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|Title:||Essays in international finance|
|Presented at:||University of Leicester|
|Abstract:||This dissertation comprises three empirical studies on the equity and foreign exchange markets of emerging economies. The motivations for these three studies evolve around the issue of financial liberalization in emerging markets. Specifically, the first empirical study examines the impact of financial liberalization on the volatility of equity returns in the emerging markets. Building on different GARCH models, the chapter shows that volatility could decrease, increase or be unchanged post financial liberalization depending on the level of domestic institutional quality and market characteristics. The analysis shows that volatility is prone to increase (decrease) for a country with low (high) quality of institution and market characteristics. The second study investigates the Uncovered Interest Rate Parity Hypothesis (UIP) for emerging countries. Considering economies that adopt relatively open capital account and free floating exchange rate regimes, both dynamic time series and panel analysis suggest that the coefficient of interest rate differential on the UIP regression is positive and close to unity at longer horizons. The evidence is robust for different base countries (US, Germany or Japan). The third empirical study examines the hypothesis that claims that the exchange rate movements are possible to be predicted in the economies that are fundamentally unstable such as emerging economies. Employing the Vector Error Correction Model (VEC) under the bootstrap techniques proposed by Killian (1999), the findings provide for the evidence of exchange market predictability in emerging economies.|
|Rights:||Copyright © the author. All rights reserved.|
|Appears in Collections:||Theses, Dept. of Economics|
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