Comovements of Returns and Volatility in International Stock Markets: A High-Frequency Approach

This paper analyzes common factors in the continuous volatility component, co-extreme and co-jump behavior of a sample of stock market indices. In order to identify those components in stock price processes during a trading day we use high-frequency data and techniques. We show that in most of the cases one common factor is enough to describe the largest part of the international variation in the continuous part of volatility and that this factor's importance has increased over time. Furthermore, we find strong evidence for asymmetries between extremely negative and positive co-extreme close-open returns and of negative and positive co-jumps across countries..Volatility, realized volatility, high-frequency, comovements, cojumps

The evolution and dynamics of stocks on the Johannesburg Securities Exchange and their implications for equity investment management

[No subject] This thesis explores the dynamics of the Johannesburg Stock Exchange returns to understand how they impact stock prices. The introductory chapter renders a brief overview of financial markets in general and the Johannesburg Securities Exchange (JSE) in particular. The second chapter employs the fractal analysis technique, a method for estimating the Hurst exponent, to examine the JSE indices. The results suggest that the JSE is fractal in nature, implying a long-term predictability property. The results also indicate a logical system of variation of the Hurst exponent by firm size, market characteristics and sector grouping. The third chapter investigates the economic and political events that affect different market sectors and how they are implicated in the structural dynamics of the JSE. It provides some insights into the degree of sensitivity of different market sectors to positive and negative news. The findings demonstrate transient episodes of nonlinearity that can be attributed to economic events and the state of the market. Chapter 4 looks at the evolution of risk measurement and the distribution of returns on the JSE. There is evidence of fat tails and that the Student t-distribution is a better fit for the JSE returns than the Normal distribution. The Gaussian based Value-at-Risk model also proved to be an ineffective risk measurement tool under high market volatility. In Chapter 5 simulations are used to investigate how different agent interactions affect market dynamics. The results show that it is possible for traders to switch between trading strategies and this evolutionary switching of strategies is dependent on the state of the market. Chapter 6 shows the extent to which endogeneity affects price formation. To explore this relationship, the Poisson Hawkes model, which combines exogenous influences with self-excited dynamics, is employed. Evidence suggests that the level of endogeneity has been increasing rapidly over the past decade. This implies that there is an increasing influence of internal dynamics on price formation. The findings also demonstrate that market crashes are caused by endogenous dynamics and exogenous shocks merely act as catalysts. Chapter 7 presents the hybrid adaptive intelligent model for financial time series prediction. Given evidence of non-linearity, heterogeneous agents and the fractal nature of the JSE market, neural networks, fuzzy logic and fractal theory are combined, to obtain a hybrid adaptive intelligent model. The proposed system outperformed traditional models

Modelling cross-market linkages between global markets and China’s A-, B- and H-shares

One of the biggest challenges in quantifying joint risk and forming effective policies in financial management and investment strategies is to fully understand the characteristics of market associations in low and high volatility periods. Market interdependence, therefore, is a hot topic that has received interest from academics and industry experts, especially since the Asian Financial Crisis in 1997. China, being the world’s second-largest economy, has been the centre of many studies investigating stock market dependencies. While China has three major share types, namely A-, B- and H-shares, with different market players, market characteristics and operating efficiency, the number of studies on each of these share types remains conservative in comparison to the vast literature on the financial modelling of market interdependencies. Given the need for a more comprehensive understanding of the influence between these share types and other global markets, especially during market turbulences, this thesis examines the cross-market linkages between A-, B- and H-shares in China and several major emerging and advanced markets from 2002 to 2017, which is divided into two non-crisis periods and two crisis periods. This thesis assesses market integration among 17 markets, including asymmetries and leverage effect in the marginal distributions, volatility spillover and tail dependence. The thesis aims to: 1) investigate the univariate asymmetries and leverage effect in the distributional volatility of each time series and to detect volatility spillover between China and other studied markets; 2) assess the dynamic multivariate dependence between China and other studied markets; 3) evaluate the bivariate dependence structure for each of China’s markets and other studied markets using seven different copula functions; and 4) study the multivariate joint tail dependence structure of all studied markets using vine copulas. There are various findings from the thesis. Many advanced and emerging markets experienced leverage effect and asymmetries in volatility. China’s markets were much more prone to local shocks than external shocks and in many cases, there is evidence that China’s markets diverged from the global trends especially during the crisis periods. Besides, segmentation between China’s markets and the United States is clearly evident. In addition, regional dependence is stronger than intra-regional dependence. The thesis also found the existence of contagion effect between each of China’s markets and various markets in the sample in the Global Financial Crisis. Finally, heterogeneity was found for A-, B- and H-shares in various aspects, from distributional asymmetries to joint behaviour in both crisis and non-crisis periods. A novel aspect of this thesis is that it closes the gap in the literature of market linkages for A-, B- and H-shares with other global markets by assessing volatility spillover, time-varying co-movement, and tail dependence among the studied markets. This thesis provides various implications in both theoretical and empirical contexts in many areas including measuring joint risk at the tails, constructing an optimal portfolio, hedging, and managing financial exposures and contagious volatility from other markets. The thesis provides some recommendations and suggestions regarding the policies implemented in China

Food Price Volatility and Its Implications for Food Security and Policy

Agricultural Economic

The Political Economy of U.S. Military Strategy

Rapid economic growth in emerging economies since the end of the Cold War has driven debate on American ‘relative decline’; the relative diminution of US material capabilities with respect to other states. Such relative decline poses potential constraints on US power and has thus manifested itself in arguments over the economic merits of the United States’ expansive military commitments. Contributing to this literature, my thesis answers the following question: does American military strategy generate economic benefits? I argue that that there is significant evidence to suggest that US military strategy has influenced international economic relationships in ways beneficial to US national interests. Principally, my analysis shows American military strategy acts as a ‘underwriter’ for the extant international economic system. I explore two logics associated with this. Firstly, a general ‘status quo’ logic which sees military power as both a guarantor and promoter of specific structural configurations of the international political economy. And secondly, a more specific ‘utility’ logic operating on other states either bilaterally or multilaterally. This pathway assumes that US military strategy, particularly its security guarantees, may alter the utility of other states decisions in America’s favour. This thesis also shows that specific results often prove far more tentative and circumstantial than commonly articulated by scholars in the literature. Nearly all specific and ‘utility’ pathways through which the United States is hypothesized to derive economic benefit suffer from foundational generalisability issues, irrespective of methodology. This suggests that specific avenues and instances of US military strategy influencing international economic relationships are not likely to be a reliable or prudent source of future policy making. Rather, the principal political-economic influence to consider is the role US military power plays in underwriting the contemporary American centred international order, which is the prerequisite for other specific pathways to emerge.Economic and Social Research Council (ESRC

The role of institutions in mitigating the risk of push and pull factors on economic growth

It is widely acknowledge that both push (global) and pull (domestic) factors can be important in driving foreign capital flows. While both the risk from push and pull factors are able to direct or indirectly cripple economic growth, it is essential for the countries to deal and adequately manage both the push and pull factors. The main objective in this study is to analyze the role of institutional quality both political and social institutions in mitigating the potential adverse effects of push and pull factors on growth. We provide new evidence the relationship between political and social institutions, push or pull factors, and economic growth. Generally, our finding indicate that institutions quality play an important role in mitigating several components of both push and pull push factors. Good political institutional, high democracy and stable political institutions positively and significantly offsetting the negative effect of push factors global uncertainty shocks and changes of global growth rate on growth, while weak social problems assist country in alleviating potential severe of destructive global interest rate on country. The results robust using several proxies of political institutions. For pull factor, political stability assist country in reducing negative effect of inflation uncertainty, while social cohesion reduce the detriment of high debt. We confirm that improvement institutional quality both political and social institutions especially political institutions be an imperative strategy in ensuring the effectiveness of policies on mitigating the changes of changes of global factors risk shocks. The policymakers should take advantages from the findings of this research in search for strategy stability on financial and macroeconomic to boost economic growth

Malaysian bilateral trade relations and economic growth

This paper examines the structure and trends of Malaysian bilateral exports and imports and then investigates whether these bilateral exports and imports have caused Malaysian economic growth. Although the structure of Malaysia’s trade has changed quite significantly over the last three decades, the direction of Malaysia’s trade remains generally the same. Broadly, ASEAN, the EU, East Asia, the US and Japan continue to be the Malaysia’s major trading partners. The Granger causality tests have shown that it is the bilateral imports that have caused economic growth in Malaysia rather than the bilateral exports

Exchange rate misalignments in ASEAN-5 countries

The purpose of this paper is to estimate the exchange rate misalignments for Indonesia, Malaysia, Philippines, Singapore and Thailand before the currency crisis. By employing the sticky-price monetary exchange rate model in the environment of vector error-correction, the results indicate that the Indonesia rupiah, Malaysian ringgit, Philippines peso and Singapore dollar were overvalued before the currency crisis while Thai baht was undervalued on the eve of the crisis. However, they suffered modest misalignment. Therefore, little evidence of exchange misalignment is found to exist in 1997:2. In particular, Indonesia rupiah, Malaysia ringgit, Philippines peso and Singapore dollar were only overvalued about 1 to 4 percent against US dollar while the Thai baht was only 2 percent undervalued against US dollar