This study examines South African house prices with a view to determining whether the Global Financial Crisis (GFC) had an effect on those prices. The first part of this study discusses alternative investments and real estate as an investment and the risks that come with it. The…
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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…
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 …
THE PROBLEM. The purpose of this study is to investigate the impact of Turkish and U.S. investor sentiments on the Istanbul Stock Exchange (ISE) and to examine whether investor sentiment, stock returns, and volatility are related. METHOD. This study examined the impact of invest…
The first chapter examines the changes in various European currencies' exchange rates through the time period 1980 through 1997. Specifically, we are interested to determine if there is any affect to the volatility of these exchange rates and specific events related to the advan…
The purpose of this dissertation is to study the volatility in the Kuwait Stock Exchange (KSE). Three questions are investigated: Is the volatility in the KSE significant? What are the factors causing the volatility in the KSE? and Is the KSE efficient? To answer the first quest…
The empirical literature on democracy and economic performance largely focuses on the impact of democracy on mean growth using cross-country data. The first essay focuses on volatility as an outcome rather than mean growth, and forges a robust alternate link between democracy an…
This research examines the pricing behaviors of futures contract in the Korean market in its early inception period. This research is mainly organized into three parts. The first chapter investigates the mispricing of futures contract relative to its theoretical value. Consisten…
What are the main macroeconomic factors that help understand economic growth in Brazil since 1870? Are institutions (and changes in institutions) a deep cause of economic growth in Brazil? Are these effects fundamentally and systematically different? Does the intensity and the d…
This research assessed market efficiency, volatility behaviour, asset pricing, and oil price risk exposure of the oil and gas companies quoted on the London Stock Exchange with the aim of providing fresh evidence on the pricing dynamics in this sector. In market efficiency analy…
This thesis explores various aspects of long memory behaviour in African stock markets (ASMs). First, we examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The results show that these mar…
Several studies have concluded that market volatility, integration, and volatility transmission have recently increased. Most recent studies found equity markets to be interlinked. The cause for this increase is attributed to advanced communication system and information technol…
This dissertation assesses two important aspects of capital markets in East Asia: (a) financial integration and its volatility and (b) feasibility of forming an optimum currency area. The first aspect focuses on the impact of the financial regime on real activity. It examines th…
This dissertation examines the effects of financial liberalization on investment decisions of manufacturing firms in Turkey, through the channels of liquidity and uncertainty. While the former channel is analyzed in the literature on financing constraints, the latter is left out…
This dissertation investigates different but related aspects of the impact of global financial liberalization on macroeconomic changes and policy formation in a developing country. By using recent time-series econometric techniques for the Turkish case, three essays in this diss…
The objective of this dissertation is to examine different aspects of return behavior and provide an out of sample evidence from the Saudi stock market (SSM). It consists of three essays. The first essay is organized into two parts. In the first part, I investigate the relations…
Financial liberalization is one of the main reform strategies of developing economies during the globalization process. Development of the more sophisticated financial sectors by the contribution of foreign banks and investors is expected to lead to a sustainable economic growth…
This dissertation consists of three essays. In the first essay, I shed light on the effect of exchange rate volatility on trade volume, using ARCH-GARCH, or autoregressive conditional heteroskedasticity-generalized (ARCH) models, to generate a measure of exchange rate volatility…
This dissertation investigates the effects of exchange rate uncertainty on Turkish trade flows by using both discrete and continuous variables. It is articulated in three chapters. Chapter one surveys the literature on the impact of exchange rate volatility on trade flows. The t…