Dissertations / Theses on the topic 'Stocks Prices Australia Econometric models'
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Eadie, Edward Norman. "Small resource stock share price behaviour and prediction." Title page, contents and abstract only, 2002. http://web4.library.adelaide.edu.au/theses/09CM/09cme11.pdf.
Full textYang, Wenling. "M-GARCH Hedge Ratios And Hedging Effectiveness In Australian Futures Markets." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2000. https://ro.ecu.edu.au/theses/1530.
Full textOliveira, Lima Jorge Claudio Cavalcante de. "Fractional integration and long memory models of stock price volatility : the evidence of the emerging markets." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38164.
Full textOther possible explanations for the occurrence of long term persistence are also pursued such as the Regime Switching modelisation proposed first by Hamilton and Susnel (1994) with the SWARCH approach. Results show that this approach can bring another possible explanation for persistence, specially in economies like Brazil that, have very different regimes for the period covered in this study.
Limkriangkrai, Manapon. "An empirical investigation of asset-pricing models in Australia." University of Western Australia. Faculty of Business, 2007. http://theses.library.uwa.edu.au/adt-WU2007.0197.
Full textMagliolo, Jacques. "The relevance and fairness of the JSE ALTX PRE-IPO share pricing methodologies." Thesis, Nelson Mandela Metropolitan University, 2012. http://hdl.handle.net/10948/d1018652.
Full textMilunovich, George Economics Australian School of Business UNSW. "Modelling and valuing multivariate interdependencies in financial time series." Awarded by:University of New South Wales. School of Economics, 2006. http://handle.unsw.edu.au/1959.4/25162.
Full textKing, Daniel Jonathan. "Modelling stock return volatility dynamics in selected African markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1006452.
Full textO'Grady, Thomas A. "The profitability of technical analysis and stock returns from a traditional and bootstrap perspective : evidence from Australia, Hong Kong, Malaysia and Thailand." Thesis, Edith Cowan University, Research Online, Perth, Western Australia, 2012. https://ro.ecu.edu.au/theses/506.
Full textMnjama, Gladys Susan. "Exchange rate pass-through to domestic prices in Kenya." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002709.
Full textCasas, Villalba Isabel. "Statistical inference in continuous-time models with short-range and/or long-range dependence." University of Western Australia. School of Mathematics and Statistics, 2006. http://theses.library.uwa.edu.au/adt-WU2006.0133.
Full textFodor, Bryan D. "The effect of macroeconomic variables on the pricing of common stock under trending market conditions." Thesis, Department of Business Administration, University of New Brunswick, 2003. http://hdl.handle.net/1882/49.
Full textTypescript. Bibliography: leaves 83-84. Also available online through University of New Brunswick, UNB Electronic Theses & Dissertations.
Humpe, Andreas. "Macroeconomic variables and the stock market : an empirical comparison of the US and Japan." Thesis, St Andrews, 2008. http://hdl.handle.net/10023/464.
Full textJones, Timothy Gordon 1978. "Essays on money, inflation and asset prices." 2008. http://hdl.handle.net/2152/17968.
Full texttext
"Essays in monetary theory and finance." 2004. http://library.cuhk.edu.hk/record=b5891997.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2004.
Includes bibliographical references (leaves 185-187).
Abstracts in English and Chinese.
Curriculum Vitae --- p.ii
Acknowledgments --- p.iii
Abstract --- p.v
Table of Contents --- p.viii
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- The behavior of income velocity of money --- p.3
Chapter 2.1 --- Introduction --- p.3
Chapter 2.2 --- Literature Review --- p.4
Chapter 2.3 --- Data Description --- p.9
Chapter 2.4 --- Methodology --- p.9
Chapter 2.5 --- Empirical Result --- p.16
Chapter 2.6 --- Conclusion --- p.26
Chapter Chapter 3. --- The behavior of equity premium --- p.106
Chapter 3.1 --- Introduction --- p.106
Chapter 3.1 --- Literature Review --- p.106
Chapter 3.2 --- Data Description --- p.112
Chapter 3.3 --- Methodology --- p.112
Chapter 3.4 --- Empirical Result --- p.120
Chapter 3.5 --- Conclusion --- p.130
Data Appendices --- p.182
Bibliography --- p.185
"Threshold autoregressive model with multiple threshold variables." 2005. http://library.cuhk.edu.hk/record=b5892601.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 33-35).
Abstracts in English and Chinese.
Chapter 1. --- Introduction --- p.1
Chapter 2. --- The Model --- p.4
Chapter 3. --- Least Squares Estimations --- p.6
Chapter 4. --- Inference --- p.7
Chapter 4.1 --- Asymptotic Joint Distribution of the Threshold Estimators --- p.7
Chapter 4.2 --- Testing Threshold Effect: Model Selection Followed by Testing --- p.13
Chapter 5. --- Modeling --- p.16
Chapter 5.1 --- Generic Consistency of the Threshold Estimators under specification errors --- p.17
Chapter 5.2 --- Modeling Procedure --- p.20
Chapter 6. --- Monte Carlo Simulations --- p.21
Chapter 7. --- Empirical Application in the Financial Market --- p.24
Chapter 7.1 --- Data Description --- p.26
Chapter 7.2 --- Estimated Results --- p.26
Chapter 8. --- Conclusion --- p.30
References --- p.33
Appendix 1: Proof of theorem1 --- p.36
Appendix 2: Proof of theorem2 --- p.39
Appendix 3: Proof of theorem3 --- p.43
List of Graph --- p.49
Chandrashekar, Satyajit. "Three new perspectives for testing stock market efficiency." Thesis, 2006. http://hdl.handle.net/2152/3757.
Full text"Determining the contributions to price discovery of China cross-listed stocks." 2005. http://library.cuhk.edu.hk/record=b5892498.
Full textThesis (M.Phil.)--Chinese University of Hong Kong, 2005.
Includes bibliographical references (leaves 66-70).
Abstracts in English and Chinese.
Abstract --- p."i,ii"
Acknowledgements --- p.iii
Table of Content --- p.iv
List of Tables and Figures --- p.v
List of Abbreviation --- p.vi
Chapter Chapter 1. --- Introduction --- p.1
Chapter Chapter 2. --- Literature Review --- p.4
Chapter 2.1 --- Benefits of Cross-listing --- p.4
Chapter 2.2 --- The Price-discovery process of cross-listed stocks --- p.8
Chapter 2.3 --- Previous studies on Chinese cross-listed stocks --- p.2
Chapter Chapter 3. --- China Overseas Listing --- p.15
Chapter 3.1 --- The history of overseas listing --- p.15
Chapter 3.2 --- Methods of overseas listing --- p.17
Chapter 3.3 --- The motivation for Chinese firms to list overseas --- p.18
Chapter 3.4 --- The prospects of China Overseas listing --- p.21
Chapter Chapter 4. --- Price-discovery contributions to China-backed stocks cross-listed on SEHK and NYSE --- p.23
Chapter 4.1 --- Data --- p.23
Chapter 4.2 --- Methodology --- p.25
Chapter 4.3 --- Empirical Results and Interpretation --- p.31
Chapter 4.4 --- Cross-Sectional analysis of NYSE contributions to the price-discovery process --- p.40
Chapter Chapter 5. --- Price-discovery contributions to the cross-listed H share and A share --- p.45
Chapter 5.1 --- Data and Sample details --- p.46
Chapter 5.2 --- Methodology --- p.49
Chapter 5.3 --- Empirical results and interpretation --- p.54
Chapter 5.4 --- A brief analysis of cointegration determinants --- p.57
Chapter 5.5 --- The cointegration between H share and A share- Daily analysis --- p.61
Chapter Chapter 6. --- Conclusion --- p.64
Reference --- p.66
Tables --- p.71
Ogotseng, Onthatile Tiny. "Stock returns behaviour and the pricing of volatility in Africa's equity markets." Thesis, 2017. http://hdl.handle.net/10539/23050.
Full textMT2017
"Stock return volatility of emerging markets." 1998. http://library.cuhk.edu.hk/record=b5896256.
Full textThesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaves 54-55).
Acknowledgements --- p.i
Abstract --- p.iii
Table of Contents --- p.iv
List of Tables --- p.vi
List of Appendix --- p.vii
Chapter Chapter1 --- Introduction --- p.1
Chapter 1.1 --- Project Objective --- p.1
Chapter 1.2 --- Project Structure --- p.2
Chapter 1.3 --- Data --- p.3
Chapter Chapter 2 --- Emerging Markets´ؤ-An Overview --- p.5
Chapter 2.1 --- Latin America --- p.5
Argentina --- p.5
Brazil --- p.7
Chile --- p.7
Colombia --- p.8
Mexico --- p.8
Peru --- p.9
Venezuela --- p.9
Chapter 2.2 --- Eastern Europe --- p.10
Czech Republic --- p.10
Poland --- p.10
Slovakia --- p.11
Hungary --- p.11
Russia --- p.11
Chapter 2.3 --- Middle East --- p.12
Israel --- p.12
Jordan --- p.12
Chapter 2.4 --- Implication For Further Analysis --- p.13
Chapter Chapter 3 --- Analysis and Findings I: Descriptive Statistics Analysis --- p.14
Chapter 3.1 --- Objective of Descriptive Statistic Analysis --- p.14
Chapter 3.2 --- Findings --- p.16
Eastern Europe --- p.16
Latin America --- p.16
Middle East --- p.17
Chapter 3.3 --- Conclusion --- p.18
Chapter Chapter 4 --- Analysis and Findings II: Day-of-the- Week (Monday effect) Test --- p.19
Chapter 4.1 --- Objective --- p.19
Chapter 4.2 --- Literature Review --- p.19
Chapter 4.3 --- Methodology --- p.21
Chapter 4.4 --- Data --- p.23
Chapter 4.5 --- Analysis --- p.24
Chapter 4.6 --- Empirical findings --- p.25
Chapter I. --- The equality of return test --- p.25
Eastern Europe --- p.26
Latin America --- p.26
Middle East --- p.26
Overall --- p.27
Local currency versus US currency --- p.27
Chapter II. --- Comparison of Monday return with returns of other days within the week --- p.27
Chapter l. --- Without exchange rate effect --- p.28
Chapter 4.7 --- Monday effect一-an overview --- p.31
Comparison by region --- p.31
Eastern Europe --- p.31
Latin America --- p.31
Middle East --- p.32
The effect of exchange rate --- p.32
Chapter Chapter 5 --- Analysis And Findings III: Correlation Analysis --- p.33
Chapter 5.1 --- Literature Review --- p.33
Chapter 5.2 --- Objective --- p.35
Chapter 5.3 --- Methodology --- p.35
Chapter 5.4 --- Findings --- p.38
Chapter I --- Correlations Within Regions --- p.38
Eastern Europe --- p.33
Latin America --- p.40
Middle East --- p.42
Chapter II. --- Correlation Among Regions --- p.43
Eastern Europe vs. Latin America --- p.43
Latin America vs. Middle East --- p.44
Eastern Europe vs. Middle East --- p.45
Chapter III. --- Correlations with the United States --- p.46
US vs. Eastern Europe --- p.46
US vs. Latin America --- p.46
US vs. Middle East --- p.47
Chapter 5.5 --- Conclusion --- p.43
Chapter Chapter 6 --- Conclusions and Implications --- p.49
Implications on market integration --- p.52
BIBLIOGRAPHY --- p.54
APPENDIX --- p.56
"Market effects of changes in the composition of the Hang Seng Index." 1998. http://library.cuhk.edu.hk/record=b5889419.
Full textThesis (M.B.A.)--Chinese University of Hong Kong, 1998.
Includes bibliographical references (leaf 52).
ABSTRACT --- p.ii
TABLE OF CONTENT --- p.iii
LIST OF ILLUSTRATIONS --- p.iv
LIST OF TABLES --- p.v
ACKNOWLEGEMENTS --- p.vi
Chapter
Chapter I. --- INTRODUCTION --- p.1
Chapter II. --- OBJECTIVES --- p.3
Chapter III. --- LITERATURE REVIEW --- p.4
Chapter IV. --- THE SAMPLE --- p.9
Chapter V. --- METHODOLOGY --- p.14
The Market Model --- p.15
Methods to Estimate the Excess Returns --- p.16
Chapter VI. --- RESULTS AND ANALYSIS --- p.19
Price Effects on Inclusion in HSI --- p.19
Price Effects on Exclusion from HSI --- p.33
Comparison between Inclusion and Exclusion --- p.41
Chapter VII. --- IMPLICATIONS --- p.42
Chapter VIII. --- CONCLUSION --- p.45
APPENDIX --- p.47
BIBLIOGRAPHY --- p.52