This dissertation studies a special feature about the international financial market. Classical theories often assume that countries are symmetric, but realistically the international financial market is heavily US dollar dominated, which stimulates my interest to study whether …
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Neste artigo, analiso os determinantes do rendimento dos títulos soberanos a 10 anos em relação à Alemanha para um painel de 10 países da área do euro para um período entre 1999 e 2019. Além das variáveis habituais, como o vix, taxa de câmbio efetiva real, saldo orçamental esper…
The choice of selecting value or growth stocks for investment with the aim of maximising returns is referred to as “Value Investing”, and to a rational investor, selecting between these stocks are based on but not limited to, factors such as P/E, P/B and P/CF multiples. There is…
La economía chilena posee un alto grado de indexación a inflación a través de la unidad reajustable UF, dicha característica se transmite al mercado financiero a través de, por ejemplo, préstamos bancarios en moneda reajustable. Esta situación da lugar a que distintas institucio…
Nowadays, Value-at-Risk (VaR) models play a crucial role in Financial Markets, being one of the most widely risk management tools used by financial analysts, to estimate market risk. Informally, VaR is a statistic that measures the maximum possible change in value (loss) of a po…
The U.S. banking industry has experienced several technological and banking regulatory changes in the past two decades. This dissertation is composed of three papers that review and investigate how these banking and technological innovations have impacted depositors, bank provis…
This study examines the impact of corporate governance quality, ownership structure and ownership identity on the stock liquidity of public firms in the UK. The research uses a sample of 595 firms from the non-financial sector listed on the Alternative Investment Market (AIM), a…
This dissertation includes three working papers showing my research on the macroeconomic impact of uncertainty and bubbles. The first two papers look at uncertainty shocks in a dynamic stochastic general equilibrium framework, while the last one focuses on economic bubbles and c…
This study empirically examines the effect of global financial integration on the profitability, efficiency, stock premia, funding and market liquidity conditions of the South African banking industry. The thesis uses a different dataset and methodology in each respective empiri…
In the wake of raising global interconnectedness and the most recent global financial crisis, researchers, and practitioners alike show increasing interest in contagion and understanding its behaviour – measurement of observable patterns, levels of impact, variations and contrib…
This study empirically compares the performance of risk parity (RP) investment strategy with other common investment strategies, resulting either from mean variance theory (MVT) - tangent and minimum variance portfolios - or naïve investments such as the 60/40 or the homogeneous…
Researchers have identified inefficiencies in the Chinese stock market and recommended further empirical tests. The purpose of this quantitative study was to determine (a) the characteristics of assets returns in the Chinese market and (b) the impact of government’s stock market…
This dissertation comprises of three essays organized into three separate chapters on tail behavior and extreme dependence patterns, with each chapter focusing on a specific aspect of the financial markets in several East Asian countries. In chapter one, “Tail Behavior in East A…
This dissertation systematically investigate the lead-lag relations between the trading volume and stock return patterns in China A share and B share markets through two streams of behavioral postulations. In the first part, we summarize all the potential lead-lag patterns betwe…
This dissertation provides theoretical and empirical support for the mechanism of market discipline as an alternative channel complementing supervisory efforts of prudential regulation. The model introduced in the first part is based on a novel risk-return technology that summar…
The ongoing COVID-19 pandemic has shaken the global financial system and caused great turmoil. Facing unprecedented risks in the markets, people have increasing needs to find a safe haven for their investments. Given that the nature of this crisis is a combination of multiple pr…
Empirical studies have revealed that many financial asset returns are characterized by an asymmetric behavior of the volatility. Aside from asymmetry, another important stylized fact about the volatility is its long memory effect. Given that the computation of the volatility is …
Using data sets on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interactio…
This study examines the potential integration between Middle Eastern stock markets, especially Arab countries. I investigate the efficiency, diversification, correlation, and potential integration in Middle Eastern countries stock markets, in particular Egypt, Israel, Jordan, Mo…