Dissertations / Theses on the topic 'Stock market speculation'

This doctoral thesis traces the various forms in which ordinary people engaged in the stock market across twentieth-century Britain. It asks how and why previously stigmatised forms of investment and speculation came to be regarded as socially, politically and economically desirable. I argue that financial and economic historians, preoccupied with the growing dominance of financial institutions over British security markets during this period, have neglected the social and cultural relevance of popular share ownership. Consequently investment is seen as more than an economic activity. Understanding the ways in which social and cultural attitudes towards finance relaxed over time, allows us to better understand the arrival of neoliberalism in Britain. After World War I, Britain witnessed a significant expansion of private stock market investment. However, in comparison to the United States, Britain’s financial establishment took a more conservative stance on universal share ownership and restrained much of the potential for a “democratisation of investment”. After 1945, private share ownership continued to grow gradually across classes due to higher living standards and in spite of nationalisation, high taxation and the institutionalisation of securities markets. Politics was not the main driver of this trend as efforts to widen share ownership were difficult to square with the interventionist postwar economic settlement. More importantly, the rapidly expanding trade of financial journalism increasingly educated multiple audiences about stock market affairs. By widening the analytical scope beyond socioeconomic conditions, it becomes apparent that the sweeping social and cultural changes during the 1950s and 1960s helped to loosen older reservations against financial speculation, thereby drawing evermore investors into the market. The key shift of this period was that ‘playing the stock market’ became a popular and socially acceptable hobby, predominantly among middle-class households. Tracing these developments to the 1970s and 1980s, this thesis concludes that market populism had a powerful appeal to savers and investors hit by inflation, thereby accelerating the growth of economic individualism long before the Thatcherite Revolution unfolded in Britain.

In this thesis we empirically examine whether the Turkish stock market is driven by rational bubbles over the period between March 1990 and February 2012. The bubble periods are estimated using a recently developed right-tailed unit root test, the generalized sup augmented Dickey-Fuller test of Phillips, Shi and Yu (2011a). Applying their bubble detection and location strategies to weekly price dividend ratio series, we find strong evidence for the existence of rational bubbles in the Turkish stock market benchmark indices as well as sector indices. Our located bubble periods may give early warning signals of the subsequent Turkish financial crisis.

[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.

Modern Finance literature persistently ignores the systemically destabilizing effects of financial bubbles. As a result, periodic speculative excesses, which hugely deviate from the rational models of mainstream finance, are largely unexplored, especially with regard to institutional investors’ behaviour in financially euphoric environments. My main objectives are to expose the premises, which the speculative bubble was built on, and the factors affecting institutional investors’ investment decisions, objectives and risk attitude in speculative bubbles. Using a series of semi-structured interviews with fund managers that worked during the Cyprus bubble of 1999, this thesis aims to contribute to the limited literature regarding institutional investors’ speculation. I draw from Abolafia and Kilduff, Kindleberger, Minsky, and Galbraith in order to provide a descriptive framework of speculative bubbles, in which institutional investors appear to be purposive, contrary to and at the expense of retail investors and the systemic stability. The empirical data suggest that the roots of speculative bubbles are set by an event with perceived real economic consequences, which is seen to improve economic conditions and shift investors’ expectations. Afterwards, the rising share prices keep inviting an increasing number of speculators who create a new reality by replacing reason with what appears to be misinterpretation and misunderstanding. In this environment, regulatory failure, rumours and ‘strange friendships’ appear on the scene. Additionally, there is strong evidence suggesting that the institutional investors’ understanding of risk in speculative markets, contrary to the conventional wisdom, is particularly problematic; a phenomenon I call ‘risk paradox’. The implications of speculative bubbles and institutional investors’ risk attitude are crucial in understanding the limitations of rational models that prevail in finance. This thesis argues for situating investment activity within its social, and frequently, speculative context. It contributes to understanding the behaviour of institutional investors in speculative markets and calls attention to their irrational investment behaviour.

This study is concerned with the lead-lag relationship between Turkish spot equity and derivatives markets. In the study, the spot equity market is represented by the ISE-30 Index. In order to compare the structure of the two markets, the futures contract written on the ISE-30 Index, namely TURKDEX-ISE 30, is chosen to represent the derivatives market. The analysis is performed over the sample period beginning February 4, 2005 and ending on December 10, 2010 which actually covers the entire time span from the establishment of the TURKDEX market until the end of last year. This sample period is examined on the basis of 5-minute intervals during the trading day, enabling a more detailed and accurate evaluation of the lead-lag power of the markets. The main methods applied to examine the structure of information flow between the markets are co-integration and causality analyses. Different approaches of these basic methods are employed as well in order to provide robust results. An additional robustness check is provided through examining the relationship between the markets by using both raw and filtered prices. ARMA filtering is performed on the prices and these findings are compared to those obtained by raw prices in order to avoid the problem of infrequent trading. Outcomes of both raw and filtered price analyses reveal that in 2006, 2007 and 2009 the relationship between the markets is bi-directional, whereas in 2008 and 2010, futures market strictly leads the spot market. Filtered and raw analyses do not have a definitive conclusion regarding the lead-lag relationship in 2005. For this year, while the raw data support a bi-directional relationship, ARMA filtering indicates that the spot market leads the derivatives market.

This diploma thesis is looking into investments to stocks portfolio by methods of psychologica analysis. Structure of the thesis is consisted of three parts. In the first part there are intruduced necessary theoretical prerequisities for understanding of stock market. Second and third part is focused on practical application and major stock market events from the past. Thesis thus describes and analyses the possibilities of psychological analysis usage while deciding about investments into selected portfolio of securities at capital markets.

This thesis deals with the impacts of information and communication technology investment surge on USA economic growth in the 1990s. Besides others, rapid development of these technologies also led to the creation of a stock market bubble, which affected the expansion phase of the economic cycle. Its burst in 2000-2001 resulted in economic slow-down and end of the longest recorded economic expansion in the history of the United States. Main part of the thesis discusses the benefits of information technology for economy and further evaluates the role of the speculative bubble in the development of consumption and investment expenditures. The thesis results suggest that the increase in capital intensity and sharp stock market price inflation significantly accelerated the dynamics of the economic growth in the second half of the described cycle.

碩士
國立中興大學
企業管理學系
85
This thesis uses rate of return variation as the index of emulating thevolatility . The main foundation to define the merit stocks and speculation stocks are EPS and the rate of turnover. I set the time span from Oct 27,1987to Dec 27,1990 and divided into three periods by price limit:3% , 5% ,and 7%After picking up 18 merit stocks and speculation stocks,Iused variance of daily and weekly rate of return to proceed t-test. two-way ANOVA and main effect analysis. The experiment shows:1.In emulating the volatility of specifi stock , no matter using daily or weekly rate of return,I found out that the volatility would be maximum under the 7% price limit.2.Tradutionally, speculation stocks were considered having the character of violent shocking on price . However, the result comes out somewhat tricky.In different extent of price limit, relation of the volatility between merit stocks and speculation stocks will be different.3.Not only price limit but also the character of the stock could effect the vovality of each stock . Besides, these two factors are inter-effecting each other. Analyzing from the daily rate of return,I observed that both merit and speculation stocks fluctuate much more fiercer as the price limit goes wider. And the former increase faster than the further.Nevertheless,the final presents slightly different from the weekly rate of return. The vovality did not present any fixed directionand extent between the merit and speculation stock.

Department of Statistics
MSc (Statistics)
The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst nding in the study shows in descending hierarchy that volatility with persistence is highest in the South African market, followed by Egyptian market, then Nigerian market and lastly, the Kenyan equity market. In terms of risk hierarchy, the Egyptian EGX 30 market is the most risk-prone, followed by the South African JSE-ALSI market, then the Nigerian NIGALSH market and the least risky is the Kenyan NSE 20 market. It is therefore concluded that risk is not a brainchild of volatility in these markets. For the bivariate modelling, the extremal dependence ndings indicate that the African continent regional equity markets present a huge investment platform for investors and traders, and o er tremendous opportunity for portfolio diversi cation and investment synergies between markets. These synergistic opportunities are due to the markets being asymptotic (extremal) independent or (very) weak asymptotic dependent and negatively dependent. This outcome is consistent with the ndings of Alagidede (2008) who analysed these same markets using co-integration analysis. The bivariate-threshold-excess and point process models are appropriate for modelling the markets' risks. For modelling the extremal dependence however, given the same marginal threshold quantile, the point process has more access to the extreme observations due to its wider sphere of coverage than the bivariate-threshold-excess model.
NRF

MCom
Department of Accountany
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been a subject of extensive discussion in the finance literature. The MRP is a central component of the main asset pricing models which are used to estimate the cost of equity which is mainly used in investment appraisal, performance measurement and valuation of equity assets. Past studies have identified inflation rate, interest rate, foreign exchange rate and political risk as the key macroeconomic variables that determine the size of the MRP. The test of the impact of these variables on the MRP have however been based mainly on data from developed countries and a few emerging countries. To the researcher’s knowledge, there are no studies that have investigated the impact of these macroeconomic variables on the MRP in South Africa. It is necessary to test the impact of these variables in the context of South Africa as these variables vary across countries. Using time series secondary data that was obtained from the SARB database, JSE database and World Bank database for the period 2002 to 2017, this study investigated the impact of these variables on the MRP in South Africa. A total of 192 observations per series of the inflation rate, interest rate, foreign exchange rate, political risk, JSE-ALSI and 91-days Treasury bill was used in the study. The data used were tested for possible misspecification errors that could arise from using a time series secondary data and the regression model was fitted using the Ordinary Least Square (OLS) estimator. The misspecification tests and models were both implemented on STATA 15 software. The results shows that inflation rate, interest rate and foreign exchange rate have a negative impact on the MRP whilst political risk has a positive impact on the MRP. Furthermore, the result shows that the inflation rate is the only variable amongst other variable tested that has a significant influence on the MRP for the study period. The study, therefore, concludes that inflation rate has the highest impact on the MRP in the context of South Africa. The study recommends that inflation rate should be monitored and kept within its target of 3-6% amongst other variables tested in order to increase investors’ confidence in the security market and also foster economic growth. The main limitations to the study were the limited data sources and insufficient funds.
NRF

by Wong Fat Keung.
Thesis (M.Phil.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 44-46).
Abstracts in English and Chinese.
Chapter 1. --- INTRODUCTION --- p.1
Chapter 2. --- METHODOLOGY --- p.7
Chapter 2.1 --- Fund's return --- p.7
Chapter 2.2 --- Value weighted Index of Hedge Funds --- p.8
Chapter 2.3 --- Sharpe' s(1992) style analysis --- p.8
Chapter 2.4 --- Econometric Procedure and Hypothesis Test --- p.11
Chapter 3. --- DATA --- p.15
Chapter 3.1 --- Market Data --- p.15
Chapter 3.2 --- Hedge Fund Data --- p.16
Chapter 3.3 --- Selecting Market Factor --- p.17
Chapter 4. --- RESULTS --- p.19
Chapter 4.1 --- Interest Rate Market --- p.19
Chapter 4.1.1 --- Did the hedge fund industry as a whole manipulate the interest rate market? --- p.19
Chapter 4.1.2 --- Did the Jaguar Fund NV manipulate the interest rate market? --- p.23
Chapter 4.1.3 --- Did the Quantum Fund NV manipulate the interest rate market? --- p.24
Chapter 4.2 --- Hang Seng Index Future Market --- p.26
Chapter 4.2.1 --- Did the hedge fund industry as a whole manipulate the Hang Seng Index Future Market? --- p.26
Chapter 4.2.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Future Market? --- p.29
Chapter 4.2.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Future Market? --- p.31
Chapter 4.3 --- Hang Seng Index Market --- p.33
Chapter 4.3.1 --- Did the hedge funds as a whole manipulate the Hang Seng Index Market? --- p.33
Chapter 4.3.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Market? --- p.34
Chapter 4.3.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Market? --- p.35
Chapter 5. --- CONCLUSION --- p.37
Chapter 5.1 --- Contribution --- p.41
BIBLIOGRAPHY --- p.44
APPENDIX A TABLES --- p.47
Table 1. Hedge Funds in value-weighted Index (vw38) --- p.47
Table 2. Net Asset Value of Hedge Funds ( --- p.48
Table 3. Hedge Fund Returns Around Crash --- p.49
Table 4. Regression result of value-weighted index (vw38) --- p.50
Table 5. Regression result of individual fund --- p.51
Table 6. Correlation of return rates between different market segments from 11/1988 to 10/1999 --- p.52
Table 7. Correlation of return rates between different market segments from 9/1997 to 10/1999 --- p.53
Table 8. Regression result of 2-month HIBOR rate and dollar positions of hedge funds --- p.54
Table 9. Regression result of 2-month HIBOR rate and dollar positions of Jaguar Fund NV --- p.55
Table 10. Regression result of 2-month HIBOR rate and dollar positions of Quantum Fund NV --- p.56
Table 11. Regression Result of Hang Seng Index Future Price against Dollar Positions of Hedge Funds --- p.57
Table11b. Estimated Profit of Hedge Funds in the turmoil period in Hang Seng Index Future (in billions) --- p.58
Table 12. Regression Result of Hang Seng Index Future Price against Dollar Positions of Jaguar Fund NV --- p.59
Table 12b. Estimated Profit of Jaguar Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.60
Table 13. Regression Result of Hang Seng Index Future Price against Dollar Positions of Quantum Fund NV --- p.61
Table 13b. Estimated Profit of Quantum Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.62
Table 14. Regression Result of Hang Seng Index Price against Dollar Positions of Hedge Funds --- p.63
Table 15. Regression Result of Hang Seng Index Price against Dollar Positions of Jaguar Fund NV --- p.64
Table 16. Regression Result of Hang Seng Index Price against Dollar Positions of Quantum Fund NV --- p.65
APPENDIX B. FIGURES --- p.67
Figure 1. Hong Kong Dollar Position of Hedge Funds --- p.67
Figure 2. Hong Kong Dollar Position of Hedge Funds and 2m HIBOR Rate --- p.68
Figure 3. Hong Kong Dollar Positions of Jaguar Fund NV --- p.69
Figure 4. Hong Kong Dollar Positions of Jaguar Fund and 2m HIBOR Rate --- p.70
Figure 5. Hong Kong Dollar Positions of Quantum Fund NV --- p.71
Figure 6. Hong Kong Dollar Positions of Quantum Fund NV and 2m HIBOR Rate --- p.72
Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73
Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74
Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73
Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74
Figure 9. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.75
Figure 10. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.76
Figure 11. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index Future --- p.77
Figure 13. Hong Kong Dollar Positions of Hedge Funds in Hang Seng --- p.79
Figure 17. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.83
Figure 18. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.84
Figure 19. Net Profit of Hedge Funds in Hang Seng Index Future (in HK Billions) --- p.85
Figure 20. Net Profit of Jaguar Fund NV in Hang Seng Index Future (in HK Billions) --- p.86

The first essay formulates a dynamic rational contagion model in order to analyse the evolution of speculative bubbles. The model consists of two laws of motion: the speculative bubble and the probability of the bubble. The rst essay shows that the model has two stable equilibria and one unstable equilibrium. The dynamics of both the nonlinear speculative bubbles and the probability interact to form two stable equilibria and one unstable equilibrium which lead to ballooning and busting of the speculative bubbles. These features of speculative bubbles are driven by the speculators’s herd behaviour, the bubbles size, the speed of change, the strength of infection, and the effects of both the bubbles and the short-term interest rate on the transition probability. The second essay extracts speculative bubbles from two nancial markets: the foreign exchange and the stock markets for South Africa between 1995Q2 and 2008Q4. The second essay uses the no-arbitrage models for the exchange rate and the stock price. By invoking the rational bubbles theory and using the residuals, we compute the asset price bubbles using the expectational restriction for rational bubbles theory. Three robustness checks on the computed bubbles con rm that speculative bubbles are present in the stock price and the exchange rate. By using iii Abstract iv graphs of speculative bubbles, we show that the speculative bubbles are consistent with the existence of bubble episodes as documented in the literature. The third essay formulates a macro-model of a small-open economy in order to investigate the relative performance of optimal monetary policy rules that respond to speculative bubbles and those that do not. The model consists of two nonlinear speculative bubbles: the stock price and the exchange rate bubbles. These speculative bubbles interact with the IS curve, the Phillips curve and the asset prices. The ndings show that policy rules that respond to speculative bubbles dominate rules that do not.

Die studie vergelyk die prestasie van 'n koop-en-hou-strategie met die van 'n tydsberekeningstrategie binne die raamwerk van die arbitrasie-prysbepalingsteorie (APT) op die nywerheidsindeks van die Johannesburgse Aandelebeurs (JA). Die periode van die studie is oor twee tydperke, naamlik Januarie 1970 tot September 1987 en Januarie 1989 tot Junie 1997. Die langtermyntendens van die nywerheidsindeks en APT-faktore is bepaal deur die beste nie-reglynige model vir elke tydreeks te vind. Reglynige meervoudige stapsgewyse regressie-ontleding is gebruik om die bewegings van die nywerheidsindeks rondom die langtermyntendens te voorspel. Die sloeringsreekse van die langtermyntendensresidutelling van die APT-faktore en die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling is as moontlike voorspellers gebruik. Gegrond hierop is beslissingslyne ontwik:kel wat gebruik is vir die implementering van 'n tydsberekeningstrategie. Die resultate van die studie is die volgende: • Waar die sloeringsreekse van die langtermyntendensresidutelling van die APTfaktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 6, 41 persent en 0, 71 persent b6 die van 'n koop-en-hou-strategie vir tydperk een en twee onderskeidelik. • Waar die sloeringsreekse van die eerste-ordeverskiltelling van die langtermyntendensresidutelling van die APT-faktore as moontlike voorspellers gebruik is, is die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie 10,40 persent en 1,04 persent b6 die van 'n koop-enhou- strategie vir tydperk een en twee onderskeidelik. Die belangrikste gevolgtrekking van die studie is dat die APT en 'n tydsberekeningstrategie teoreties en prakties versoenbaar is op die JA. Aanbevelings vir toekomstige navorsing is die volgende: ( 1) sistematiese risikofaktore, anders as makro-ekonomiese faktore, behoort identifiseer te word wat die voorspellingswaarde van die faktore in die tweede tydperk van die studie kan verhoog; (2) elke stap van die model wat ontwikkel is, behoort op elke indeks van die JA toegepas te word om die risiko-aangepaste opbrengskoers van 'n tydsberekeningstrategie toegepas op elkeen van die indekse met die van 'n koop-en-hou-strategie te vergelyk; en (3) die invloed van transaksiekoste en dividende op die potensiele voordele van tydsberekening moet bepaal word.
The study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined.
Business Management
DCom (Sakebestuur)

碩士
淡江大學
財務金融學系
88
Title of Thesis: Testing for the Existence of Speculative Bubbles in Taiwan Stock Market－Kalman Filter Application Key Word: Market Fundamental Value, State Space Model, Kalman Filter Name of Institute: Graduate Institute of Money, Banking and Finance, Tamkang University Graduate Date: June 2000 Degree Conferred: Master Name of Student: Tseng Mei Yin Advisor: Dr. Chuang, Shi-Feng Total Pages: 73 Abstract: Between 1986 and 1990, the weighted stock price index of Taiwan rose significantly from 1400 in 1986 to 12682 in 1990. Due to the influence of political factors, the stock price index dropped sharply to 2000 points in October 1990. After floating for several years, the index went up over 10000 points again in 1997 and then dropped to 5000 points a few months later. It seems that the volatility of Taiwan stock prices cannot be explained by the theoretical market fundamental value. Since the 1980’s, scholars have proposed various explanations and testing methods aiming at the additional value of the market over its proper fundamental value. They find two reasons for the price deviation from the true value. One is the errors in the analytical model and the other is the existence of speculative bubbles. We examine if there exists bubbles in Taiwan stock market by assuming that the model employed is correct. In past empirical analysis, researchers paid more attention to the relationship between prices and dividends by applying a cointegrating technique to test bubbles. According to the definition of the term “bubble”, a bubble is the additional value of the market over its proper fundamental value. It is an unobserved variable. In this paper, we use a present-value model as the basic model, and express the dividend process and the bubble process in the state-space model. We estimate model parameters by the method of maximum likelihood and obtain optimal estimates of bubbles through the use of the Kalman filter for testing Taiwan stock bubbles. The research period in this paper is between 1987 and 1999. We choose EPS as the independent variable, weighted stock index as the dependent variable, to test the existence of bubbles for all industries, other industries excluding financial industry and financial industry separately. From the empirical results, we find that in Taiwan, each of these three objective categories exhibit bubbles. This indicates that the stock price can’t be explained alone by the market fundamental value, especially during the period of the first bubble economy in 1990 and the second one in 1997. We would like to provide this empirical analysis for investors to judge if the stock price is reasonable, to help prevent Taiwan stock market from bubbles and to reduce the negative effects for the whole society. Maintaining the overall health and efficiency of the stock market is the final goal.

There was a remarkable downturn in the stock and land markets of Japan at the end of 1989 and the beginning of 1990. This thesis examines speculative stock and land market indices, explores relationships between these indices, and determines if the downturn had any affect on such relationships. The two sets of data used are measures of the Japanese speculative stock market (the Nikkei and Topix, Tokyo Stock Exchange market indices) and measures of the Japanese speculative land market (golf course membership price indices for the country as a whole, the eastern part of Japan, the western part of Japan, and Tokyo). Preliminary analysis of the data suggests the existence of three similarities: first, between the two stock market indices; second, amongst the four golf course membership price indices; and, third, between the set of stock market indices and the set of golf course membership price indices. The graphs of the data, the effects of transformations, the lack of outliers, the lack of seasonality, and the distributions of the data are remarkably alike. However, a more technical look at the data supports the opposing point of view. ARIMA modelling shows there exists surprisingly little structural similarity either within or between the two sets of data (i.e., the speculative stock and land market indices). In addition, cointegration test results provide little evidence of the expected relationship between these data sets. When accounting for the effect of the downturn on the data, evidence of linear relationships does exist. Cointegration tests using data before the downturn provide evidence of linear relationships between the two data sets (particularly between the stock market indices and the country composite index for golf course membership prices). However, examination of data from after the downturn shows that the downturn seems to have changed the data in such a way as to remove these previously existing linear relationships between the two sets of indices. Cointegration tests show no linear relationships appear to exist within either data set before the downturn (i.e., between the two stock market indices or between any pairwise combination of the four golf course membership price indices), but there is evidence of some such relationships after the downturn. The conclusion of this paper is that the downturn actually changed the relationships within each set of data (i.e., between different measures of the speculative stock market and between different measures of the speculative land market) and between the two sets of data (i.e., the relationship between the Japanese stock and land markets).

碩士
國立臺北大學
國際企業研究所
97
The purpose of this study is to discuss the impact of speculative intensity on abnormal returns and momentum and reversal in Taiwan firms from January 1, 2000 to September 30, 2008. We construct a firm-quarter-specific measure of speculative intensity (SPEC) as Rani and Murugappa(2008) for our sample. The SPEC is based on autocorrelation in daily trading volume adjusted for the amount of information available. The empirical results are summarized as follow： 1. The study finds that market value, the number of firms in each industry, and trading based on information have positive relation on autocorrelation in daily trading volume, and the proportion of days with analyst forecasts to total number of days negative relation has a negative relation on autocorrelation in daily trading volume. 2. The study that finds speculative intensity has a significant positive impact on abnormal returns. It suggests that the SPEC measure is capturing something except public information. 3. The study finds that consecutive daily returns tend to display momentum in the high-SPEC portfolio when SPEC is contemporary or lag. And the momentum is decreasing from low-SPEC to high-SPEC in the high-SPEC portfolio.

PhD (Economics)
Department of Economics
This is the first study to investigate the impact of working capital management on the performance (profitability and value) of South African firms listed on the Johannesburg Securities Exchange (JSE) before, during and after the 2008/2009 global financial crisis. Richards and Laughlin’s (1980) Cash Conversion Cycle (CCC) theory was used as the theoretical framework for analysing and linking working capital management to firm performance. In addition, the study investigates how the separate working capital management components impact the performance of firms. The study used both accounting and market based secondary data obtained from I-Net Bridge/BFA McGregor database and the JSE for 75 firms for the 10 year period, 2003 to 2012. Panel data regression models were used in the analyses. The key findings from the study indicate the following. First, the average profitability (ROA) for the sample firms decreased from 27% (before the financial crisis) to 20.2% during the crisis period and increased to 25.9% after the financial crisis. Second, the average market capitalisation (firm value) decreased from R18.9 billion before the crisis to R16.3 billion during the crisis period, and thereafter increased to a high of R24.4 billion after the crisis. Third, the average firm’s CCC was 28.4 days before the crisis and decreased to 12.5 days during the crisis period and later increased to 16.2 days after the crisis. Fourth, and interestingly, of the four working capital management variables, only accounts receivable conversion period is significantly negatively related to profitability during the financial crisis. Fifth, the three firm-specific variables (size, financial leverage, and current assets to total assets ratio) have no significant relation with profitability during the crisis period. Sixth, the external variable, change in GDP growth rate, has a significant positive relation with profitability. This suggests firms perform better when the economy is booming and otherwise during economic downturns, which is consistent with economic theory. Finally, and perhaps the most important contribution is that the study found an inverted U-shape relationship between working capital management (proxied by cash conversion cycle) and firm value before the crisis. This implies that there exists an optimal level of investment in working capital for which the sampled firms’ value is maximized. At this point, costs and benefits are balanced. Thus corporate managers should aim to keep as close to the optimal level as possible and try to avoid any deviations from it that destroy firm value. On the contrary, the results have not established any such relationship between working capital management and profitability for any of the three financial crisis periods. Based on the findings, it is recommended that firm managers should aim at keeping as close to the optimal working capital level as possible and try to avoid any deviations from it that may destroy firm value.
NRF