Dissertations / Theses on the topic 'Market efficiency'
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Zhang, Jian. "Market efficiency test in the VIX futures market." Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1798967041&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.
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Nishi, Hirofumi. "Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market." Thesis, University of North Texas, 2016. https://digital.library.unt.edu/ark:/67531/metadc862846/.
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Since Engle and Granger formulated the concept of cointegration in 1987, the literature has extensively examined the unbiasedness of the commodity futures prices using the cointegration-based technique. Despite intense attention, many of the previous studies suffer from the contradicting empirical results. That is, the cointegration test and the stationarity test on the differential contradict each other. In marked contrast, my dissertation develops the no-arbitrage cost-of-carry model in the NYMEX light sweet crude oil futures market and tests stationarity of the spot-futures differential. It is demonstrated that the primary cause of the "cointegration paradox" is the model misspecifications resulting in omitted variable bias.
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Al-Shamali, Mansour. "Weak form efficiency and factors leading to market efficiency in the Kuwait stock market." Thesis, Loughborough University, 1989. https://dspace.lboro.ac.uk/2134/6735.
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A small stock market may be less efficient in the weak sense than a large one, because it is often less elaborately organised technically. Hence, information about stock price formation may spread only gradually through the financial community. Consequontly, stock prices may display e greeter degree of nonrandomness because traders are unable to eliminate this. The objective of the study is to test the weak form efficiency in Kuwait Stock Exchange, a segment of the Kuwait Long Term capital market. In addition, the study explores the impact of several. factors on market efficiency. In Chapter One the role of the stock market and its relationship to the economy will be discussed. The efficient market hypothesis is explored in Chapter Two. Chapter Three is devoted to surveying the empirical findings of other researchers in UK, USA and some other international markets. A number of authors have applied the efficient market hypothesis to actual stock market data, especially in the last twenty years. Some critical analyses are discussed in Chapter Four. The empirical question of the relations between market efficiency and stock valuation is explored in Chapter Five. An efficient market should price the security, so as to fully reflect the firms earning power. The uncertainty surrounding the stream of future income clouds this issue and has prompted debate among economists and financial analysts as to how the market values a given stock at any time. The characteristic of Kuwait Stock Exchange are the subject of Chapter Six. Chapter Seven presents empirical findings on the behaviour of Kuwait Stock Exchange in the context of efficient market theory. These findings will be compared with those related studies based on data from the United States and Europe. Chapter Eight will discuss the Kuwait Gulf Stock Exchange (over-the- counter market) or Al-Manakh. The 1982 crash of Al-Manakh is explored in depth in Chapter Nine and some of the important solutions will be discussed. In Chapter Ten the discussion Focusses on the three hypothesised Factors leading to market efficiency (market information, governmental rules and regulations, and market support facilities). Finally, in Chapter Eleven, general conclusions are drawn and recommendations presented with suggestions for further research.
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Söderström, Johan. "Empirical studies in market efficiency /." Stockholm : EFI, 2008. http://www.gbv.de/dms/zbw/568733436.pdf.
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Alagidede, Paul. "Market efficiency and stock return behaviour in Africa's emerging equity markets." Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8093.
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The widespread creation of stock markets in developing countries is one of the most conspicuous features of international financial development in the past three decades. The number of stock markets in Africa increased from only six before 1989 to 21 by 2004. The quest for long-term capital for development and the increasing role played by stock markets in the efficient allocation of resources made the stock market culture inevitable in most cases. 'Africa's emerging markets represent a fast growing part of the world economy, and empirical evidence suggests that they have low, even negative, correlations with the more developed financial markets. Thus inclusion of African assets in a mean-variance efficient portfolio could significantly reduce portfolio volatility and increase expected returns. In spite of these facts, little is known about Africa's markets. Although the Efficient Markets Hypothesis (EMH) has been with us for nearly five decades, and knowledge of stock return behaviour has been accumulating in emerging market economies of Asia and Latin America, Africa's markets continue to escape the attention of the research community. This thesis contributes to our knowledge of the dynamic behaviour of stock returns in Africa's biggest markets (South Africa, Egypt, Nigeria, Kenya, Tunisia and Morocco). The novelty of this study rests on applying a variety of econometric techniques and which leads to the following conclusions: Weak form efficiency is rejected for all the markets; however, this is discussed with reference to the institutional characteristics of the markets studied (i. e., capitalisation, turn over, liquidity and information and legal architecture). Seasonal patterns exist in African stock returns: however, with appropriate specification, they tend to disappear, and where they are significant, they tend to be unexploitable. We also show that Africa's markets are not well integrated, regionally, and globally. While this evidence calls for more openness to trade and policy coordination, it also implies that Africa's markets can play a role in diversifying investment risk. Finally, stock prices tend to provide a hedge to investors against rising consumer prices over a relatively long period of time.
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Paudyal, Krishna N. "Macro economic announcements and financial asset markets : tests of market efficiency." Thesis, University of Strathclyde, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.293214.
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Mohti, Wahbeeah. "Essays on frontier markets: financial integration, financial market efficiency, financial contagion." Doctoral thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/24579.
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This thesis investigates financial integration, market efficiency, and financial contagion in frontier markets in order to evaluate the potentiality of portfolio diversification. The first essay evaluates Asian frontier and emerging equity markets’ regional and global integration using Gregory and Hansen co-integration tests and detrended cross correlation analysis (DCCA). The results suggest that Asian emerging markets show some evidence of integration with both regional and global markets. From Asian frontier markets, Pakistan is the only one with evidence of integration with both benchmarks. The second essay appraises weak form efficiency of frontier markets to investigate the global correlation and long-range dependence, applying mutual information and Detrended Fluctuation Analysis (DFA). The results indicate that Slovenia is the only case where there is evidence compatible with weak form efficiency. The third essay investigates contagion from the US subprime financial crisis to frontier stock markets using Copula models to investigate dependence structures between US and frontier stock markets, before and during US subprime financial crisis. The results show that Croatia and Romania are the ones, most affected by the US subprime crisis. Subsequently, the forth essay investigates the contagion from both recent crises; US subprime financial crisis and European debt crisis to frontier stock market, applying DCCA correlation coefficients to investigate the linkage between crisis originating country stock markets (US and Greece) and those of frontier markets, to assess whether the correlation coefficients significantly increase with the crises. The results indicate that from US subprime crisis, European frontier markets are the ones most affected, followed by Middle Eastern markets. In case of European debt crisis (originated in Greece), the findings show that contagion effect is weaker in frontier markets; Ensaios sobre Mercados de Fronteira: Integração Financeira, Eficiência de Mercados, Contágio Financeiro
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Esta tese investiga a integração financeira, eficiência de mercado e contágio financeiro nos chamados “mercados de fronteira”, a fim de avaliar o respetivo potencial de diversificação internacional de carteiras. O primeiro ensaio avalia a integração regional e global dos mercados de capitais emergentes e globais Asiáticos, sendo utilizados o teste de cointegração de Gregory e Hansen e a detrended cross correlation analysis (DCCA). Os resultados sugerem que os mercados emergentes asiáticos mostram algumas evidências de integração com os mercados regional e global. Dos mercados de fronteira asiática, o Paquistão é o único com evidências de integração com os dois benchmarks. O segundo ensaio avalia a eficiência da forma fraca dos mercados de fronteira para investigar a correlação global e a dependência longa, aplicando a informação mútua e a Detrended Fluctuation Analysis (DFA). Os resultados indicam que a Eslovénia é o único caso em que há evidências compatíveis com a hipótese d eficiência na forma fraca. O terceiro ensaio investiga o contágio da crise financeira subprime dos EUA para os mercados de fronteira, sendo usados modelos Copula para investigar as estruturas de dependência entre os mercados de ações dos EUA e os mercados de fronteira, antes e durante a crise financeira dos Estados Unidos. Os resultados mostram que a Croácia e a Roménia são os mercados mais afetados pela crise do subprime dos EUA. Posteriormente, o quarto ensaio investiga o contágio de ambas as crises recentes; crise financeira subprime dos EUA e crise da dívida europeia para os mercados de fronteira, aplicando coeficientes de correlação DCCA para investigar a ligação entre os mercados de ações de países EUA e Grécia e mercados de fronteira. Os resultados indicam que, relativamente à crise do subprime nos EUA, os mercados de fronteira europeus são os mais afetados, seguidos pelos mercados do Médio Oriente. Relativamente à crise da dívida soberana (originada na Grécia), os resultados mostram que o efeito de contágio é menor nos mercados de fronteira analisados.
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Skenberg, Christian, Hoan Tran, and Henrik Venemyr. "Market efficiency? : A Good(will) test." Thesis, Jönköping University, Jönköping International Business School, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-137.
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Problem: Recent articles argue that the new accounting standard regarding abandonment of depreciation of goodwill will cause a rise in share prices. According to the Efficient Market Hypothesis, a rise in profits due to accounting changes should not cause an increase in share prices. Therefore we ask the following main question in our thesis: Do investors on the Stockholm Stock Exchange act semi-strong efficient in relation to the abandonment of linear depreciation of goodwill?
Purpose: The purpose of this study is to test the semi-strong form of market efficiency on the Stockholm Stock Exchange by studying if companies show positive abnormal returns caused by the removal of linear depreciation of goodwill.
Method: Both a qualitative and quantitative approach was used to investigate semi-strong market efficiency. We conducted an event study to measure if companies with a high degree of goodwill showed abnormal returns. To be able to see if the abnormal returns were caused by the new accounting standards, a qualitative research was made.
Conclusion: The empirical investigation indicates that investors acted semistrong efficient in relation to the abandonment of linear depreciation of goodwill.
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Konstam, Dominic. "Stock market efficiency and overreaction hypothesis." Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302917.
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Zhang, Hua, and 張華. "Investigating stock market efficiency in China." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.
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Yi, Long, and 易龍. "Product market competition and investment efficiency." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206682.
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This thesis consists of two essays on the impacts product market competition has on the real investment efficiency of firms. While the first essay looks at this question through the corporate governance angle and finds product market competition complements institutional investors in disciplining firms, the latter one studies the impacts from an information production point of view and concludes competition reduces the incentive of firms to acquire information thereby reduces investment efficiency.
Using product market competition as a proxy for external corporate governance, the first essay documents a sizeable difference between the governance impact of institutional investors on firms with strong and weak external corporate governance. Higher institutional ownership is associated with real efficiency of firms, but only when external corporate governance is strong. The real efficiency is reflected in higher investment sensitivity to investment opportunities and higher firm value. Utilizing the passing of business combination laws as a negative shock to external corporate governance, the essay identifies that firms with higher institutional ownership suffer a larger decrease in real efficiency, suggesting external corporate governance such as product market competition is critical for institutional investors in disciplining firms.
The second essay attempts to figure out the impact of product market competition from an ex ante point of view. Specifically, how does product market competition change the incentive of firms to acquire information about investment opportunities ex ante? The essay provides both a model and a series of extensive empirical tests. The model features a two-stage Bayesian game in differentiated products market competition. This essay finds that competition causes firms to acquire less information and that investment becomes more inefficient in competitive industries. Empirically investment efficiency is measured by a latent variable technique and related to competition using a Herfindahl-Hirschman index as well as more exogenous measure such as trade costs. The panel regression analysis provides strong support for the theory and shows that investment is more efficient in concentrated industries.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
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Ekdahl, Malin, and Roya Emilia Aram. "Stock Market Efficiency : A Test of the Swedish Stock Market in the Weak Form." Thesis, Linköping University, Department of Management and Economics, 2003. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-1536.
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Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk.
Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange.
Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study.
Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001.
Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.
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Henriksson, Albin. "Market efficiency and the financial crisis : A study based on the market efficiency in the Nordic countries." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104589.
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The efficient market hypothesis states that stock prices fully reflect availablei nformation and that stocks thereby always are priced correctly. Hence, it should be impossible to predict future prices in the stock market, and investors will gain no benefits from engaging themselves into historical analyzes. This is a quantitative study which aim to investigate if there is any difference in market efficiency in Nordic stock markets during and after the financial crisis of 2008. By applying various statistical methods, such as unitroot tests, autocorrelation tests and runs test on the returns from each country’s leading market index, the study tries to find evidence for or against the weak form of market efficiency. The study finds evidence both for and against weak form market efficiency but concludes that there is no distinct difference in market efficiency during and after the financial crisis.
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Khalid, Al-abdulqader. "Share valuation and stock market efficiency in the Saudi stock market." Thesis, University of Dundee, 2003. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.561297.
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Koh, Sung Soo. "The Korean stock market : structure, behaviour and test of market efficiency." Thesis, City University London, 1989. http://openaccess.city.ac.uk/8245/.
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This thesis evaluates the Korean capital market internationalisation and examines the efficiency of the Korean stock market comprehensively. For this purpose this study is concentrated onthree main areas as follows. First, this thesis evaluates the capital market liberalisation by examining the internal market mechanism and conducting geographical comparisons. The general structure of the Korean securities market and disclosure system are described, and the development of the capital market is reviewed. The liberalisation plan is examined. It is found that the internationalisation plan of the Korean capital market should be gradual and balanced with general economic conditions. Several measures are recommended to enhance the functions of the domestic capital markets. Also comparative characteristics of capital market in the Far East are described, including equity market, bond market, money market, and foreign exchange market. Second, this thesis examines the relationship between the macro economic activities and the capital market in Korea. Using the interest rate model for 14.5 years, the expected inflation is uniformly positively related to inflation. The relations between stock returns and expected inflation, and between stock returns and unexpected inflation showed negative. Thus, the common stocks in Korea are found not hedging against inflation. And real variables influence to real stock returns as fundamental determinants of equity values. However, these real stock return inflation relations are found varying over time. The results of the recent five and half years period showed positive relation or no relation between real stock return and inflation. Third, this thesis examines the efficiency of the Korean stock market at three different levels. In the weak form empirical tests, the results manifest mixed behavior across samples. But the average results by serial correlation analysis, runs analysis, and spectral analysis do not show random walk behavior. In the frequency distribution model, the average results indicate relatively fat tails. In the semi-strong form test, the valuation effects of bonus stock issue announcements are found to react to share prices in a relatively short period. Investors on average cannot get significant abnormal returns. In the strong form test, the excess returns from following the 467 recommendations made by the four Korean stockbrokers turned out to be significant before deducting transactions costs. But considering transactions costs, the abnormal gain is close to zero. In summary, the results show that the Korean stock market in its early stages did not have the ability to help investors to 'relatively correctly price' the shares. More recent evidence shows improved efficiency which is likely to continue as the capital market expands.
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Hon, Tow Siew Mark. "Aspects of market efficiency : an investigation of the UK equity market." Thesis, University of Bristol, 2001. http://hdl.handle.net/1983/d9cf9a7f-7b17-4968-96a2-09effffdc6ed.
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Koh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /." Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.
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Twomey, Paul. "Market efficiency of horse-race betting markets with applications to spread betting." Thesis, University of Sussex, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.483596.
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Ding, Haina. "Three Essays on Information Efficiency in Financial Markets and Product Market Interaction." Thesis, Toulouse 1, 2014. http://www.theses.fr/2014TOU10021/document.
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Cette thèse contient trois articles indépendants. Les deux premiers examinent le rôle informationnel des prix des actions et de son impact sur l'économie réelle. Le dernier explore la relation entre incitation gestion et de la concurrence sur le marché du produit. Dans le premier article, deux entreprises en concurrence dans un marché de produits et d'avoir la possibilité d'investir dans une technologie risquée. Une entreprise peut choisir d'investir plus tôt ou plus tard, lorsque les cours des actions révèlent la valeur de la technologie. La fuite d'informations introduit donc une option d'attente, ce qui améliore l'efficacité de production. Un leader potentiel peut néanmoins être découragés d'investir au début, quand anticiper son concurrent d'investir plus tard en réponse à de bonnes nouvelles. Je montre que l'augmentation de la concurrence des marchés de produits accroît la valeur de l'option d'attendre, mais a un effet ambigu sur la production de l'information. Il peut donc être que la concurrence intense conduit à la fuite plus de telle sorte qu'aucune entreprise investira, surtout dans un petit marché. Compte tenu d'un niveau modéré de la concurrence, le prix informatif peut améliorer les résultats de l'investissement lorsque la rentabilité de l'investissement et la taille du marché sont relativement grandes. Le deuxième article examine le Feedback effet des certifications sur les marchés financiers. Une entreprise doit décider de vérifier l'intérieur de la perspective d'un investissement potentiel ou de déléguer cette tâche à un certificateur qui révèle ses évaluations pour les étrangers. La décision d'investissement est alors prise sur la base de toutes les informations disponibles sur le marché. L'asymétrie de l'information entre l'entreprise et les prêteurs est atténuée par délégation, et donc l'entreprise bénéficie d'une baisse du coût du capital. Délégation toutefois réduit l'avantage de l'information de spéculateurs qui font moins d'efforts pour obtenir des informations. Il en résulte un effet potentiel "crowding-out" des informations. Nous montrons que l'entreprise peut préférer déléguer quand la croyance a priori sur la perspective d'investissement est relativement élevé, et de choisir en interne la production de l'information quand son propre signal est plus précis et lorsque ses actifs actuels en place génèrent un gain attendu plus élevé. Le troisième article considère un modèle de concurrence spatiale avec différenciation horizontale et verticale. Deux entreprises sont assignées à des endroits exogènes sur une ville circulaire. Les consommateurs, répartis sur le cercle, doivent payer des frais de transport pour l'achat. Anticiper un avenir incertitude dans la qualité des produits, les entreprises offrent simultanément des contrats incitatifs aux gestionnaires pour induire un niveau d'effort optimal. Je montre que la concurrence peut affecte négativement incitations, comme un coût de transport moindre atteinte pouvoir de marché local de l'entreprise et réduit bénéfice marginal d'une entreprise de production d'un produit de haute qualité, en particulier lorsque son concurrent produit également un produit de haute qualité. D'autre part, une plus grande concurrence réduit le bénéfice d'une entreprise si elle ne parvient pas à améliorer la qualité du produit. Cet effet augmente le niveau d'effort optimal, et il devient dominant si l'amélioration de la qualité est relativement importante par rapport au coût de l'effort. En outre, une forte diminution du coût du transport peut modifier la structure du marché, de sorte que l'entreprise avec des biens de meilleure qualité attire toute la demande, et donc l'effet positif de la concurrence sur l'activité de gestion devient plus importantThis dissertation contains three independent essays. The first two essays look at the informational role of stock prices and its impact on the real economy. The last one explores the relationship between managerial incentive and product market competition. In the first essay, two firms compete in a product market and have an opportunity to invest in a risky technology either early on as a leader or later once stock prices reveal the value of the technology. Information leakage thus introduces an option of waiting, which enhances production efficiency. A potential leader may nevertheless be discouraged from investing upfront, when anticipating its competitor to invest later in response to good news. I show that an increase in product market competition increases the option value of waiting but has an ambiguous effect on information production. It may thus be the case that intense competition leads to more leakage such that no firm would invest, especially so in a smaller market. Given a moderate level of competition, price informativeness may improve investment outcome when investment profitability and the market size are relatively large. The second essay examines the feedback effects of certifications in financial markets. A firm has to decide whether to monitor (or to ascertain) internally the prospect of a potential investment or to delegate this task to a certifier who reveals his evaluations to the outsiders. The investment decision is then taken based on all of the information available in the market. The information asymmetry between the firm and lenders is alleviated under delegation, and hence the firm enjoys a lower cost of capital at the financing stage. Delegation however reduces the information advantage of speculators who then make less effort to acquire information. This results in a potential information crowding-out effect. We show that the firm may prefer to delegate when the prior belief about the investment prospect is relatively high, and to choose in-house information production when its own signal is more precise and when its current assets in place generate a higher expected payoff. The third essay considers a spatial competition model with horizontal and vertical differentiation. Two firms are assigned to exogenous locations on a circular city. Consumers, distributed on the circle, need to pay a transportation cost for purchasing. Anticipating a future uncertainty in product quality, firms simultaneously offer incentive contracts to managers to induce an optimal effort level. I show that competition may adversely affects incentives, as a lower transportation cost impairs a firm's local market power and consequently reduces a firm’s marginal benefit from producing a high quality product, particularly when its competitor also produces a high quality product. On the other hand, greater competition reduces a firm's profit if it fails to improve product quality. This effect increases the optimal effort level and becomes dominant if the quality improvement is relatively large compared to the effort cost. Moreover, a large decrease in the transportation cost may change the market structure, such that the firm with better quality goods attracts all the demand, and thus the positive effect of competition on managerial effort becomes more significant
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Kampe, Cristina. "Efficiency aspects on the Polish stock market /." Aachen : Shaker, 2004. http://www.gbv.de/dms/zbw/379623196.pdf.
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Dissanaike, Gishan Romesh. "The overreaction hypothesis and stock market efficiency." Thesis, University of Cambridge, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282856.
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Timmermann, Allan. "Rational expectations, learning and stock market efficiency." Thesis, University of Cambridge, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.357750.
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Qin, Nan. "Three essays on mispricing and market efficiency." Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/49671.
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This dissertation consists of three essays. The first essay studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of indexing: the effect on efficiency of stock prices. Based on a sample of large and liquid U.S. stocks, we find that greater indexing leads to less efficient stock prices, as indicated by stronger post-earnings-announcement drift, greater deviations of stock prices from the random walk and greater return predictability from lagged order imbalances. We conjecture that reduced incentives for information acquisition and arbitrage induced by indexing are probably the main cause of the degradation in price efficiency, but we find no evidence supporting a direct impact from passive trading or any effect through liquidity.
The second essay investigates the effect of price inefficiency on idiosyncratic risk and stock returns. I finds that price inefficiency in individual stocks contributes to expected idiosyncratic volatility. If idiosyncratic risk is priced, greater price inefficiency could be associated with higher expected returns. Consistent with this hypothesis, this paper then finds a positive relation between price inefficiency and future stock returns. This return premium of price inefficiency is not explained by traditional risk factors, illiquidity, or transactions costs. It is also evidently different from the return bias related to Jensen's inequality. This paper thus provides new insights about the determinants of expected stock returns, and new supporting evidence that idiosyncratic risk is priced.
The third essay examines whether the upward return bias generated by Jensen's inequality could lead to better performance of equally-weighted (EW) indexes than value-weighted (VW) index when stock prices are not fully efficient. We find that, for a wide range of U.S. stock indexes, EW indexes deliver better four-factor adjusted returns than VW ones do even after deducting transaction costs. Consistent with our hypothesis that the outperformance of EW indexes comes from mispricing, we find that this outperformance concentrates in stocks with greater mispricing, as measured by deviation of stock prices from random walk. Findings in this essay not only imply a potentially winning investment strategy, but also provide new insight into a long-term debate on causes of the outperformance of the EW indexes.Ph. D.
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Pilstl, Michaela. "Lifestyle market segmentation - efficiency and ethical issues." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73795.
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Lifestyle market segmentation can be very supportive for a successful marketing strategy of a company. However it is not clear whether lifestyle market segmentation is efficient and ethical or not. Several market segmentation concepts such as Cross-Cultural Consumer Characterization, VALS, PRIZM NE, Mosaic, ConneXions NE and GfK Roper Consumer Styles are analyzed in order to give an extensive overview of the offered concepts. The observation of efficiency issues in regards to market segmentation comes to the result that there is a significant lack of empirical data and a shortage of determined factors which can improve market segmentation efficiency. Moreover, lifestyle market segmentation cannot be exclusively identified as ethically right or wrong, but depends on the individual ethical decision-making of a marketer.
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Lin, James Wu-Hsiung. "Efficiency of the T-bill futures market." Diss., The University of Arizona, 1987. http://hdl.handle.net/10150/184269.
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Part I of this dissertation examines the effect of financing costs on the efficiency of the T-bill futures market. The cost-of-carry model is used and three types of financing costs are selected as proxies for RP (repurchase agreement) rates. The results suggest that the cost-of-carry model assuming a constant RP rate is unreliable in explaining the pricing of T-bill futures. A search for "true" financing costs shows that such financing costs could be a nonlinearly weighted rate of the term RP rate (or the 90-day-maturity T-bill rate) and the federal funds rate. Theoretically implied RP rates in the year of 1983 are also generated for comparisons. Part II examines the impact of inflation uncertainty on the futures-forward rate differential. The cost-of-carry model assuming a constant RP rate ignores the future fluctuations of financing costs. A "risk premium" could arise due to inflation uncertainty. This part provides evidence that there exists a systematic relationship between the daily futures-forward rate differences and the inflation rate. Part III provides a theoretical treatment of the optimal arbitrage investment under uncertainty and of equilibrium pricing in the T-bill futures market. A dynamic stochastic programming model shows that a "myopic" property exists in the T-bill futures market in the sense that expectations of the future one-period price movements do not exert an impact on the current optimal arbitrage investment decision under uncertainty. It shows, however, that such a "myopic" property is not pure in that expectations of financing costs in the next period affect the investment decision in the current period. Equilibrium pricing of the T-bill futures is obtained under arbitrage arguments. It shows that an equilibrium price is achieved at the point where the expected current one-period arbitrage profits are zero when cost-of-carry is required, even in a multi-period setting.
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Tahir, Izah Mohd. "Market structure and efficiency in ASEAN banking." Thesis, Bangor University, 1999. https://research.bangor.ac.uk/portal/en/theses/market-structure-and-efficiency-in-asean-banking(808c7a5c-8340-430c-860c-011138c7fe6a).html.
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The increasing importance of the relationship between market structure and bank performance in general, together with the lack of empirical research on this relationship in the Association of South East Asian Nations (ASEAN) banking markets, provide the main motivation for this study. Many researchers have sought to estimate the relationship between aspects of market structure such as concentration and market share, and indicators of bank performance such as profitability and prices. However, there is still no consensus with regard to the most appropriate theory in the light of the empirical data. In this study, the possible relationships between market structure and bank performance suggested by prior research are examined for the five main banking markets in ASEAN, i.e. Singapore, Malaysia, Thailand, the Philippines and Indonesia, for the period 1991 to 1995. This relationship is tested using pooled and cross sectional estimate, as well as on a country by country and year by year basis. This is the first study in which data for all five ASEAN countries has been analysed. The database which has been constructed for the present study has been obtained from a variety of primary sources, supplemented by commercial data services, thus providing the cross-national set of comparable data needed for the modelling of bank efficiency that is reported in this thesis. The study uses two measures of efficiency; (i) the standard accounting approach, i.e., the cost-toincome ratio, and (ii) the stochastic X-efficiency measure. Using the cost-to-income ratio as a proxy for efficiency, generally the pooled results suggest that both the Relative Market Power and the Relative Efficiency hypotheses may explain the profit-structure relationship in ASEAN banking markets. That is, firstly, market share appears to reflect market power, the larger firms in the market gaining higher profits; secondly, banks operating at higher levels of efficiency are also able to gain higher profits. Using the stochastic X-efficiency measure, the pooled results also provide support for both the Relative Market Power and Relative Efficiency hypotheses. In addition, we find that, overall, government ownership and market demand conditions are negatively related to bank profitability, whilst the level of risk capital is positively related. The individual country estimates suggest that Relative Market Power is supported only in the Philippines using the cost-to-income ratio and in the Philippines and Indonesia using the stochastic X-efficiency measure. Moreover, Relative Efficiency is also supported only in the Philippines and Indonesia using stochastic X-efficiency. In contrast, using the cost-to-income ratio, the Relative Efficiency hypothesis is supported in all five ASEAN countries which would imply that, in the region as a whole, bank efficiency is the primary driver of higher profits.
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Söderberg, Gustav, and Rikard Nyström. "Insider Trading - An Efficiency Contributor?" Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73596.
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This research has studied the relationship between insider trading activity and its effect on the level of informational efficiency. The authors have used insider data from Finansinspektionen and data regarding stock prices, market capitalization and GDP from Thomson Reuters Datastream. The sample includes 193 companies on the Swedish stock exchange for a period of 10 years. A Variance Ratio test employed on moving sub-sample windows was used to establish the level of time-varying informational efficiency, which subsequently was used in an OLS-regression as a dependent variable. The result of the regression implies a negative effect on firm price information efficiency by insider purchasing, while selling has a positive effect. This can be concluded using a confidence level of 99%. The results are interesting since they imply an asymmetrical effect of insider trading on informational efficiency, while current insider legislation treats buying and selling by insiders equal. Thus, the results are of interest in future adjustments of laws regulating insider trading.
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Abdi, Abdirahman, and Renyuan Huang. "Market efficiency for two classes of stocks in China: state owned and private companies." Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-61803.
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The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world. By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency. To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets. The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.
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Liu, Yuna. "Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations." Doctoral thesis, Umeå universitet, Nationalekonomi, 2016. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-119873.
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This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market. In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. In Paper [II] we study whether the creation of a uniform Nordic and Baltic stock trading platform has affected weak-form information efficiency. The results indicate that the stock market consolidations have had a positive effect on the information efficiency and turnover for an average firm. The merger effects are, however, asymmetrically distributed in the sense that relatively large (small) firms located on relatively large (small) markets experience an improved (reduced) information efficiency and turnover. Although the results indicate that changes in the level of investor attention (measured by turnover) may explain part of the changes in information efficiency, they also lend support to the hypothesis that merger effects may partially be driven by changes in the composition of informed versus uninformed investors following a stock. Paper [III] analyzes whether the measured level of trust in different countries can explain bilateral stock market correlations. One finding is that generalized trust among nations is a robust predictor for stock market correlations. Another is that the trust effect is larger for countries which are close to each other. This indicates that distance mitigates the trust effect. Finally, we confirm the effect of trust upon stock market correlations, by using particular trust data (bilateral trust between country A and country B) as an alternative measurement of trust. In Paper [IV] we present the impact of the stock market mergers that took place in the Nordic countries during 2000 – 2007 on the probabilities for stock price jumps, i.e. for relatively extreme price movements. The main finding is that stock market mergers, on average, reduce the likelihood of observing stock price jumps. The effects are asymmetric in the sense that the probability of sudden price jumps is reduced for large and medium size firms whereas the effect is ambiguous for small size firms. The results also indicate that the market risk has been reduced after the stock market consolidations took place.
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Yu, Yinghui. "Short-sales constraints and market efficiency evidence from the Hong Kong market /." Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B3720564X.
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Yu, Yinghui, and 于映輝. "Short-sales constraints and market efficiency: evidence from the Hong Kong market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B3720564X.
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The Best PhD Thesis in the Faculties of Architecture, Arts, Business & Economics, Education, Law and Social Sciences (University of Hong Kong), Li Ka Shing Prize, 2005-2006.published_or_final_version
abstract
Business
Doctoral
Doctor of Philosophy
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Ji, Shan Banking & Finance Australian School of Business UNSW. "Security market manipulations and the assurance of market integrity." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/44724.
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This dissertation is motivated by two major factors. First, there have been no direct studies conducted for the relationship between market integrity and market efficiency and the driving forces behind the cross-sectional variations in market quality. Second, a better understanding the relationships among market integrity, market efficiency and other mechanism design factors for securities exchanges will facilitate securities exchanges achieve a satisfactory level of market quality. This dissertation consists of three chapters. In Chapter 1, a review of literature on market manipulation will be given. A series of common securities market manipulation strategies and corresponding market surveillance alerts will be explained and defined. In Chapter 2, we develop a testable hypothesis that market manipulation as proxied by the incidence of ramping alerts would raise transaction cost for completing larger trades. We find ramping alert incidence positively related to effective spreads in 8 of 10 turnover deciles from most liquid to thinnest-trading securities. The magnitude of the increase in effective spreads when ramping manipulation incidence doubles is economically significant, 30 to 40 basis points in many moderate liquidity deciles. This compares with an average effective spread of 72 basis points for index-listed securities in the most efficient electronic markets worldwide. In Chapter 3, In Chapter 3 of this thesis, we test the correlation between the levels of market integrity as proxied by the incidence of ramping alerts and a combination of proxies for factors from the following four potential drivers deciding the market quality across securities exchanges: ??? Securities Markets Trading Regulations ??? Securities Markets Technologies ??? Securities Market Infrastructure ??? Securities Market Participants The model we developed to test the correlation between the proxies for level of market integrity and seven proxies for the four potential drivers were estimated with Ordinary Least Square (OLS) and Two-stage Least Square (2SLS) error structures assumed, respectively to learn the most about the possible endogeneity of spreads and volatility. By performing Hausman-Wu specification tests, we concluded that simultaneity bias in the thickly-traded deciles is not material for the AI-Volatility and AI-Spread equation pairs. Subsequently, we used the PROBIT model to analyse the probability of adopting RTS across the 240 securities exchange deciles and the likelihood proves to be systematically related to four determinants in our sample. Finally we estimate the structural equations to investigate possible cross-equation correlation of the disturbances with either seemingly unrelated regression (SURL) estimation. Our findings are three-fold. Firstly, in the moderately-traded deciles, we find that the presence of a closing auction (CloseAucDum) reduces the incidence of ramping alerts. Trade-based manipulation proves more difficult when a manipulator???s counterparties can use closing auctions to unwind their intraday exposures. The RTS dummy variable is significantly positively related to alert incidence. In the absence of any panel data on the dynamic effects of adopting RTS, what we are observing in cross section is the perceived vulnerability of certain exchanges to manipulation and their consequent adoption of RTS plus the regulatory regimes required to have a salutary effect on market integrity. Second, in the moderately-traded deciles, we find that the closing auctions and more regulations in pursuit of market integrity lower quoted spreads. RTS and a regulation specifically prohibiting ramping indicate in cross-section the perceived likelihood of more ramping. Thirdly, in terms of the probability of the deployment of a real-time surveillance system, the estimations again differ by liquidity decile grouping. In the moderately-traded deciles, higher alert incidence, the presence of DMA, and higher FDI again increase the likelihood of adopting a real-time surveillance system. Our findings have a couple of policy implications for many securities exchanges in terms of market design and market surveillance. First, the exhibited relationship between alert incidence and effective spreads indicates trade-based manipulation has a significant impact on execution costs. Therefore, the prevention of securities market manipulation not only serves the indirect purpose of improving an exchange???s reputation for market integrity but also contributes directly to achieving a more efficient marketplace. Second, our results indicate that some market design changes can enhance the regulatory efforts to prevent securities market manipulations. For example, to prevent manipulators from marking the closing price, some exchanges could choose to adopt a closing auction or a random closing time, which would make manipulation more costly. Nevertheless, no securities exchange can be designed perfectly. Consequently, exchange and broker-level surveillance backed by effective regulatory enforcement is a necessary and pivotal complement to good design choices.
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Anderson, D. Scott. "Unlimited liability and market efficiency, theory and evidence from the Canadian securities markets." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0014/NQ39253.pdf.
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Tao, Zhisong. "Pricing efficiency in the Quebec feed ingredient market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape11/PQDD_0002/MQ44295.pdf.
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Ma, Shiguang. "Tests of informational efficiency of China's stock market /." Title page, contents and abstract only, 2000. http://web4.library.adelaide.edu.au/theses/09PH/09phm111.pdf.
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Numapau, Gyamfi Emmanuel. "Market Efficiency of African Stock Markets." Thesis, 2017. http://hdl.handle.net/11602/1099.
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PhD (Statistics)Department of Statistics
There has been a growing interest in investment opportunities in Africa. The net foreign direct investment (FDI) to Sub-Saharan Africa has increased from $13 billion in 2004 to about $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised questions about their efficiency. This thesis examined the weak-form informational efficiency of African stock markets. The aim therefore of this thesis is to test the efficiency of African stock markets in the weak-form of the Efficient Market Hypothesis (EMH) for eight countries, namely, Botswana, Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. Since, the researcher will be testing the weak-form of the EMH, the data to be used is on past price information on the markets of the eight countries. Data for the eight countries were obtained from DataStream for the period between August 28, 2000 to August 28, 2015. The data is for a period of 180 months which resulted in 3915 data points. Although there have been studies on the weak-form market efficiency of African stock markets, the efficiency conclusions on the markets have been mixed. This problem might be due to the methods used in the analyses. First, most of the methods used were linear in nature although the data generating process of stock market data is nonlinear and hence nonlinear methods maybe more appropriate in its analysis. Also these linear methods tested the efficiency of African markets in absolute form, however, an efficiency conclusion relying solely on absolute efficiency might be misleading because, stock markets become efficient with time due to improvements in the quality of information processing from reforms on the markets. The researcher solved this problem of using absolute frequency by comparing the results when the presence of long-memory in frequency and time domains of the markets were examined. The researcher used a semi-parametric estimator, the Local Whittle estimator to test for long-memory in frequency domain and the Detrended Fluctuation Analysis (DFA) to test for long-memory in time domain. The DFA method is suitable for both stationary and nonstationary time series which makes it to have more power over methods like the rescaled range analysis (R/S) in the estimation of Hurst exponent. Second, the researcher examined whether the markets were predictable under the Adaptive Market Hypothesis (AMH). The researcher employed the Generalised Spectral (GS) test to examine the Martingale difference hypothesis (MDH) of the markets. The Generalised spectral (GS) test is a non-parametric ii test designed to detect the presence of linear and nonlinear dependencies in a stationary time series. The GS test considers dependence at all lags. Third, because of the nonlinear nature in the data-generating process on the markets, the stationarity of the market returns under a nonlinear Exponential Smooth Threshold Autoregressive (ESTAR) model was examined. A nonlinear ADF unit root test against ESTAR and a modified Wald-type test against ESTAR in the analysis were employed. Fourth, the self-exciting threshold Autoregressive (SETAR) method was employed to model the returns when non-linear patterns were observed as a result of nonlinear data generating process on the markets. The literature on market efficiency of African stock markets has shown that variations exist in the study characteristics. There are variations in the method of analysis, type of test, type of data employed, time period chosen and the scope of analysis for the studies. The researcher therefore quantitatively reviewed previous studies by means of meta-analysis to identify which study characteristics affects efficiency conclusions of African markets using the mixed effects model. The findings showed the presence of long-memory in the returns of the stock markets when the whole sample was used. This made the markets weak-form inefficient, however, when the researcher tested for the persistence of long-memory through time, there were periods the markets were efficient in the weak-form. The memory effect was low in the South African market but high in the Mauritian market. Furthermore, it was observed that, the returns for Egypt, which were highly predictable when the whole data was analysed became not highly predictable when the rolling window approach of the GS test was used. Egypt had one of the lowest percentages of the windows that had a p-value less than 0.05 after South Africa. The results obtained from using the non-linear unit root tests on the logarithmic price series of the markets under study showed that, the markets were non-stationary and hence weak-form efficient under an ESTAR framework but for Botswana. Thus the markets were weak-form efficient when analysed using a non-linear method. This observation means that Africa’s foreign direct investment would have been increased over the years if the appropriate methods are used. This is because, over the years, studies on the weak-form efficiency African stock markets have ended with mixed conclusions with most of the markets being concluded to be weak-form inefficient as a result of the use of linear methods in the analysis. This finding, to us, has had an effect on investors commitments to Africa because the right methodology was not employed. iii The findings from modelling the returns under the non-linear SETAR model showed that, the SETAR model performs better than the standard AR(1) and AR(2) model for all the markets under study after the non-linear patterns were identified in the returns series. The SETAR (2,2,2) model is a threshold model, therefore, investors are able to move freely in search of higher opportunities between the low and high regimes. Investors main aim is to make profits, hence, the threshold model of SETAR gives them the freedom to move to a regime where the rate of returns is increasing unlike the standard AR(1) and AR(2) linear models where there are no switching of regimes. Finally, none of the study characteristics in the market efficiency studies was found to be significant in efficiency conclusions of African stock markets but the indicator for publication bias was significant. This means that there has been a change in attitude in recent years towards studies on informational market efficiency whose results do not support the Efficient Market Hypothesis (EMH), unlike the earlier years when the EMH was formulated and acclaimed to be one of the best propositions in economics. It was therefore concluded that when time-varying methods are used in analysing weak-form efficiency, the dynamics of the markets become known to investors for proper decision-making. Also, nonlinear methods should be used in order to reflect the nonlinear nature of data capturing on the stock markets
NRF
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Saravia, Celeste Cobb. "Market power and market efficiency : studies in restructured electricity markets /." 2004. http://www.gbv.de/dms/zbw/547428960.pdf.
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Liang, Fu-Ting, and 梁富珽. "Market Segmentation and Price Efficiency across Emerging Markets." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/z98393.
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碩士元智大學
財務金融暨會計碩士班(財務金融學程)
106
Emerging markets suffer from greater political risk, macroeconomic instability and poor investor protection, and therefore become more segmented from global markets. In particular, short sale constraints, among other institutional factors, are important impediments to price efficiency of common stocks. This study examines stock price efficiency across emerging markets, with particular emphasis on the impact from short sale constraints and the degree of market segmentation. Empirical evidence across emerging markets show that short sale constraints indeed impair price efficiency of emerging stock markets. Results however only find weak relation between market segmentation and price efficiency when firm-level factors are considered.
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"Market efficiency research on Shanghai stock market." 2002. http://library.cuhk.edu.hk/record=b5890949.
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by Mi Jia, Wang Xueyu.Thesis (M.B.A.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (leaves 77-78).
ABSTRACT --- p.III
TABLE OF CONTENTS --- p.iv
LIST OF TABLES AND FIGURES --- p.vi
Chapters
INTRODUCTION --- p.1
DATA AND RESEARCH METHODOLOGY --- p.6
EFFICIENCY TESTS --- p.12
Time Serial Correlation Analysis --- p.12
Seasonal Fluctuation --- p.16
General Index's analysis and comparison --- p.17
Holiday Effect --- p.20
Test of Predictability in Stock Market Returns --- p.35
Larger Stock in June effect --- p.37
Passive Vs Active portfolio (with technical analysis) --- p.39
Technical analysis --- p.40
Filter Rules Approach Testing --- p.43
Returns over Short and Long Horizons --- p.49
Holding Period Return over Short and Long Horizons --- p.50
Accumulative Abnormal Return over Short and Long Horizons --- p.51
Mutual Fund Performance --- p.52
Mutual Fund vs. Index --- p.53
Relative Performance among Mutual Funds --- p.54
"B/M, Size, and P/E Effect" --- p.55
"Correlation among B/M, Assets, Market Value of A Share, P/E and Beta" --- p.56
B/M and Annual Return --- p.57
P/E and Annual Return --- p.59
Assets and annual return --- p.60
Market Value of A Share and Annual Return --- p.61
Beta and Annual Return --- p.53
Multiple Regressions --- p.64
CONCLUSION --- p.66
Limitation of Research --- p.66
Summary --- p.67
APPENDIX 1 --- p.69
APPENDIX 2 --- p.70
APPENDIX 3 --- p.71
APPENDIX 4 --- p.72
APPENDIX 5 --- p.73
BIBLIOGRAPHY --- p.77
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"Market power and efficiency." Thesis, 2010. http://hdl.handle.net/1911/62046.
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In the first chapter, we examine the relation between efficiency and competition in a dynamic framework. For this purpose, we measure efficiencies and conduct of the U.S. airlines in two city-pairs. We model the conduct parameter as an unobservable state variable which is an AR(1) process and estimate it by the square-root Kalman filter technique. Our results accords with Hick's (1935) 'quiet life hypothesis.'
In the second chapter, we propose using the Kalman filter estimator (KFE) to estimate the technical efficiency. We assume that the effects term is an AR(1) process or a random walk. We apply the KFE to estimate the average efficiencies of the U.S. airlines during the period 1971-1986. We found evidence of 'quiet life hypothesis.'
In the third chapter, we estimate the time-varying efficiencies of the U.S. banks during 1984-1995 with four different efficiency estimators. Using these series of efficiency estimates, we make a multivariate Kalman filter analysis to examine the efficiency trend in the G.S. banks during this period. We observed that the regulations and innovations had a positive effect on the efficiency of G.S. banks as expected. However, this positive effect decayed through time.
The fourth chapter generalizes the well-known Battese-Coelli (1992) (BC) estimator to allow endogenous regressors. The regressors are still assumed to be independent of the effects though they are correlated with the irregular term. The simulations show the superiority of our method to the BC estimator.
Efficiency is a residual that is caused by managerial mistakes. In the final chapter, we propose some strategies to minimize such mistakes in the Stackelberg competition world with price discrimination. We suggest that the leader should use its preemptive advantage to attract the highest value customers and that the follower should price discriminate over the residual demand.
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YING-JU, WU, and 吳盈如. "Testing Art Market Efficiency." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/73714893040143869088.
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碩士逢甲大學
金融碩士在職專班
104
This study analyzes the efficiency market hypothesis for the art market. We use quarterly data from 1998:1 to 2015:1. Our analysis is based on 15 art price indices: Global index (USD), Global index (EUR), Paintings, Prints, Sculptures, Photographies, Drawings, Old Masters, Nineteenth Century, Modern Art, Post-war, Contemporary, USA (in USD), UK(in GBP) and France (in EUR). We cannot reject the null of unit root, and we conclude that the art series is nonstationary based on the conventional unit root test. However, when we use the Quantile unit root test, we are able to reject the unit root null for the 9 of 15 art indices. These nine series are Global index (EUR), Paintings, Prints, Sculptures, Drawings, Post-war, USA (in USD), UK (in GBP) and France (in EUR). Overall, our result suggests that the art market is inefficient, and these 9 art indices face different shocks is a temporary effect, thus there are arbitrage chances.
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Lin, Hsin-Yuan, and 林信源. "A Market Efficiency Validation in Taiwan Futures Market." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/88204688376809092942.
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碩士國立雲林科技大學
財務金融系碩士班
99
We analyzed Taiwan Futures Market, a total of four intraday data for TX, MTX, TF, TE, and look for arbitrage opportunities to discuss whether Taiwan''s futures market compliance with efficient market hypothesis. In different combinations of technical indicators among the performance of profit, to compare of transactions no lag and lag five minutes, and find can continue to arbitrage of the technical specifications. The results showed TF and TE are the best performance than other market, before deduction transaction costs, most of the technical indicators can profit, after deducting transaction costs only the few technical indicators can profit, two of technical indicators is better than a single, and time has little effect on profits, the biggest impact on profitability with transaction costs.
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"Cointegration and exchange market efficiency." SFB Adaptive Information Systems and Modelling in Economics and Management Science, 1999. http://epub.wu-wien.ac.at/dyn/dl/wp/epub-wu-01_1b1.
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Chen, Hui-Chun, and 陳惠純. "Testings for OTC Market Efficiency." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/33591273909382752148.
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Chen, Pei-Hsuan, and 陳琲璇. "Audit Tenure and Market Efficiency." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/afa23f.
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碩士國立中央大學
會計研究所
103
Our study explores whether longer audit tenure can promote the market efficiency to reduce information asymmetry. Under an inefficient market, information cannot response effectively to the market, which causes a problem of information asymmetry. Therefore, it requires the government to protect investors through the enforcement of mandatory auditor rotation policy. On the other hand, under an efficient market, information has been fully reacted in the market, so interventions from government are unnecessary. There are two findings in our research. First, we find that the longer the audit tenure is, the more the efficiency of the market can be improved. Second, with the comprehensive effect of the two kinds of audit tenure, audit firm tenure can significantly improve the efficiency of the market, while the effect that audit-partner tenure can improve the efficiency of the market is insignificant.
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LIN, FANG-CHUN, and 林芳群. "Internet Search and Market Efficiency." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/rt34ng.
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碩士國立高雄第一科技大學
金融系碩士班
105
This study demonstrates the impact on price discovery between stock futures and spots, resulting from internet searching. I first utilize the vector auto-regression model and the vector error correlation model to explore price discovery between stock futures and spots. In my experiment, from September 1, 2010 to December 31, 2015, I focus on the thirty stock futures and spots with the highest daily trading values and the lead-lag relationship between spot and futures prices. I even add the Google search volume index, with dummy variables, D1, D2, and D3, denoting high to low search volume, to my model that explore the effect on spot and futures price. The empirical result shows that spot prices always leads futures prices whether adding dummy variable D3 or not. Then, after adding dummy variables, D1 and D2 (high search volume), the rate of price discovery is dramatically reduced to 50%. Since this is due to outlier within high search volume index, I may say that the search volume has little influence on market price. Furthermore, I conclude that search volume has low correlation with market efficiency.
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Shih-HongYang and 楊世宏. "Research on Capital Market Efficiency." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/77418838738838873481.
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碩士元智大學
會計學系
97
This thesis investigates whether information uncertainty leads to a firm’s misevaluation by the capital market. Further, we examine an analyst’s forecast biases increase due to the relative high level of information uncertainty. Our samples consist of companies in North America. The sample period is from 1988 to 2006. This study adopts the model in Rhodes-Kropf, Robinson, and Viswanathan’s (2005) to evaluate market mispricing. We use the perception of earnings quality to proxy information uncertainty. We find the positive association between information uncertainty and the possibility of being mispriced by the capital market. Moreover, an analyst’s forecast accuracy is significantly decreased when predicting the earnings of a firm with relative high information uncertainty.
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CHEN, LIN HSIAO, and 林孝貞. "Testing Chinese Stock Market Efficiency." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/33832802319921924913.
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碩士逢甲大學
金融碩士在職專班
104
Abstract In this study, we apply quantile unit root test to test the weak-form efficient market hypothesis for China, using stock price index data from December 21, 1990 to April 10, 2015 for both the Shanghai and the Shenzhen. Our empirical results demonstrate that Shenzhen stock market is more efficient than that of Shanghai stock market. Inspection of the Chinese market efficiency, this means that a more active policy to open the capital market in China for interantional investor should be adopeted.
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Seif, Mostafa. "Market efficiency and limits to arbitrage in advanced emerging markets." Thesis, 2016. http://hdl.handle.net/1959.13/1322467.
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Research Doctorate - Doctor of Philosophy (PhD)This thesis has two key motivations. The first is to undertake a comprehensive examination of the market characteristics and institutional features across nine ‘advanced emerging’ stock markets: Brazil, Czech Republic, Hungary, Malaysia, Mexico, Poland, South Africa, Taiwan and Turkey. After identifying that these markets comprise characteristics that may restrict rational investors from arbitraging away identifiable mispricing, the second purpose of this thesis is to examine the level of market efficiency and the relation between mispricing and limits to arbitrage. Given limitations with the depth and quality of accounting information across emerging markets, the issue of market efficiency is examined by testing whether returns and volatility-based anomalies that have been identified in developed markets are also evidenced across this sample. More specifically, this thesis examines the prevalence of seasonality in both returns and volatility of returns with respect to five calendar anomalies that have been identified in the context of developed markets. In addition, this thesis examines whether there is evidence of a negative relationship between maximum one-day returns and subsequent monthly returns (referred to as the MAX effect) in advanced emerging markets. Despite an extensive number of studies documenting evidence of seasonal anomalies and the MAX effect in developed markets, which indicates that these markets are less than perfectly efficient, this thesis provides the first comprehensive examination of this issue across advanced emerging markets. This thesis also expands the existing literature by examining the potential sources of such anomalous returns and the existence of mispricing in these markets by testing whether the returns can be explained by risk-based pricing models or time series variation in limits to arbitrage. The results of this thesis provide evidence of the existence of strong anomalous returns, which indicates a high level of mispricing across advanced emerging stock markets. Specifically, this thesis finds that, on average, returns are higher during the month of December, the 44th week of the year, Fridays and pre- and post-holidays; and these anomalous returns are not explained by seasonal variation in volatility. Moreover, this thesis reports evidence of a strong MAX effect that is persistent after controlling for size, book to market ratio, market beta, momentum, short-term return reversals and liquidity. The magnitude of the mispricing associated with the MAX effect appears to be higher in advanced emerging markets compared with developed markets. The zero-investment returns generated by the MAX effect are shown to co-vary with time series variation in limits to arbitrage. Taken as a whole, these results suggest a lower level of efficiency across advanced emerging markets that can be explained by the market characteristics and institutional features that restrict the ability of rational investors to arbitrage away mispricing. The results reported in this thesis can therefore allow investors to better understand the characteristics of risk and returns in advanced emerging markets in order to develop improved asset pricing models in the context of these markets. In addition, the demonstrable link between asset pricing anomalies and limits to arbitrage may provide policy makers with a framework for improving the efficiency of their stock markets by mitigating market frictions through investor protection measures, and relaxation of capital controls and short-selling restrictions, among others.
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Lu, Chang-Hua, and 盧建華. "Market Efficiency : Evidence from the Taiwan Index Options Market." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/29qe4y.
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碩士崑山科技大學
企業管理研究所
92
The informational efficiency of the market for options on the Taiwan stock index is examined using intraday transactions data. By using B-S pricing model, put-call parity and lower boundary to test. However, volatility estimates difficulty, so proxy by GARCH(1,1) to measure theory price. Additional, the article consider transaction cost for empirical study. Ex-post and ex-ante tests are carried out to simulate trading strategies. The investigation shows that the out-of-money option has lower pricing error. By considering transaction cost, the option market is more efficiency.