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Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Dept Account,Finance & Econ, Griffith Business School, Stock market return predictability has long been one of the key and unsolved areas of research in finance. Although the stock market has been argued to follow a random walk, researchers have struggled to improve the accuracy of predicting stock market returns through extensively examining forecasting variables such as financial ratios, economic indicators, and behaviour factors. Pollet and Wilson (2010) have recently developed a new predicator and claimed that average correlation reveals the movement of the systematic component of the market return and it predicts the stock market returns. This thesis uses the newly developed predictor, average correlation, to predict stock market returns, both in the US and across a number of developed countries and emerging countries. Three interrelated studies are sequentially undertaken to examine the predictive power of average correlation for future stock market returns. The first study uses the average correlation of the 48 Fama-French industry portfolio returns in the US stock market to predict the US stock market returns. To juxtapose average correlation with conventional predictors, a number of forecasting variables, including term spread, default spared, dividend price ratio, the cyclically adjusted price-to-earnings ratio and investor sentiment, are incorporated in the model. The second study uses 27 non-US financial markets and extends the analysis to the relatively less explored area relating to the predictability of the international stock market returns. The average correlation of industry portfolio returns in each financial market, including more forecasting variables such as industrial production, gross domestic production and financial crisis dummies, is used to predict the stock returns of the financial markets under study. The third study further extends the analysis and uses both the US average correlation from the first study and the local average correlation from the second study as predictors for the stock m

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Dept Account,Finance & Econ, Griffith Business School, China has witnessed tremendous economic growth since the well-known economic reforms that started in 1978. One of the most crucial policies of this economic reform, the “open up” policy, made China open its economy to the world. With the implementation of the “go global” policy in 2000, and both the establishment of the Asian Infrastructure Investment Bank and the proposal of the Belt and Road Initiative in 2013, China now seems to be taking a bigger role in the global economy, and engaging more in foreign trade. China has now become the world’s largest foreign direct investment (FDI) recipient country; as well, it is one of the countries with the largest outward direct investment (ODI) in the world. The recent significant increase in China’s ODI amount has raised the awareness of scholars and policymakers alike. However, China’s ODI behavior has not been investigated to the same extent as in the literature on Chinese FDI inflows. Undertaking a comprehensive analysis to explain China’s ODI behavior is therefore important. This thesis documents four studies. The first study descriptively analyzes the characteristics and pattern of China’s ODI. The second investigates the conventional determinants of China’s ODI in both full sample and sub-samples. The third examines the impacts of corporate governance on ODI from a macro-perspective. The fourth, which shifts from a macro- to a micro-perspective, investigates how firm-level corporate governance influences FDI decisions on China’s firms. The descriptive analysis on China’s ODI delivers an overview of the China’s FDI policies, including both outward and inward FDI flows. In addition, a detailed description of the locational distributions of China’s FDI and dominant industrial sectors of FDI is provided in order to better understand the motivations of China’s ODI. To empirically investigate the determinants of China’s FDI, this research uses pooled ordinary least squares and random effects methods to estimate the models

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Sri Lanka is a developing country that is currently on the recovery path from 30 years of civil war. With the conclusion of hostilities in 2009, one of the main priorities of the Sri Lankan government has been to focus on major infrastructure improvements to boost its economic development. It has huge external debt stocks and low gross domestic savings. Sri Lanka considers attracting foreign direct investment (FDI) inflows as one of the strategies for sourcing funding for its major infrastructure projects, as it has been an important source of external financing for Sri Lanka since the introduction of the open economic policy in 1977. Therefore, understanding the role of FDI in the Sri Lankan economy is crucial for academic researchers and policy makers in the government and private sectors. A review of previous research studies on FDI in Sri Lanka clearly shows that there is a lack of knowledge relating to FDI and its effects on the Sri Lankan economy. Therefore, the main focus of the thesis is to examine the impact of FDI on the Sri Lankan economy as a whole, as well as on the individual sectors of the Sri Lankan economy.

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Dept Account,Finance & Econ, Griffith Business School, This research examines three different but related aspects of the stock market return volatility. The first study quantifies the effects of political instability and democracy on stock market return volatility. It uses a system-generalized method of moments (sys-GMM) model and a system of equations model to estimate the relationship between political risk and market volatility for a sample of 54 developing and high-income countries for the period 1995-2014. The dynamic panel data analysis using the sys-GMM model reveals that political instability causes the stock market to be volatile, yet the evidence on the effects of democracy on volatility cannot be established. This suggests that, though democracy does not affect the volatility directly, there may be some indirect effects of democracy on stock volatility. The second set of econometric estimates using the system of equations differentiates the direct and indirect impacts of democracy on stock market return volatility. This study shows that political stability has a direct impact on reducing stock market volatility, while the degree of democracy has an indirect impact on volatility, transmitted through the channels of political stability. In addition, macroeconomic uncertainty, triggered by high inflation and low economic growth, causes uncertainty in the stock market. The institutional reforms that target the reduction of uncertainty on policy-formulation in the country will contribute to stabilizing financial markets. The second study, forecasting stock market return volatility, assesses the forecasting performances of a set of statistical models on the daily data for selected Asian emerging stock markets, namely India, Malaysia, Pakistan, Singapore, Sri Lanka, and Thailand. These forecasting models, including generalized autoregressive conditional heteroskedasticity (GARCH), exponential GARCH (EGARCH), and threshold GARCH (TGARCH) models, were used to predict the volatility using out-of-sample and in-sample fo

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Dept Account,Finance & Econ, Griffith Business School, The dramatic increase in commodity prices in recent years has raised concerns for scholars, practitioners and policy makers. The significant inflows of investment to commodity futures markets in recent decades have generated much debate as to whether the financialization process has an impact on commodity prices. Further debate questions whether the process of financialization may have been influenced by globalization. These two seem independent phenomena in the global markets but they are inter-related because of the increased capital mobility around the world, and may have affected commodity prices in two ways. First, commodity prices may be determined in the context of investible assets and not purely as consumables. Second, commodity prices may be determined in the global context rather than purely in the domestic markets. Inspired by these phenomena, this research aims to explore the impact of the globalization and financialization of commodity markets, especially from an emerging market perspective. Using Chinese and Indian markets as representative samples of emerging commodity markets, this research seeks the answer to the primary question: What are the impacts of globalization and financialization of commodity futures in the emerging markets? To address this question, this research poses three sub-questions that inter alia answer its primary research question. The first sub-question, regarding the information transmission among futures/spot markets, is addressed in the first study (Chapter 4): Does information spill over among agricultural commodity spot/futures markets in China and the futures market in the US? This study helps to understand both the pricing mechanism of commodities across three markets (futures/spot in China and futures in the US) and the integration of Chinese commodity markets in particular with the global commodity markets. The findings show a bi-directional relationship between futures and spot prices in China and between futures pric

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Microfinance is recognised as one of the effective tools to alleviate poverty. Recent studies used the Vietnam Household Living Standard Survey (VHLSS) panel data showing a significant impact of microfinance on household outcomes and poverty reduction (Lensink & Pham, 2012; V. C. Nguyen, 2008; Phan, Gan, Nartea, & Cohen, 2013). However, none of those studies examined the impact of microfinance on poverty reduction using a pseudo-panel data approach. Also, none of them estimated whether participation in microfinance in previous periods had any impact on household outcomes and poverty status in the current period. The current study contributes to the literature in several ways. Firstly, a longest time frame pseudo-panel data set is constructed from the VHLSS 1992-2010, and the most comprehensive and genuine panel data set is created from the VHLSS 2002-2008. Secondly, the international poverty line and the Organisation of Economic Cooperation and Development (OECD) equivalence scale are used to measure household income and consumption. This measure makes the results of the current study easier to compare with international literature. Finally, the dynamic relationship between access to microfinance and household outcomes is examined.

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Electronic banking services have gained increased popularity around the world; however in Vietnam these services have put just their first footsteps in the beginning of 2005. Electronic banking is an alternative means of offering customers expedited and self-controlled transactions using the Internet as the medium for the transaction. Nowadays, banks use electronic banking services as a powerful “value added” channel to attract and retain new customers. This research examines the critical factors affecting customers’ trust in electronic banking in Vietnam. The analysis is carried out by answering three research questions: Does customers’ trust in electronic banking affect their intention to use electronic banking in Vietnam? What are the key factors affecting customers’ trust in using electronic banking and subsequently, their intention to use electronic banking in Vietnam? How can banks use these factors to foster customers’ trust in electronic banking? These questions often confront researchers as well as bank managers and policy makers.

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Trade liberalisation is frequently advocated as a major potential contributor to economic growth and development. Many developing countries, such as Bangladesh, Bolivia, Brazil, India, Indonesia, Ghana, Uganda, and particularly Vietnam, attained high economic growth and reduced poverty considerably. After transforming a centrally planned economy into an open market economy in 1986, Vietnam attained remarkable achievements in economic growth and the reduction of poverty. Yet the empirical literature on the relationship between trade liberalisation and poverty has been criticised primarily for its inadequate methodology and inconclusiveness (Rodriguez and Rodrik, 2001; Wacziarg and Welch, 2008; Pacheco-Lopez and Thirlwall, 2009; Singh, 2010). The persistence of poverty amongst a considerable proportion of the population in transitional or liberalised developing economies also questions the real effects of trade liberalisation on poverty. Some studies posit that the tradepoverty relationship is largely a case- and country-specific issue (McCulloch, et al., 2001; Berg and Krueger, 2003; Pacheco-Lopez and Thirlwall, 2009; Rodrik, 2010). The potential impacts of trade liberalisation on poverty are enormous and pervasive, but to a large extent, difficult to verify empirically. As cross-country studies are subject to some critical drawbacks, the focus of research has recently shifted to examining the relationship at the microeconomic level. Winters (2002) and Winters, et al. (2004) suggest four main pathways through which trade liberalisation reaches households and thereby affects poverty: economic growth, market distribution, employment, and government revenue. These main channels adequately cover the main stakeholders in a market economy and can be empirically verified.

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Since the mid-1980s, when Vietnam embarked on a transitional path to a market-oriented economic system, the country’s exchange rate regime has undergone major changes. To what extent have these changes facilitated the pursuit of the authorities’ main policy priorities? How appropriate are the current exchange rate setting arrangements, in light of domestic and international developments? These questions are of potential interest to researchers as well as to policy-makers not only in Vietnam, but also in other developing and transitional economies. Yet they are difficult to answer satisfactorily, partly because of the opaque nature of information about the Vietnamese authorities’ policy objectives and partly because of a relative scarcity of systematic and rigorous studies of these issues in the Vietnamese context. The purpose of this study is to help address this relative gap in the literature and to provide a better understanding of Vietnam’s exchange rate policy since the late 1980s and its consequences for macroeconomic performance and foreign exchange (forex) market development. In pursuing these objectives, this study employs three methods of analysis: (i) analytical review and synthesis; (ii) econometric analysis; and (iii) questionnaire survey. These different analytical techniques are applied in a complementary and integrated way to provide a broadly-based analysis of different but inter-related aspects of exchange rate policy and the forex market in Vietnam.

Full Text, Thesis (PhD Doctorate), Doctor of Philosophy (PhD), Griffith Business School, Griffith Business School, Fiji, a developing island economy in the East Asia and Pacific region, has been experiencing modest growth for some time despite its ability to do better. Various strategies to boost the growth levels, including major cross–sectoral reforms, have yielded little success. Motivated by a recent and expanding finance–growth literature, this study investigates the possibility of enhancing the country’s financial development. Further financial development appears to depend importantly on designing appropriate strategies to deal with obstacles and challenges relating to enhancing both the supply of funds to the private sector and the demand for these funds. This study provides strategies for dealing with two such likely important challenges in the case of Fiji— legal institutions and alternative finance. Prior to investigating and developing strategies in relation to these issues, the study attempts to understand the financial sector’s past development trends and its current strengths and weaknesses. This extensive analysis uses a recently available comprehensive financial structure database to assess Fiji’s situation against 20 developing and developed countries across the Asia–Pacific region over a 33–year period. Overall, it assesses Fiji’s relative banking and stock market development using relevant composite indices constructed for the purpose. Specifically, it assesses the size, activity and depth of Fiji’s sectors relative to the comparator countries. Findings suggest positive past development of the banking sector but weak development of the stock market. Further, the banking sector has become larger, deeper and more active while the stock market remains small and largely inactive. Legal institutions—encompassing the mandating of legal rights of the suppliers of funds and the appropriate enforcement of their rights—have become widely accepted in the literature as a major, possibly even the dominant, supply–leading determinant of financial development. The legal the