Peso problem anddevaluation expectations: Evidence from Latin America

Tämän tutkielman tavoitteena on tutkia peso-ongelmaa sekä devalvaatio-odotuksia seuraavissa Latinalaisen Amerikan maissa: Argentiina, Brasilia, Costa Rica, Uruguay ja Venezuela. Lisäksi tutkitaan, onko peso-ongelmalla mahdollista selittää korkojen epäsäännöllistä käyttäytymistä ennen todellisen devalvaation tapahtumista. Jotta näiden tutkiminen olisi mahdollista, lasketaan markkinoiden odotettu devalvaation todennäköisyys tutkittavissa maissa. Odotettu devalvaation todennäköisyys lasketaan aikavälillä tammikuusta 1996 joulukuuhun 2006 käyttäen kahta erilaista mallia. Korkoero-mallin mukaan maiden välisestä korkoerosta on mahdollista laskea markkinoiden devalvaatio-odotukset. Toiseksi, Probit-mallissa käytetään useita makrotaloudellisia tekijöitä selittävinä muuttujina laskettaessa odotettua devalvaation todennäköisyyttä. Lisäksi tutkitaan, miten yksittäisten makrotaloudellisten muuttujien kehitys vaikuttaa odotettuun devalvaation todennäköisyyteen. Empiiriset tulokset osoittavat, että tutkituissa Latinalaisen Amerikan maissa oli peso-ongelma aikavälillä tammikuusta 1996 joulukuuhun 2006. Korkoero-mallin tulosten mukaan peso-ongelma löytyi kaikista muista tutkituista maista lukuun ottamatta Argentiinaa. Vastaavasti Probit-mallin mukaan peso-ongelma löytyi kaikista tutkituista maista. Tulokset osoittavat myös, että korkojen epäsäännöllinen kehitys ennen varsinaista devalvaatiota on mahdollista selittää peso-ongelmalla. Probit-mallin tulokset osoittavat lisäksi, että makrotaloudellisten muuttujien kehityksellä ei ole mitään tiettyä kaavaa liittyen siihen, kuinka ne vaikuttavat markkinoiden devalvaatio-odotuksiin Latinalaisessa Amerikassa. Pikemmin vaikutukset näyttävät olevan maakohtaisia.

Calendar anomalies in stock returns: Evidence from South America

This bachelor's thesis studies calendar anomalies in stock returns in five South American countries including Argentina, Brazil, Chile and Mexico. The analysis in done using regression analysis and the OLS- method.

Time-Varying Benefits of International Diversification for Finnish Investor: Country-Specific Strategy Concentrating on Emerging Markets

The main objective of this study is to investigate whether the Finnish investors’ country-specific strategy concentrating on emerging markets provides diversification benefits. We also analyze whether the benefits of international diversification has been diminished after periods of high volatility caused by different market crisis. The objective is investigated with three methods: Correlation coefficients, rolling correlations added with OLS trend-lines and Box’s M statistic. All the empirical tests are analyzed and calculated with logarithmic returns of weekly time series data from Friday closing values between January 1995 and December 2007. The number of weekly observations is 678. The data type is total return indices of different countries. Data is collected from DataStream and provided by Datastream Financial. Countries investigated are Finland, Argentina, Brazil, Chile, China, India, Mexico, Poland, Russia, South Africa, South Korea, Thailand and Turkey. The current data is quoted both in U.S. Dollars and local currencies. The empirical results of this thesis show that the correlation coefficients are time-varying across Finland and 12 emerging market countries. Although the correlations have risen from 1995 to 2007, there can be found sub-periods where the correlation has declined from earlier period. The results also indicate that a Finnish investor constructing a portfolio of emerging market countries cannot rely on the correlation coefficients estimated from historical data because of the instability of correlation matrices.

Interdependence of Macroeconomics Variables, Stock Market Returns and Stock Market Volatility in Latin America

This thesis examines the interdependence of macroeconomic variables, stock market returns and stock market volatility in Latin America between 2000 and 2015. Argentina, Brazil, Chile, Colombia, Mexico and Peru were chosen as the sample markets, while inflation, interest rate, exchange rate, money supply, oil and gold were chosen as the sample macroeconomic variables. Bivariate VAR (1) model was applied to examine the mean return spillovers between the variables, whereas GARCH (1, 1) – BEKK model was applied to capture the volatility spillovers. The sample was divided into two smaller sub-periods, where the first sub-period covers from 2000 to 2007, and the second sub-period covers from 2007 to 2015. The empirical results report significant shock transmissions and volatility spillovers between inflation, interest rate, exchange rate, money supply, gold, oil and the selected markets, which suggests interdependence between the variables.

Innovation and Internationalisation in Russian Companies: Challenges and Opportunities for Open Innovation and Cooperation

Increasing globalisation and intensified cross-border cooperation, together with significant technological breakthroughs, create a fascinating gap for the research of the relationship between internationalisation and innovation on national, regional and company levels in Russia. The intensified international trade between countries and regions benefited from favourable institutional conditions, and facilitated the technology transfer and the development of innovations on the national level. This study approaches the same question from the company perspective; if certain companies are more innovative than other domestic companies, will they start internationalisation more easily or get involved in cooperation with international stakeholders? When companies operate in international markets, how do they obtain knowledge? Moreover, would this new knowledge from the foreign market help then to increase innovativeness, competitiveness and develop operations in domestic/local and foreign markets? Considering the role of foreign direct investments (FDI), the research in hand tries to find out the role of companies with FDI on the other players on the home market. Do foreigners bring new technology, innovation to the country? Is there spillover effect observed and how local companies can benefit from them? This dissertation studies the internationalisation and innovation in Russian companies, both from the outward internationalisation and inward internationalisation perspectives. Russian companies developed quickly during the transition period, after the dissolution of the Soviet Union. The common background of these companies, the effects of the change of ownership, and some managerial difficulties make them more sensitive to competitions issues, and in this context, the opportunities brought by the developing innovations are seen in companies and on the governmental level.