US industrial and consumption companies with large markets in China through the time series multiple regression technique. This paper found that Chinese net exports had some explanatory power over the consumption companies, and the US industrial companies were hurt by the stimulus package. The findings also suggest that there are more macroeconomic variables that have more explanatory power over the returns of the companies than the ones included in the regressions.

In recent years, investors have become more concerned about where they invest their capital and how to spread the risk among different asset types. The interest in commercial real estates has increased as this market is seen as less volatile than the stock market. Previous research for other economies has found that the commercial real estate market and the stock market do not cointegrate. Therefore it is possible to invest in both asset classes to create diversified portfolios. This thesis examines if such cointegration relationship exist on the Swedish market. Furthermore, the thesis examines the correlation and the lead-lag relationship between the two asset classes. The observed data is quarterly between the years 1994-2013 and the indices used are OMX Stockholm, sold multi-dwelling and commercial buildings, and sold manufacturers industries. To examine if there exist any cointegration between the indices the Engle-Granger 2-step method is used and the lead-lag relationship is tested by using the Granger Causality test. The results from the different tests do not show any short- or long-term relationship between the Swedish stock market and the Swedish commercial real estate market, neither do the assets show any lead-lag relationship. This means that the portfolio risk decreases and it is therefore possible for investors to diversify their portfolios with both short- and long-term time horizons.

This thesis examines the relationship between stock market returns and systematic risk factors in twelve industrial countries. Using the APT framework, the thesis investigates the notion of international stock market integration versus segmentation in terms of pricing risk, international stock market efficiency in terms of eliminating arbitrage opportunities across domestic markets, and the validity of the international version of the APT according to a model that specifies purely domestic factors. Starting with ordinary least squares estimation the thesis investigates the responses of investors in their national stock markets to systematic shocks. By employing iterative non-linear multivariate seemingly unrelated regression estimation, this work avoids the statistical problems encountered in the second-pass test of the two-stage procedure. This study found that the international stock market was neither integrated nor efficient and that the IAPT was not supported by the results during the period investigated. It was demonstrated that partial and regional integration, regional efficiency, and regional IAPT validity cannot be ruled out. Moreover, the alternative model proved to be practically valid.

This dissertation examines how the stock market reacts to announcements of introduction of co-branded new products. Despite the apparent enthusiasm of practitioners towards co-branding--the practice of using two established brand names on the same product--, there is a dearth of research on if and how co-branding can be effectively leveraged to significantly increase the value added of new products. Whether greater financial rewards accrue to the manufacturer of the co-branded product (i.e. the primary brand parent) or to the partner firm that lends its brand to the co-branded product (i.e. the secondary brand parent), and how these rewards may differ depending on the characteristics of the co-branded product itself are yet unanswered questions. Using data from the consumer packaged goods industry, I empirically examine the extent to which co-branding increases the market value of the parent firms and analyze the determinants of the magnitude of increase in market value for both firms involved in the co-branding alliance. I present empirical evidence in support of a positive stock market reaction to the introduction of co-branded new products and find that this reaction is greater, on average, than the market reaction to the introduction of single-branded new products. I also show that the consistency between the brand images of the two products, the innovativeness of the product, and the exclusivity of the co-branding relationship significantly impact the market?s reaction to the announcement of new co-branded products. Moreover, these effects manifest both in the short term (i.e., at the time of the announcement) and over a longer time window (i.e., during the year following the announcement). Furthermore, I find that not all types of co-branding partnerships are equal. Composite co-branding (where both brands bring a substantive contribution to the formulation of the new product) results in higher financial rewards to the partners compared to ingredient and endorsement partnerships. The findings provide important managerial guidelines for increasing firm value through co-branding partnerships.

Mode of access: World Wide Web. / Thesis (Ph. D.)--University of Hawaii at Manoa, 2005. / Includes bibliographical references (leaves 92-95). / Electronic reproduction. / Also available by subscription via World Wide Web / vii, 95 leaves, bound 29 cm

This study examines the frequency of extreme trading days and investment behaviour in Sweden. We show that the frequency, as well as the magnitude of extreme trading days has increased over time. We also show that the frequency of extreme trading days in a year is positively correlated to the frequency the preceding year. Furthermore, we show that aggregate cash flows into equity and bond funds are unrelated to risk measured by standard deviation of return. Our findings show that investors, individuals as well as corporations, use simple passive investment strategies and hence, do not believe in market timing or wish to risk capital on capturing far tail or black swan type returns.

This thesis examines the return volatility of Hong Kong stock market on the firm-level, industry-level, and market-level during a fifteen year sample period between 1991 and 2005. The identified patterns of stock return volatilities contribute to the understanding of an important Asian market.

Thesis (Ph. D.)--University of Hawaii at Manoa, 2005. / Includes bibliographical references (leaves 92-95).