BURA Collection:
http://bura.brunel.ac.uk/handle/2438/181
2024-03-29T05:55:17ZA study of why corporations acquire and merge: External and internal determinants of investment behaviour
http://bura.brunel.ac.uk/handle/2438/27712
Title: A study of why corporations acquire and merge: External and internal determinants of investment behaviour
Authors: Ocquaye, Nii Nortey Solomon
Abstract: From the geopolitical international landscape to the micromanagement of change, mergers and acquisitions fundamentally alter the future path of an organisation. History has provided us with countless examples of marriages made in heaven, such as the Disney-Pixar combination and divorces resulting in hell. Corporate divorces have been touted as leading to wealth destruction on a massive scale (Moeller, Schlingemann and Stulz, 2005), with the AOL-Time Warner deal most probably being the most famous to date. [...]
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2022-01-01T00:00:00ZCorrected GARCH-DCC-MIDAS models in economics and finance
http://bura.brunel.ac.uk/handle/2438/27326
Title: Corrected GARCH-DCC-MIDAS models in economics and finance
Authors: Wu, Jiaying
Abstract: The aim of this thesis is to investigate the dynamic correlation of cross-assets via multivariate
GARCH frameworks, we further examine the recent crisis shock impact on these
dynamic correlations. Moreover, our analysis discovers how macroeconomic factors in-
uence the cross-assets connectedness and also connect to the corresponding crisis. This
thesis contributes to the time-varying correlation of cross-assets in the economy and -
nance.
Firstly, we study the macro drivers of the time-varying (dynamic) connectedness between
eleven European tourism industries. We examine the dynamic co-movement of travel and
leisure markets via GJR-MGARCH-DECO speci cation. Our empirical evidence provides
new evidence of correlations' counter-cyclical behaviour such as the weak economy can
cause higher cross-country interdependence; the main factors can be characterised by
elevated uncertainty and geopolitical risk, tighter credit and liquidity conditions, and
sluggish economic and real estate activity.
Secondly, we investigate the cross-country interdependence among six countries' sustainability
benchmarks via DCC-MIDAS; in this chapter, we identify the hedging properties
and interdependence types in the short- and long-run dynamic correlation across the
business cycle. Furthermore, we study how the corresponding crisis shock in
uences the
co-movements. In addition, our study suggests that the sustainability correlation pattern's
signi cant macro- and crisis-sensitivity reveal strong countercyclical cross-country
sustainability interlinkages for the majority of index pairs and crisis periods.
In the last two chapters, we study the dynamic interdependence between nancial and
' nancialised' assets. We purpose the corrected DCC-GARCH-MIDAS setting to analyse
the short- and long-run time-varying correlation dynamics among these assets. Both
chapters' evidence provides that most cases are strong countercyclical cross-asset interlinkages
which are highly dependent on the economic environment; some cross-assets are
weak procyclical condition which is safe-haven properties. We also relate the dynamic
correlation to the macro-determinants and the corresponding crisis shocks.
Description: This thesis was submitted for the award of Doctor of Philosophy and was awarded by Brunel University London2023-01-01T00:00:00ZThe interconnectedness between financial futures markets, commodities, and the macroeconomy: Empirical evidence from a time-varying approach
http://bura.brunel.ac.uk/handle/2438/26194
Title: The interconnectedness between financial futures markets, commodities, and the macroeconomy: Empirical evidence from a time-varying approach
Authors: Almajali, Awon
Abstract: This thesis contributes to the existing literature throughout its three empirical chapters.
The first empirical chapter contributes new empirical evidence on the interconnectedness of
oil, gold, and financial futures and their spillovers across the US, Europe, and Asia. The
empirical results show a significant and changing relationship among oil, gold, and financial
futures, especially during the global financial crisis. Dynamic analysis (rolling window and
sub-samples) shows that crude oil markets become significantly more influential during the
crisis, whereas gold turns from a net giver, in the pre- and post-crisis periods, to a net receiver
during turbulent times. West Texas Intermediate and Brent provide valuable information
about return dynamics, whereas S&P500 and FTSE100 play significant roles in volatility
spillovers. Asian futures markets are strongly influenced by changes in the US and UK
oil and stock futures markets. Finally, using different permutations of Cholesky orderings
(Klobner and Wagner, 2012), confirm that the spillover index for both return and volatility
are generally overestimated when the generalized forecast error decompositions are used.
The second empirical chapter examines the connectedness, in return and volatility systems,
among futures markets and macroeconomics variables from 1997 to 2015, covering two significant
crises: the global financial crisis and the tech-bubble. We utilize a time-varying
parameter VAR model (TVP-VAR), which is based on the recently developed connectedness
approach by Diebold and Yilmaz (2014), Korobilis and Yilmaz (2018), and Koop and
Korobilis (2013). Our results show a changing level of connectedness with an average of
70.5% for return and 75.6% for volatility. We find that macroeconomic variables are the
main contributors to the overall forecast error variance, a result that holds at both return
and volatility levels. For example, non-borrowed reserves and total reserves show the highest
contributions among all other macro and finance variables. Overall, our findings are robust
to Bayesian prior choice and reflect the rapid influences of both crises, which is essential to
formulate policies that seek to achieve financial stability.
Our final empirical chapter inspects the return and volatility interconnectedness between
futures markets in the US, UK, Europe, and Asian markets (Japan and China) across different
assets (commodities, indices, and exchange rates) using the connectedness approach. The main goal of this study is to examine the level of connectedness throughout a sample
that covers the Covid-19 outbreak and vaccine rollout period. The empirical results demonstrate
substantial evidence that the return and volatility connectedness are relatively high,
mainly when the World Health Organization (WHO) categorized Covid-19 as a pandemic on
11/03/2020. Furthermore, the findings noticeably show that the spillover effects are mostly
evident from the UK and Europe to Asian markets (Japan and China) and rarely from the
US to Asian futures markets. The UK and European indices (FTSE100 and STOXX50)
and exchange rates (GBP-USD and EUR-USD) are the net transmitters to the whole return
system. In contrast, the volatility system results reveal spillover effects from GBP-USD,
EUR-USD, and considerably from S&P500 to all other markets and regions. Finally, Bai
and Perron’s (1980) test is applied to find the structural breaks and the results show three
structural break dates that cover all key dates and provide valuable information. The results
confirm that the return and volatility connectedness in the first sub-sample (the Coivd-19
period) surge to exceed 40% and 60%, respectively. More, the vaccine rollout sub-sample
period documents a significant decline in connectedness for both systems.
Description: This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University2022-01-01T00:00:00ZThree chapters on foreign direct investment in OECD countries
http://bura.brunel.ac.uk/handle/2438/25762
Title: Three chapters on foreign direct investment in OECD countries
Authors: Gokceli, Emre
Abstract: This thesis comprises of three essays dealing with the effect of FDI on the economies of the host country and the relationship between institutional quality and FDI inflows to OECD economies. Chapter 2 assesses the impact of FDI inflows on economic growth and domestic investment in a panel of OECD countries during the period of 1990-2017 by utilizing the method of fixed-effects and system GMM. The findings show that FDI inflows are positively and significantly associated with the economic growth of the host economy. When considering the origin of FDI, we find that FDI from developed countries contributes to the growth rate in the receiving economy, while FDI from developing countries shows no significant effect. Importantly, FDI does not appear to crowd in or out domestic investment. Only FDI from developed countries is associated with crowding in of domestic investment.
Chapter 3 examines the impact of inward FDI flows in three sectors -- primary, manufacturing and services -- on economic growth in a panel of OECD countries during the 1996-2017 period. We find that FDI inflows into the manufacturing and service sectors are positively and significantly associated with economic growth, with the size of the growth-promoting effect in the manufacturing sector being generally higher than that in the service sector. In contrast, we find no evidence of a growth-promoting effect of FDI in the primary sector. We also examine the effect of FDI inflows into these three sectors on the host country’s domestic investment and find evidence of a crowding-in effect of FDI flows in the manufacturing and service sectors whereas crowding-out effect has been found in the primary sector.
The main purpose of Chapter 4 is to investigate the effect of institutional quality on FDI inflows. The results reveal that institutional quality is an important factor attracting foreign direct investment (FDI) over the long term to countries with low quality of institutions. In the short term, in contrast, the relationship is not significant. Institutional quality does not play any significant role in attracting FDI to the countries with sound institutions in either long or short terms. When considering components of institutional quality, property rights have the greatest impact on FDI flows. Finally, when considering a non-linear relationship between institutional quality and FDI inflows, we find diminishing returns of institutional quality on FDI flows for the whole sample.
Description: This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University2022-01-01T00:00:00Z