Browsing by Author "Thirunavukkarasu, Arul"
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ItemThe behavior of U.S. Producer Price Index : 1913 to 2004(Southern New Hampshire University, 2006) Hamid, Shaikh A.; Dhakar, Tej S.; Thirunavukkarasu, ArulThis paper analyzes the behavior of U.S. PPI over the period January 1913 to March 2004 using monthly “all commodities index” values. The mean of monthly percentage index changes for the entire data set (0.23%) was significantly greater than zero. January, July and November had mean monthly percentage changes which were significantly greater than the mean changes of the other months over the entire period. March, May and September had mean percentage changes significantly lower than the other months. We find that there is some periodicity to all commodities index. The mean of monthly commodities index changes during the Republican presidencies (0.08%) was significantly lower than the mean changes during the Democratic presidencies (0.38%) and so were the medians. We slice the entire data into three sub-periods. We find that though the means and medians have significantly increased over the three sub-periods, the standard deviations of the means have decreased. Granger causality tests reveal that while oil prices affected the all commodities index and the finished goods index, the causal relationship is not true the other way at the 99% significance level. The findings have implications for policy makers, analysts, investors, and manufacturers. ItemEmerging market multinationals : an analysis of performance and risk characteristics(The Haworth Press, Inc., 2005) Aybar, C. Bulent; Thirunavukkarasu, ArulThis study explores the risk and performance characteristics of emerging market multinationals (EMNCs). We use a sample composed of 79 EMNCs from 15 countries located in Africa, Asia, Eastern Europe-Russia, and Latin America. Our risk and performance analyses are based on monthly share price returns collected over 1996-2003 period and annual accounting data. We find that EMNCs on average perform better than their respective country market indices, a widely used EM benchmark, S&P500 and, global market index (MSCI-World) during the period of analysis. Our sample firms on average earn 13.21% return on assets, 8.97% return on equity, and 11.96% return on invested capital. We also find that EMNC returns are highly volatile, and despite some level of diversification achieved by EMNCs, their returns remain highly sensitive to local market shocks. The cross-sectional analysis of the determinants of the performance of the EMNCs reveals that leverage and systematic risk are the most important factors, followed by size. Our analysis indicates that performance is not affected by the degree of internationalization and EMNC investments in developed markets have a positive impact on the value. Finally, our results indicate that EMNCs in less risky emerging markets enjoy higher firm value. ItemEuro pricing of crude oil : an OPEC's perspective(Middle East Economic Association and Loyola University, 2004-09) Samii, Massood; Thirunavukkarasu, Arul; Rajamanickam, MohanaIn the late 1970s and the early part of the 1980s, a debate emerged within the Long Term Strategy Committee of the Organization of Petroleum Exporting Countries (OPEC) whether to continue the pricing of crude oil in United States dollars or to shift to an alternative currency. This debate was rooted in the persistent decline in the value of the United States dollar relative to other global currencies. The choice of currencies available to price crude oil was limited for OPEC because of the inadequate liquidity of most other currencies. With the recent emergence of the euro, the issue of choice of currency for pricing crude oil has emerged once again for policy discussion. The current paper is focused on the implications of a shift in the pricing of crude oil from United States dollar to euro on OPEC members. Winners and losers are identified based on economic gains and losses. It is concluded that while such a policy would incrementally benefit OPEC en bloc, it would result in a disadvantage for the countries whose major trading partner is the United States and, therefore, would not be a Pareto optimal solution. ItemExchange rate fluctuation and firm value analysis of emerging market multinationals(Southern New Hampshire University, 2006) Thirunavukkarasu, Arul; Aybar, Bulent; White, Charles; Samii, Massood; Fellman, Philip VosThe purpose of this dissertation is to broaden the understanding of exchange rate exposure of Emerging Market Multinationals (EMNCs). It is well known that emerging markets are more risky than the developed markets therefore it was hypothesized that the exchange rate exposure of the EMNCs would be greater than the developed market multinationals (DMNCs). The findings of the thesis are as follows. Using a sample of 212 MNCs from emerging and developed markets it was found that a) More than 60% of the EMNCs and the DMNCs are significantly exposed to exchange rate fluctuations. This finding in is an improvement from the earlier studies in this area where the proportion of exposed firms was thought to be below 25%. b) Analyzing the magnitude of the exposure, EMNCs are 20% more exposed than developed market MNCs. c) On analyzing the direction of the real exchange rate exposure, EMNCs are predominantly positively exposed to the exchange rate risk, i.e., they gain in value with local currency appreciation. Since the EMNCs have significant multinational presence, it is concluded that the positive exposure is a result of presence of foreign currency debt. A direct implications of these findings for the investor community is that EMNCs are more exposed to exchange rate fluctuations than DMNCs. Further in analyzing the EMNCs as investment vehicles, attention has to be given to the level of foreign debt held by EMNCs as this can have direct implications on the firm value. (Author abstract) ItemPrice transmission between DJIA, S&P 500 Index, PPI and CPI(Southern New Hampshire University, 2006) Hamid, Shaikh A.; Thirunavukkarasu, Arul; Rajamanickam, MohanaOur previous work on month effect in the DJIA, CPI and PPI led us to hypothesize that significant negative September effect that we found for the DJIA might have been caused by changes in the CPI and PPI. This led us to explore the nature of price transmission between the three (we add S&P 500 Index as well). Using VAR analysis and Granger causality analysis we find that the DJIA had a 2-month lagged impact on the CPI in the first two periods (1926-1945 and 1946-1972), and on the PPI in the second period (1946-1972); but in none of the three periods was the DJIA significantly impacted by the PPI or the CPI. For the period 1972-2003, the CPI and PPI were significantly unaffected by the DJIA and the S&P500 Index and also the DJIA and the S&P500 were also not affected significantly by the CPI and PPI. These results follow from both the VAR analysis and Granger causality tests.