Simultaneous volatility transmissions and spillover effects: U.S. and Hong Kong stock and futures markets

Contemporaneous transmission effects across volatilities of the Hong Kong Stock and Index futures markets and futures volume of trade are tested by employing a structural systems approach. Competing measures of volatility spillover, constructed from the overnight U.S. S&P500 index futures, are tested and found to impact on the Hong Kong asset return volatility and volume of trade patterns. The examples utilize intra-day 15-min sampled data from this medium-sized Asia Pacific equity and derivative exchange. Both the intra- and inter-day patterns in the Hong Kong market are allowed for in the estimation process.

Bureaucratic, corporate/market and network governance : shifting spaces for gender equity in education

Education as a field of policy, research and practice has been reconfigured over four decades by economic, social and cultural globalization in conjuncture with neoliberal policies premised upon markets and new managerialism. One effect has been shifting boundaries between, and understandings of what constitutes the public and the private with regard to the role of the state vis-á-vis the formation of gendered subjectivities and civil society and the gendering of public– private relations in and between family and work. Drawing on feminist readings of Bourdieu and critical policy sociology, I consider the implications of a move from bureaucratic educational governance framed by state welfarism to corporate or market governance framed by the post-welfare state, and consider whether particular constructions of globalization and corporate/market governance lead to network governance. Network governance, it is argued, is premised on new forms of sociality and institutional reconfigurations of knowledge-based economies and a spatialized state that coordinates rather than regulates multiple public– private providers. The question is how each mode of governance frames various possibilities and problems for gender equity in education.

Healthy markets - healthy people/ : reforming health care in Cambodia

Health care reform has been described as a global epidemic. This thesis deals with nature and experience of health care reform in developing countries. Increasing privatisation, economic transition, and structural adjustment have provided the context for health system changes. Different approaches to reform have been developed by international organisations such as the World Bank, WHO and UNICEF. What has driven national health care reforms? Are such policies really appropriate to developing countries? Has a consensus now emerged in relation to international health policy? Has a new health care ‘model’ appeared? The study of health care reform in Cambodia is a timely opportunity to investigate the implementation of health care reform under extreme conditions. These conditions include a legacy of genocide, long-term conflict, political isolation, and economic transition. This case study uses both qualitative and quantitative methods and multiple sources of data to analyse the reform program. The study reinforces the conclusion that, under conditions of extreme poverty, market based reforms are likely to have limited positive impact. Rather, understanding the cultural conditions that determine demand, delivering health care of a satisfactory quality, providing appropriate incentives for health practitioners, and supporting services with adequate public funding are the prerequisites for improved service delivery and utilisation. Cambodia's strategy of integrated district health service development and universal population coverage may provide an instructive example of reform. Emerging policy issues identified by this case study include the fundamental role of equity in service provision, the influence of the social determinants of health and illness and interest in the appropriate use of evidence in international health policy-making.

The halloween effect and Japanese equity prices : myth or exploitable anomaly

Bouman and Jacobsen (American Economic Review 92(5), 1618–1635, 2002) examine monthly stock returns for major world stock markets and conclude that returns are significantly lower during the May–October periods versus the November–April periods in 36 of 37 markets examined. They argue that, in general, the Halloween strategy outperforms the buy and hold strategy thereby casting doubt on the validity of the efficient market paradigm. More recently, Maberly and Pierce (Econ Journal Watch 1(1), 29–46, 2004) re-examine the evidence for U.S. equity prices and conclude that Bouman and Jacobsen’s results are not robust to alternative model specifications. Extending prior research, this paper examines the robustness of the Halloween strategy to alternative model specifications for Japanese equity prices. The Halloween effect is concentrated in the period prior to the introduction of Nikkei 225 index futures in September 1986. After the internationalization of Japanese financial markets in the mid-1980s, the Halloween effect disappears.

Rural markets and school choice

This thesis examines how families and schools in a rural Victorian setting engage with education markets and policies of school choice. Focusing on federal funding and state conveyancing policies, the study employs policy sociology and social geographies perspectives to examine policy effects on social relations and the implications for equity.

Dividend payout policy in the Chinese equity market

Jianan Guo’s thesis focus on the dividend payout policy and its interaction with corporate governance mechanism, operating performance and asset pricing in the Chinese equity market. His thesis contributes to the empirical study and literature on the corporate finance in emerging markets.

The strategy of global branding and brand equity

This book offers a way to predict which brand a buyer will purchase. It looks at brandperformance within a product category and tests it in different countries with verydifferent cultures. Following the Predictive Brand Choice (PBC) model, this book seeks to predict a consumer’s loyalty and choice. Results have shown that PBC can achieve a high level of predictive accuracy, in excess of 70% in mature markets. This accuracy holds even in the face of price competition from a less preferred brand.PBC uses a prospective predicting method which does not have to rely on a brand’spast performance or a customer’s purchase history for prediction. Choice data isgathered in the retail setting – at the point of sale. The Strategy of Global Brandingand Brand Equity presents survey data and quantitative analyses that prove themethod described to be practical, useful and implementable for both researchers and practitioners of commercial brand strategies.

An analysis of sectoral equity and CDS spreads

In this paper, we find that CDS return shocks are important in explaining the forecast error variance of sectoral equity returns for the USA. The CDS return shocks have different effects on equity returns and return volatility in the pre-crisis and crisis periods. It is the post-Lehman crisis period in which the effects of CDS return shocks are the most dominant. Finally, we construct a spillover index and find that it is time-varying and explains a larger share of total forecast error variance of sectoral equity and CDS returns for some sectors than for others.

Corporate capital structure revisited: incomplete markets and default

After Modigliani and Miller (1958) presented their capital structure irrelevance proposition, analysis of corporate Önancing choices involving debt and equity instruments have generally followed two trends in the literature, where models either incorporate informational asymmetries or introduce tax beneÖts in order to explain optimal capital structure determination (Myers, 2002). None of these features is present in this paper, which develops an asset pricing model with the purpose of providing a positive theory of corporate capital structure by replicating main aspects of standard contractual practice observed in real markets. Alternatively, the imperfect market structure of the economy is tailored to match what is most common in corporate reality. Allowance for default on corporate debt with an associated penalty of seizure of Örmís future cash áows by creditors is introduced, for instance. In this context, a qualitative assessment of Önancial managersídecisions is carried out through numerical procedures.

The value of local partners in Brazil: the effects of ownership clusters and business group membership on firm value in emerging markets

Este estudo analisa como a classe de acionistas afeta o valor das empresas brasileiras listadas na bolsa de valores no ponto de vista da governança corporativa. O trabalho examina a interação entre o valor das empresas e cinco tipos de concentrações acionárias comumente presente em mercados emergentes: famílias, agentes públicos, investidores estrangeiros, executivos e investidores financeiros nacionais. A análise empírica demonstra que o mix e a concentração de participação acionária afeta significativamente o valor das empresas. Utilizando uma compilação única de dados em painel de 2004 a 2008, a presente pesquisa também desenvolve hipóteses sobre o efeito da participação em grupos econômicos para o valor das empresas. A investigação encontra evidências de que, apesar de sua importância para o desenvolvimento de empresas brasileiras, o capital familiar, instituições públicas, e investidores estrangeiros estão cedendo lugar a monitores mais especializados e menos concentrados, como executivos e instituições financeiras nacionais. Estes resultados indicam que a governança corporativa no Brasil pode estar alcançando níveis de maturidade mais elevados. Adicionalmente, apesar de não haver indicação da existência de correlação entre a participação em grupos econômicos e o valor das empresas, os resultados indicam que a presença de um tipo específico de acionista em uma empresa do grupo facilita investimentos futuros desta classe de acionista em outras empresas do mesmo grupo, sinalizando que os interesses acionários são provavelmente perpetuados dentro de uma mesma rede de empresas. Finalmente, a pesquisa demonstra que enquanto o capital familiar prefere investir em empresas com ativa mobilidade do capital, investidores internacionais e instituições públicas procuram investimentos em equity com menor mobilidade de capital, o que lhes garante mais transparência com relação ao uso dos recursos e fundos das empresas.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

We build a pricing kernel using only US domestic assets data and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our stochastic discount factor as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)'s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by pricing Lustig and Verdelhan (2007)’s foreign currency portfolios. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.