Dissertations / Theses on the topic 'Stock market'
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Wong, Michael C. S. "Technical analysis and market inefficiency a study of the Hong Kong stock market /." online access from ProQuest databases, 1997. http://libweb.cityu.edu.hk/cgi-bin/er/db/pqdiss.pl?9907800.
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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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Chen, Gang. "The Chinese stock market : an emperical analysis of market segmentation, inter-relationships and theoretical versus actual stock prices." Thesis, University of Aberdeen, 2011. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=165872.
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This thesis contributes to our knowledge of the behaviour of the Chinese stock market by offering an empirical investigation into issues such as market segmentation, inter‐relationships between Chinese stock markets and inter‐relationships with foreign stock markets. Basic questions which have been typically analysed for developed stock markets are considered in this thesis. These include an analysis of core concepts such as volatility; causal links with economic variables and the reasons why the theoretical stock price may be different from the actual stock price. Methodological methods include; cointegration, generalised autoregressive heteroscedastic modelling (GARCH), vector autoregressive framework modelling (VAR) and panel data analysis. Both daily and monthly observations are used over a time period from 1996 to 2006. The results indicate that there is a rich set of reasons why we may observe phenomena such as a discount on B shares and a relationship between A shares and B shares. The findings also suggest that China is not isolated from the rest of the world and that there is evidence of inter‐relationships with foreign stock markets and that Chinese stock market prices are close to their fundamental value. This is not generally the finding for developed stock markets. Overall, it appears that the methodological approaches usually associated with developed stock markets can serve us well as useful tools in creating a deeper understanding of the underlying fundamentals describing the Chinese stock market.
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Kwok, Kam Hong. "Two essays on Chinese stock market /." View abstract or full-text, 2003. http://library.ust.hk/cgi/db/thesis.pl?FINA%202003%20KWOK.
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Cheung, Ming-yan William. "Market microstructure of an order driven market." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B3203782X.
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Lange, Joe. "An intraday analysis of stock market liquidity /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 1998. http://wwwlib.umi.com/cr/ucsd/fullcit?p9906485.
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Ignatius, Roger. "The Bombay Stock Exchange: tests of market efficiency." Thesis, University of North Texas, 1991. https://digital.library.unt.edu/ark:/67531/metadc332561/.
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This dissertation analyzes the efficiency of the Bombay Stock Exchange (BSE) and the relationship of stock return patterns on the BSE with those of the New York Stock Exchange (NYSE). The data includes daily closing values of the BSE and S&P 500 Indexes for the period 1979-1990 and bi-weekly closing prices on 27 of the most active stocks on the BSE for the period 1980-1990.
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Kim, Jaemin. "The impact of open market share repurchases on volatility and liquidity : are open market share repurchase firms making the market for their own shares? /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/8795.
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Cheung, Oi Lin. "Market reactions to stock splits in the Hong Kong stock market." Thesis, University of Macau, 1997. http://umaclib3.umac.mo/record=b1636218.
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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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Cheung, Ping-wing Ricky. "Relative strength trading rules and efficiency of the Hong Kong market /." [Hong Kong : University of Hong Kong], 1985. http://sunzi.lib.hku.hk/hkuto/record.jsp?B12316866.
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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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Helm, Virgil Cole. "Market reaction to substantial deviations from dividend trends." Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1594481801&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.
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Wan, Hakman Alberick. "On the agent market model of stock markets." Thesis, University of Sunderland, 1999. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.288016.
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Wells, Heather Joanna. "Stock market trend behaviour and continuation and reversal effects in stock market returns." Thesis, Bangor University, 2004. https://research.bangor.ac.uk/portal/en/theses/stock-market-trend-behaviour-and-continuation-and-reversal-effects-in-stock-market-returns(5279ca3b-93e9-41c2-a409-d417e8ba85db).html.
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This thesis considers the existence of, and potential causes of, continuation and reversal effects in stock market returns. In the first part of the research, a timeseries approach is used to consider the profitability of momentum trading strategies on fourteen major stock market indices. Momentum trading strategies exploit continuation in returns, and evidence of significant profits to such strategies therefore implies the presence of continuation effects in the data samples. Significant losses to momentum strategies, on the other hand, are indicative of reversal effects in returns. This part of the research identifies continuation effects in stock index returns over periods of 1 trading day and 10 through 252 trading days. The second part of the research explores the various behavioural and nonbehavioural theories proposed in the literature for the existence of continuation and reversal effects in returns. Such effects imply that stock market trends differ systematically from trends in random data with the same underlying distribution of daily returns. An algorithm from the information technology literature is adapted and used to identify turning points in trends in the fourteen data sets, and the statistical properties of daily returns within stock market trends are analysed. Important patterns are observed in the steepness of trends and the volatility of returns within trends as they develop. These patterns enable some inferences to be drawn as to the most probable factors driving the continuation effects observed in the first part of the research, with nonsynchronous trading and investor loss aversion highlighted as potential causes of very short-term and medium-term effects respectively.
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Cheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.
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Vissing-Jorgensen, Annette 1971. "Limited stock market participation." Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/10119.
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Stahel, Christof W. "International stock market liquidity." Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091726658.
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Thesis (Ph. D.)--Ohio State University, 2004.Title from first page of PDF file. Document formatted into pages; contains xi, 110 p.; also includes graphics. Includes bibliographical references (p. 70-76).
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CACCAVAIO, MARIANNA. "The Chinese stock market." Doctoral thesis, Università Bocconi, 2009. https://hdl.handle.net/11565/4053447.
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Pang, Siu-kei. "Red-chips' (China-affiliated companies' shares) profitability, attractiveness and its implication to Hong Kong stock market." Hong Kong : University of Hong Kong, 1998. http://sunzi.lib.hku.hk/hkuto/record.jsp?B19873815.
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Sevelin, Jesper. "Swedish Stock market: Explaining trade volumes in single stocks." Thesis, KTH, Skolan för teknikvetenskap (SCI), 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-210868.
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The Swedish stock market consists of roughly 750 companies listed on fivedifferent markets. Out of all those companies a significant portion are rarelytraded. Stocks where the trading activity is low not only present a liquidityproblem to shareholders and potential investors but also affects the reputation ofthe traded company. A company whose shares are not actively traded does nothave a market that actively puts a value on the company.This study aims to interpret how daily trade volumes can be explained by bothcategorical and numerical variables associated with the companies listed inSweden.This study, contrary to popular belief, shows that the market of the listed stock isto a large degree irrelevant when explaining daily trade volumes of the stockslisted in Sweden. The study instead reveals the importance of factors such asshareholder structure, free float and number of outstanding shares in a company.
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Cooper, Mary Comerford. "Returning shares to the people? the politics of the stock market in China /." online access from Digital dissertation consortium, 2002. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3068264.
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AlQatamin, Ma'en Mardi. "The behaviour of stock returns in Amman stock market : a thin emerging market." Thesis, University of Warwick, 1997. http://wrap.warwick.ac.uk/36311/.
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In this thesis the behaviour of stock returns of firms listed on the Amman Stock Market is examined. The thin trading characteristic of the market is emphasised and its possible effects on empirical investigations are analysed. The first four chapters contain a review of the literature on the importance of stock markets, the Efficient Market Theory and the Capital Asset Pricing Model. The literature suggests that the allocative efficiency of funds via stock markets is related to the operational and pricing efficiency of these markets. In such an efficient market, the expected return on an investment is related only to its risk. Chapter 5 tests the weak form efficiency of the ASM with particular emphasis on the problem of thin trading. To achieve this, three alternatives for filling missing data gaps are examined. In particular, it was found that extrapolation, based on market movements, induces more dependence patterns. Yet, Examining the other two alternatives, using daily price changes, statistical inefficiencies were detected, on the one day level. Fewer dependence pa%erns were repored br \onger rnerva'1s. The reported first order positive serial correlation can coriseqnence. o'i 'p'icrng uirrxs imposed on trading in the market. Chapter 6 provides a database of individual stock and market returns. Compiling this database was a major contribution of this research. Chapter 7 investigates the effects of different return measurement and beta estimation approaches on tests of the CAPM. Specifically, the evidence indicates that the use of different return measurement approaches can affect the results of tests of this equilibrium model. Also, the adjustment of the trade-to-trade method, used for beta estimation, reduces heteroscedasticity resulting from using non equal time intervals when applying the market model. The first part of chapter 8 provides an investigation of the sensitivity of the results, of CAPM tests, to the length of the period used to estimate beta. The results suggest that the longer the period, used to estimate beta, the more are the reported deviations from the implied relationships of the model. The second part of Chapter 8 provides a test of the CAPM using pooled data, and employing four lengths of periods to estimate beta. The evidence was not consistent with the model. But, when specific attention was given to the problem of thin trading, by constructing sub samples of the most traded stocks, the validity of the model was established. However, this was only the case when beta is estimated using 24 months of past returns, suggesting that market risk in Jordan changes fairly rapidly. Chapter 9 investigates the power of some firm-specific variables in explaining the cross section of stock returns on the ASM. The evidence suggests that the book value, earnings, leverage and the firm size, do not help in explaining the cross section variation of firms listed on the ASM. This evidence is in accord with the CAPM.
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Zevallos, Mauricio, and Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility." Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118122.
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Given the extensive participation of mining stocks in the Peruvian stock market, the Lima Stock Exchange (BVL) provides an ideal setting for exploring both the impact of metal returns on mining stock returns and stock market volatility, and the comovements between mining stock returns and metal returns. This research is a first attempt to explore these issues using international metal prices and the prices of the most important mining stocks on the BVL and the IGBVL index. To achieve this, we use univariate GARCH models to model individual volatilities, and the Exponentially Weighted Moving Average (EWMA) method and multivariate GARCH models with time-varying correlations to model comovements in returns. We found that Peruvian mining stock volatilities mimic the behavior of metal volatilities and that there are important correlation levels between metals and mining stock returns. In addition, we found time-varying correlations with distinctive behavior in different periods, with rises potentially related to international and local historical events.Dada la amplia participación de acciones mineras en el mercado de valores peruano, la Bolsa de Valores de Lima (BVL) resulta un escenario ideal para explorar tanto el impacto de los ren- dimientos de acciones de metales en los rendimientos de las acciones mineras y la volatilidad del Mercado de valores, así como los co-movimientos entre los rendimientos de las acciones mineras y los rendimientos de los metales. Este estudio es un primer intento en explorar estos temas usando precios internacionales de los metales y los precios de las acciones mineras más importantes de la BVL y del índice IGBVL. Para conseguir esto, hemos usado modelos GARCHunivariados para modelar las volatilidades individuales, y el método de Media Móvil Ponderada Exponencialmente (EWMA) y modelos GARCH multivariados con correlaciones de variantes en el tiempo a modelos de co-movimientos en rendimientos. Hemos encontrado que las volatilidades imitan el comportamiento de las volatilidades de los metales y que hay importantes niveles de correlación entre los metales y el retorno de las acciones mineras. Adicionalmente, encontramos correlaciones variantes en el tiempo con un comportamiento distintivo en periodos diferentes, el que aumenta potencialmente en relación con eventos históricos internacionales o nacionales.
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Gower, Craig Paul. "Modelling and forecasting stock and stock market volatility." Thesis, Swansea University, 2001. https://cronfa.swan.ac.uk/Record/cronfa42339.
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The examination of stock price volatility has come under increased scrutiny due to the large swings in stock price movements that have occurred with greater frequency than the historical average. Additionally, the substantial increases in the volume of options trading has increased the importance of accurate volatility forecasts due to the volatility forecast being the most important parameter affecting the pricing of options. Consequently, the aim of the thesis is to analyse the volatility of forty-five FTSE 100 stocks, the FTSE 100 index together with other major and emerging market stock indices. In particular, a comparison of the modelling and forecasting ability of GARCH type and stochastic volatility models is undertaken. The forecasting ability of the above models is compared against three benchmark models: the historical mean, random walk and exponential smoothing models. In terms of forecasting, the thesis is of interest because there have been few comparative studies for individual UK stocks. Additionally, the volatility-volume relationship is also considered in order to test the mixture of distributions hypothesis rationalisation for GARCH. In an extension of the current volatility volume literature, the CGARCH-volume model is used to examine the temporary volatility volume interactions. In terms of modelling ability, the stochastic volatility model performs on a par with the GARCH type models. In the forecasting analysis, the daily forecasts of FTSE 100 stocks perform poorly against the benchmark models with the four-weekly volatility forecasts performing relatively better. For the indices, the GARCH type models perform substantially better than for the FTSE 100 stocks.
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Carmo, João Pedro Rodrigues do. "Modeling stock markets through the reconstruction of market processes." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15048.
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Mestrado em EconomiaExistem duas maneira possíveis de interpretar a aparente natureza estocástica dos mercados financeiros: a Hipótese do mercado eficiente (HME) e um conjunto de factos estilizados que conduzem o comportamento dos mercados. Apresentamos evidência para alguns dos factos estilizados como a existência de um fenómeno de memória na volatilidade dos preços a curto prazo, um comportamento em lei de potência e dependências não lineares nos retornos. Considerando isto, construímos um modelo do mercado através de cadeias de Markov. Em seguida, desenvolvemos um algoritmo que pode ser generalizado para qualquer alfabeto de N símbolos e cadeia de Markov de comprimento K. Com esta ferramenta, somos capazes de mostrar que é, pelo menos, sempre melhor que um modelo completamente aleatório como o Passeio Aleatório. O código está escrito em MATLAB e é mantido no GitHub.
There are two possible ways of interpreting the seemingly stochastic nature of financial markets: the Efficient Market Hypothesis (EMH) and a set of stylized facts that drive the behavior of the markets. We show evidence for some of the stylized facts such as memory-like phenomena in price volatility in the short term, a power-law behavior and non-linear dependencies on the returns. Given this, we construct a model of the market using Markov chains. Then, we develop an algorithm that can be generalized for any N-symbol alphabet and K-length Markov chain. Using this tool, we are able to show that it's, at least, always better than a completely random model such as a Random Walk. The code is written in MATLAB and maintained in GitHub.
info:eu-repo/semantics/publishedVersion
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Yiu, Fan-lai. "Applicability of various option pricing models in Hong Kong warrants market /." [Hong Kong : University of Hong Kong], 1993. http://sunzi.lib.hku.hk/hkuto/record.jsp?B13570493.
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Liu, Taisheng. "Stock market overreaction and underreaction : theoretical explanations and empirical evidences." HKBU Institutional Repository, 2006. http://repository.hkbu.edu.hk/etd_ra/693.
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Wong, Chi-ching, and 黃智淸. "Market anomalies of the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1990. http://hub.hku.hk/bib/B31209488.
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Zou, Ping. "China's stock market : asset pricing and market structure." Thesis, SOAS, University of London, 2002. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.269976.
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Zebedee, Allan A. "The flow of information in financial markets : a market microstructure examination /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026388.
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Singh, Vikkram. "Financial Integration: Pervasiveness, Effect of Culture and Impact on Policy Effectiveness." Thesis, Griffith University, 2017. http://hdl.handle.net/10072/373044.
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The studies in this thesis examine financial integration: its extent across regions and market cycles, how culture affects it and how the levels of market linkages impact the effectiveness of policy decisions during periods of market crisis. This investigation is undertaken in four separate but interrelated studies. The first study (Chapter 3) uses a novel approach, partial correlations within a complex network framework, to examine the degree of globalization and regionalization of stock market linkages and how these linkages vary across different economic or market cycles. The results show that geography influences network linkages differently across market cycles. During normal times, regional factors shape market linkages; however, during periods of turbulence, global rather than regional factors drive these linkages. Also, the network traffic increases during times of turmoil, but contrary to previous results, the results do not indicate a consistent or overwhelming increase in positive linkages between markets. Also, contrary to expectations, financial centers such as the US, China, Japan, and the UK command a greater regional rather than global influence. These findings have implications for portfolio management and policy decision-making. The second study (Chapter 4) examines linkages between stock markets across market cycles by combining network and cointegration analysis. The results show that long-run linkages are likely to be global rather than regional and that market turbulence increases linkages. However, no widespread common stochastic trends between markets are detected. Also, the major financial markets fail to influence long-run network linkages. The third study (Chapter 5) conducts a comprehensive study on the effect of culture on stock market linkages. A quantile regression model uses data from 25 national stock markets to estimate the determinants of market linkages. It controls for distance, economic and legal variables while using culture variables such as language, religion, and Hofstede’s culture dimensions. The study tests whether the effects of culture hold across regions, in markets with higher liquidity, and if changes occur during periods of market crisis. The main conclusion is that culture preferences shape investor choices, which affects the integration between stock markets. Equity markets with similar cultural characteristics tend to increase market linkages; however, differences are observed across regions. Furthermore, liquidity and economic uncertainty does not impact the significance of culture variables as determinants of market linkages. The fourth study (Chapter 6) tests the hypothesis that policy interventions during periods of stress are less effective when markets are globally integrated. The tests are conducted in the context of the Chinese and Russian stock markets, which depict varying levels of linkages with the US market and were subject to policy interventions during the Global Financial Crisis. Using an event study in combination with dynamic conditional correlation and Markov regime switching methodology, a negative relationship exists between the degree of market linkages and the effectiveness of market interventions. The findings indicate that the market response in the Chinese market, which was less financially integrated with the US (than with Russia), was more effective. Thus, the study lends support to the hypothesis that policy interventions in equity markets become less effective when markets are integrated. This study is the first to investigate the impact of international market linkages on the effectiveness of stock market interventions. The results from this research show that tighter market integration shapes the changing market networks due to structural changes and the forces of globalization. The dynamics of the market networks draw attention to the impact of contagion on market efficiencies, which has far-reaching negative consequences on policy decisions during periods of market crisis. Although these disruptive market crises are difficult to prevent, a deeper understanding of market networks can empower policy decision-makers in dealing with these fallouts. The financial networks can also have a far-reaching impact on arbitrage and portfolio risk management strategies. The findings of the research also highlight the role of behavioral variables such as culture, which affects not only the development of financial markets but also how the financial linkages are shaped.Thesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
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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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Alshogeathri, Mofleh Ali Mofleh. "Macroeconomic determinants of the stock market movements: empirical evidence from the Saudi stock market." Diss., Kansas State University, 2011. http://hdl.handle.net/2097/11989.
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Doctor of PhilosophyDepartment of Economics
Lance J. Bachmeier
This dissertation investigates the long run and short run relationships between Saudi stock market returns and eight macroeconomic variables. We investigate the ability of these variables to predict the level and volatility of Saudi stock market returns. A wide range of Vector autoregression (VAR) and generalized autoregressive conditional heteroskedasticity (GARCH) models estimated and interpreted. A Johansen-Juselius cointegration test indicates a positive long run relationship between the Saudi stock price index and the M2 money supply, bank credit, and the price of oil, and a negative long run relationship with the M1 money supply, the short term interest rate, inflation, and the U.S. stock market. An estimated vector error correction model (VECM) suggests significant unidirectional short run causal relationships between Saudi stock market returns and the money supply and inflation. The VECM also finds a significant long run causal relationship among the macroeconomic variables in the system. The estimated speed of adjustment indicates that the Saudi stock market converges to the equilibrium within half a year. Granger causality tests show no causal relationship between Saudi stock market returns and the exchange rate. Impulse response function analysis shows no significant relationship between Saudi stock market returns and the macroeconomic variables. Forecast error variance decompositions suggest that 89% of the variation in Saudi stock market returns is attributable to its own shock, which implies that Saudi stock market returns are largely independent of the macroeconomic variables in the system. Finally, a GARCH-X model indicates a significant relationship between volatility of Saudi stock returns and short run movements of macroeconomic variables. Implications of this study include the following. (i) Prediction of stock market returns becomes more difficult as the volatility of the macroeconomic variables increases in the short run. (ii) Investors should look at the systematic risks revealed by these macroeconomic variables when structuring their portfolios and diversification strategies. (iii) Policymakers should seek to minimize macroeconomic fluctuations considering the effect of macroeconomic variables changes on the stock market when formulating economic policy.
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Lidgren, Becky, and Frida Myrsten. "The stock market and innovation : Does the stock market attract, select and boost innovation?" Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-448144.
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This paper explores the stock market as a source of funding for innovation by looking at the ability of the stock market to attract, identify and channel funds to innovative firms. We analysed 541 IPOs on the Swedish stock market between the years 2000-2015, using patent applications as a proxy for innovation. Results from an event study and regressions using two control groups show that firms find the stock market an attractive source of funding for innovation and that going public helps firms overcome liquidity restraints. By looking at the long- and short-term performance, measured by stock prices, of innovative firms by conducting OLS regressions, our results suggest; one, that there is an initial demand for innovative companies undergoing an IPO in comparison to non-innovative firms. And two, that investors are able to predict future innovativeness to some extent, but that they have some difficulties in anticipating future performance of innovative firms.
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Jeon, Kyung-Seong. "An examination of stock market properties : vector autoregression approach /." free to MU campus, to others for purchase, 1997. http://wwwlib.umi.com/cr/mo/fullcit?p9841304.
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Xu, Kenneth Cheng. "The emerging Chinese stock market." access full-text online access from Digital Dissertation Consortium, 1996. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?9720769.
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Nieuwland, Frederik Gertruda Maria Carolus. "Speculative markets dynamics an econometric analysis of stock market and foreign exchange market dynamics /." Proefschrift, Maastricht : Maastricht : Universitaire Pers Maastricht ; University Library, Maastricht University [Host], 1993. http://arno.unimaas.nl/show.cgi?fid=6219.
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Tan, Zhenhua. "Is the Chinese stock market overvalued?" Diss., Lincoln University, 2008. http://hdl.handle.net/10182/773.
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The Chinese stock market has experienced tremendous growth and development over the past years. It is now the second largest stock market in Asia (after Japan). The increasing numbers of stock investors and the generally upward trend of the local stock indexes transform the Chinese stock market into one of the most actively traded stock market. This study examined the “pricing errors” of the Chinese stock market. The intrinsic values of equities, which can be compared to actual index prices, were estimated using the dividend discount model. Using a database of daily dividend based index prices of Shanghai composite index 180 and Shenzhen composite index 100 from July 2002 to June 2005, our study shows the stocks were undervalued during the sample period, on average, by approximately 0.09% and 1% for Shanghai and Shenzhen composite indexes respectively. The result reveals during July 2002- June 2005, the Chinese stock markets were close to the real value. Another objective of this study is to examine the impact of the economic conditions on the “pricing errors” of Chinese stock market. We find that the Chinese stock markets are much price momentum driven. The relationships of the economic factors and the deviation between the estimated cost of equity (based on CAPM) and the implied cost of equity (based on the actual index prices) showed similar results. We conclude that the Chinese stock markets do not sufficiently reveal local economic conditions.
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"Market efficiency research on Shanghai stock market." 2002. http://library.cuhk.edu.hk/record=b5890949.
Full textAbstract:
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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Lin, Chia-Wei, and 林佳緯. "Financial Market dependence : Stock Markets." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/06552793720110965287.
Full textAbstract:
碩士國立中山大學
財務管理學系研究所
100
This paper focuses on stock markets, including Portugal、Italy、Ireland、Greece and Spain, and these are named PIGS by economists. Furthermore, we add the other three countries, U.S.A.、U.K. and Germany in this paper for investigating the dependence structure in the stock markets between these countries during the period 2001-2011. We implement a regime-switching copula model based on Gaussian copula, which uses a GARCH specification for the marginal distributions and the Gaussian copula for the joint distribution. Our method combines copulas and regime-switching models to demonstrate dependence sructures in stock markets between these countries. Based on this paper, we have two reports for international investors. First, if the dependency changes over time, the returns of portfolio diversification may be prone to diversification disasters, and the international investors'' degrees of diversification can cause higher systemic risk in the period of financial crisis. Second, the phonomenon of the asymmetric dependence exists in financial markets, and we conclude that non-diversification may be better than diversification in the period of financial crisis.
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"Size-related stock market anomalies on the Shenzhen A shares market." Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888669.
Full textAbstract:
by Chiu Mui-Ling.Thesis (M.B.A.)--Chinese University of Hong Kong, 1996.
Includes bibliographical references (leaves 48-51).
ACKNOWLEDGMENTS --- p.ii
ABSTRACT --- p.iii
TABLE OF CONTENTS --- p.iv
LISTS OF TABLES --- p.vi
LISTS OF CHARTS --- p.vii
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- LITERATURE REVIEW --- p.3
Chapter III. --- SHENZHEN STOCK MARKET --- p.16
Historical Background --- p.16
Membership of Shenzhen Stock Exchange --- p.18
Types of Shares --- p.19
A Shares --- p.19
B Shares --- p.20
H Shares --- p.21
Listed Securities in Shenzhen Stock Exchanges --- p.21
Dealing --- p.24
Shenzhen A Index --- p.24
Characteristics of Shenzhen Stock Market --- p.25
Government Maintain High Control --- p.25
Different Bodies Fight for Control --- p.26
Issuers Undergo Complicated Process --- p.26
Banks Frequently Change Its Role --- p.28
Overheat Economy Impact much on Market --- p.29
Legal and Accounting Systems are not Well-established --- p.30
Immature Investors Misconceive the Stock Market --- p.31
Chapter IV. --- DATA AND METHODOLOGY --- p.32
Sample Data --- p.32
The Data --- p.32
Sample Period --- p.33
Portfolio Formation --- p.33
Methodology --- p.34
Size Effect --- p.34
Seasonality --- p.37
Chapter V. --- EMPIRICAL RESULTS --- p.38
Size Effect --- p.38
Raw Return --- p.38
Excess Return --- p.40
Seasonality --- p.42
Chapter VI. --- EXPLANATION OF THE SEASONAL EFFECT --- p.44
Chapter VII. --- CONCLUSION --- p.46
BIBLIOGRAPHY --- p.48
CHART --- p.52
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Kim, Young Guk. "Regularities and anomalies of the Korea stock market tests of market efficiency." 1991. http://catalog.hathitrust.org/api/volumes/oclc/24508064.html.
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Numapau, Gyamfi Emmanuel. "Market Efficiency of African Stock Markets." Thesis, 2017. http://hdl.handle.net/11602/1099.
Full textAbstract:
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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Lee, Taiki. "The Asian crisis and stock market co-movements the US market effects on the Korean and Japanese markets /." 2004. http://catalog.hathitrust.org/api/volumes/oclc/76955822.html.
Full text
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Yueh-LinWu and 吳岳霖. "The Relationship Between Taiwan Stock Market and The International Stock Markets." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/72549706986152681678.
Full textAbstract:
碩士國立成功大學
統計學系碩博士班
98
The topic of this research is to study the relationship between Taiwan stock market and other important international stock markets. The study period from Jan. 3, 2005 to Dec. 28, 2009 weekly data analysis including a total of 20 international stock market index. In this research contained two part of analysis. First part of analysis, using multivariate time series model confirm the relationship between Taiwan Stock Market and The International Stock Markets. Second part of analysis, carry on the first part of multivariate time series model, comparing the prediction with other method including univariate time series model and backward propagation network. Through the ICSS algorithm, it could split time series up on Aug. 6, 2007 since the change of variance detected. We conclude that Europe and America Stock market have granger causality relationship with Taiwan stock market. The better forecasting method is backward propagation network, better than the others.
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Chen, Ju-Hsien, and 陳儒賢. "The Connection among Commodity Market, the US Stock Market and Taiwan Stock Market." Thesis, 2014. http://ndltd.ncl.edu.tw/handle/3kv5bw.
Full textAbstract:
碩士龍華科技大學
企業管理系碩士班
103
This research explored the relationship between Taiwan stock market, commodity market and American stock market. There are six variables with total 213 observations for each variable using monthly data from the period of October 1995 to June 2013. The Model 1 examined the commodity market including gold price (LLG), petroleum price (WTI), USD index (USDX) and Taiwan stock market. And the Model 2 adds American stock market, Dow Jones Industrial Average (DJIA) and NASDAQ. The results of the Ordinary Least Squares (OLS) showed that USDX had a significant negative impact on Taiwan stock market in the Model 1. However, in the Model 2 showed WTI and USDX had significant negative impacts on Taiwan stock market, but NASDAQ had a positive significant impact on Taiwan stock market. The results of the Unit Root test demonstrated that all variables were not stationary series in its original numbers, but they became I (1) stationary series after the First Difference processing. In addition, the results of the Johansen Cointegration test showed that there was no cointegration on both models, but there was on-way leading relationship for Taiwan stock market on WTI, DJIA and NASDAQ from the Granger Causality test. From the Impulse Response Analysis, the results showed that Taiwan stock market had a negative impulse response on USDX and WTI while it had positive impulse responses on LLG, DJIA and NASDAQ, and the impulse lasted for 4 periods. Finally, the results of the Forecast Error Variance Decomposition presented there were high self-explanation power for all variables on both models and Taiwan stock market had the most influence from NASDAQ and DJIA in the Model 2.
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"Tests on relative strength index trading rules in China stock market." 2002. http://library.cuhk.edu.hk/record=b5890950.
Full textAbstract:
by Leung Kwok Chu, Wong Cheuk Fung.Thesis (M.B.A.)--Chinese University of Hong Kong, 2002.
Includes bibliographical references (leaves 54-55).
ABSTRACT --- p.ii
TABLE OF CONTENTS --- p.iv
ACKNOWLEDGMENTS --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Technical Analysis --- p.2
The Characteristics and Efficiency of China's Equity Markets --- p.3
Market Participants --- p.4
Transaction Costs and Tradability of Shares --- p.5
Availability of Information --- p.7
Implication on Weak Form Market Efficiency --- p.8
Relative Strength Index --- p.10
Chapter II. --- LITERATURE REVIEW --- p.12
Chapter III. --- METHODOLOGY --- p.15
Primary Research --- p.15
Source of Data --- p.15
Spreadsheet Calculation Procedure --- p.16
Hypothesis Testing --- p.18
The First Type of Tests --- p.18
The Second Type of Tests --- p.19
The Third Type of Tests --- p.20
Chapter IV. --- RESEARCH FINDINGS --- p.21
Abnormal Returns Obtained by Following RSI Trading Rules --- p.21
A-shares --- p.21
Buy signals --- p.21
Interpretations of buy signals in A-share markets --- p.22
Sell signals --- p.22
Interpretations of sell signals in A-share markets --- p.23
B-shares --- p.25
Buy signals --- p.25
Interpretations of buy signals in B-share markets --- p.25
Sell signals --- p.26
Interpretations of sell signals in B-share markets --- p.27
Chapter V. --- ADDITIONAL RESEARCHES ON B-SHARE MARKETS --- p.30
Findings on Additional Researches on B-share Markets --- p.30
Interpretations of Findings on Additional Researches on B-share Markets --- p.31
Chapter VI. --- ADDITIONAL RESEARCHES ON A-SHARE MARKETS --- p.32
Correlation between Abnormal Return and Volume Turnover --- p.33
Findings on Correlation between Abnormal Return and Volume Turnover --- p.33
Interpretations of Findings on Correlation between Abnormal Return and Volume Turnover --- p.33
Correlation between Abnormal Return and Market Value --- p.34
Findings on Correlation between Abnormal Return and Market Value --- p.34
Interpretations of Findings on Correlation between Abnormal Return and Market Value --- p.35
Chapter VII. --- CONCLUSIONS --- p.37
Chapter VIII. --- LIMITATIONS --- p.39
Chapter IX. --- FURTHER STUDIES RECOMMENDED --- p.42
APPENDIX --- p.44
BIBLIOGRAPHY --- p.54
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"Technical analysis and market inefficiency: a study of the Hong Kong stock market." Thesis, 1997. http://library.cuhk.edu.hk/record=b6073905.
Full textAbstract:
All these results indicate that the hypothesis of weak-form market efficiency has limited applicability in the Hong Kong stock market and that recognised inefficiencies are strongly associated with the information of trend-chasing technical analysts. The results are also consistent with the findings of a theoretical model proposed in this dissertation. In particular, the model suggests that trend-chasing behaviour, together with uncertainty about intrinsic values, contributes to market inefficiency.This dissertation studies the relationship between the use of trend-chasing technical analysis and inefficiency in the Hong Kong stock market. To answer how widespread use of technical analysis can influence stock prices, a simple equilibrium model is developed. It is shown that trend-chasing behaviour, together with uncertainty about intrinsic values, leads to market inefficiencies in the form of overshooting, positive autocorrelation of short-horizon returns, mean reversion and excess volatility.
To empirically test whether market inefficiency is associated with the information of trend-chasing technical analysts, this dissertation focuses on the Hong Kong stock market, in which technical analysis is widely used. The data covers daily closing values of the Hang Seng Index (HSI) in Hong Kong from 1969 to 1992. The results show that the buy and sell signals obtained from MA rules, which are commonly used indicators of technical analysis in the market, are strongly associated with abnormal price behaviour. For instance, when changes in these MA signals are observed, short-run abnormal price behaviour is noted. That is, stock prices tend to rise when the MA rules change to buy signals and tend to fall when they change to sell signals. Also, autocorrelation in daily returns appears to differ for periods following buy and sell signals. Daily returns tend to be more autocorrelated when the MA rules provide buy signals and less autocorrelated when they provide sell signals. Moreover, when most MA rules show buy signals, mean reversion is more pronounced in subsequent dates. Furthermore, fund managers in Hong Kong can benefit from using the buy and sell signals because they consistently provide information allowing for superior market timing.
by Wong Chak-sham Michael.
Source: Dissertation Abstracts International, Volume: 59-09, Section: A, page: 3579.
Thesis (Ph.D.)--Chinese University of Hong Kong, 1997.
Includes bibliographical references (p. 134-145).
Electronic reproduction. Hong Kong : Chinese University of Hong Kong, [2012] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest dissertations and theses, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
Electronic reproduction. Ann Arbor, MI : ProQuest Information and Learning Company, [200-] System requirements: Adobe Acrobat Reader. Available via World Wide Web.
School code: 1307.
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Grace, Chen, and 陳尚菁. "Public Auctions of Stocks in Taiwan Stock Market." Thesis, 1998. http://ndltd.ncl.edu.tw/handle/51882119608668731199.
Full textAbstract:
碩士國立中山大學
企業管理研究所
86
From 1994 to 1997, not only the annual times of public auctions of listing stocks in Taiwan Stock Market increased, but also annualquantities traded by public auctions increased rapidly. The main purpose of this thesis is to investigate prices and quantities of each trading day of4 public auctions in 1997. For each public auction, the results are asfollowed: (1) On the first trading day, the seller''s and buyers'' reservationprices equal the close price of that day in the secondary market multiplysome discount rate, which is less than 1. But that discount rate almostequals 1 at the last trading day. (2) On the first trading day or the trading day on which the seller''s reservation changes, some bid prices are lowerthan the seller''s reservation price. If there are so many bid prices lower than the seller''s reservation price, it''s likely that part of those stocksdeclered to be sold by auction remain unsold. (3) About or over 60 percent of bids'' quantities with prices equal with or higher than theseller''s reservation price are the minimal bid quantity, which shows thatthe minimal bid quantity should not be too high for majory of investors. (4) Average bid quantities with odd and even prices (or whole numbersand otherwise) are different significantly. (5) When the declered quantity to sell is very large, those investors who want to buy huge amount of thestocks choose to wait until the seller''s reservation price reveal.On the other hand, I collect 7 auctions on stocks in Taiwan StockMarket from 1996 to 1997 to acumulate abnormal return aroundannouncement day and first trading day. Only the 27 and 28 trading day before announcement day appear significant positive cumulativeabnormal return.