Tesi sul tema "Market efficiency"
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Zhang, Jian. "Market efficiency test in the VIX futures market". Laramie, Wyo. : University of Wyoming, 2008. http://proquest.umi.com/pqdweb?did=1798967041&sid=1&Fmt=2&clientId=18949&RQT=309&VName=PQD.
Testo completoNishi, Hirofumi. "Market Efficiency, Arbitrage and the NYMEX Crude Oil Futures Market". Thesis, University of North Texas, 2016. https://digital.library.unt.edu/ark:/67531/metadc862846/.
Testo completoAl-Shamali, Mansour. "Weak form efficiency and factors leading to market efficiency in the Kuwait stock market". Thesis, Loughborough University, 1989. https://dspace.lboro.ac.uk/2134/6735.
Testo completoSöderström, Johan. "Empirical studies in market efficiency /". Stockholm : EFI, 2008. http://www.gbv.de/dms/zbw/568733436.pdf.
Testo completoAlagidede, Paul. "Market efficiency and stock return behaviour in Africa's emerging equity markets". Thesis, Loughborough University, 2008. https://dspace.lboro.ac.uk/2134/8093.
Testo completoPaudyal, Krishna N. "Macro economic announcements and financial asset markets : tests of market efficiency". Thesis, University of Strathclyde, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.293214.
Testo completoMohti, Wahbeeah. "Essays on frontier markets: financial integration, financial market efficiency, financial contagion". Doctoral thesis, Universidade de Évora, 2019. http://hdl.handle.net/10174/24579.
Testo completoSkenberg, Christian, Hoan Tran e Henrik Venemyr. "Market efficiency? : A Good(will) test". Thesis, Jönköping University, Jönköping International Business School, 2005. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-137.
Testo completoProblem: Recent articles argue that the new accounting standard regarding abandonment of depreciation of goodwill will cause a rise in share prices. According to the Efficient Market Hypothesis, a rise in profits due to accounting changes should not cause an increase in share prices. Therefore we ask the following main question in our thesis: Do investors on the Stockholm Stock Exchange act semi-strong efficient in relation to the abandonment of linear depreciation of goodwill?
Purpose: The purpose of this study is to test the semi-strong form of market efficiency on the Stockholm Stock Exchange by studying if companies show positive abnormal returns caused by the removal of linear depreciation of goodwill.
Method: Both a qualitative and quantitative approach was used to investigate semi-strong market efficiency. We conducted an event study to measure if companies with a high degree of goodwill showed abnormal returns. To be able to see if the abnormal returns were caused by the new accounting standards, a qualitative research was made.
Conclusion: The empirical investigation indicates that investors acted semistrong efficient in relation to the abandonment of linear depreciation of goodwill.
Konstam, Dominic. "Stock market efficiency and overreaction hypothesis". Thesis, University of Oxford, 1990. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302917.
Testo completoZhang, Hua, e 張華. "Investigating stock market efficiency in China". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.
Testo completoYi, Long, e 易龍. "Product market competition and investment efficiency". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2014. http://hdl.handle.net/10722/206682.
Testo completopublished_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
Ekdahl, Malin, e 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.
Testo completoBackground: 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.
Henriksson, Albin. "Market efficiency and the financial crisis : A study based on the market efficiency in the Nordic countries". Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104589.
Testo completoKhalid, 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.
Testo completoKoh, Sung Soo. "The Korean stock market : structure, behaviour and test of market efficiency". Thesis, City University London, 1989. http://openaccess.city.ac.uk/8245/.
Testo completoHon, Tow Siew Mark. "Aspects of market efficiency : an investigation of the UK equity market". Thesis, University of Bristol, 2001. http://hdl.handle.net/1983/d9cf9a7f-7b17-4968-96a2-09effffdc6ed.
Testo completoKoh, Sung Soo. "The Korean stock market structure, behavior, and test of market efficiency /". Online version, 1989. http://ethos.bl.uk/OrderDetails.do?did=1&uin=uk.bl.ethos.352906.
Testo completoTwomey, Paul. "Market efficiency of horse-race betting markets with applications to spread betting". Thesis, University of Sussex, 2005. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.483596.
Testo completoDing, Haina. "Three Essays on Information Efficiency in Financial Markets and Product Market Interaction". Thesis, Toulouse 1, 2014. http://www.theses.fr/2014TOU10021/document.
Testo completoThis dissertation contains three independent essays. The first two essays look at the informational role of stock prices and its impact on the real economy. The last one explores the relationship between managerial incentive and product market competition. In the first essay, two firms compete in a product market and have an opportunity to invest in a risky technology either early on as a leader or later once stock prices reveal the value of the technology. Information leakage thus introduces an option of waiting, which enhances production efficiency. A potential leader may nevertheless be discouraged from investing upfront, when anticipating its competitor to invest later in response to good news. I show that an increase in product market competition increases the option value of waiting but has an ambiguous effect on information production. It may thus be the case that intense competition leads to more leakage such that no firm would invest, especially so in a smaller market. Given a moderate level of competition, price informativeness may improve investment outcome when investment profitability and the market size are relatively large. The second essay examines the feedback effects of certifications in financial markets. A firm has to decide whether to monitor (or to ascertain) internally the prospect of a potential investment or to delegate this task to a certifier who reveals his evaluations to the outsiders. The investment decision is then taken based on all of the information available in the market. The information asymmetry between the firm and lenders is alleviated under delegation, and hence the firm enjoys a lower cost of capital at the financing stage. Delegation however reduces the information advantage of speculators who then make less effort to acquire information. This results in a potential information crowding-out effect. We show that the firm may prefer to delegate when the prior belief about the investment prospect is relatively high, and to choose in-house information production when its own signal is more precise and when its current assets in place generate a higher expected payoff. The third essay considers a spatial competition model with horizontal and vertical differentiation. Two firms are assigned to exogenous locations on a circular city. Consumers, distributed on the circle, need to pay a transportation cost for purchasing. Anticipating a future uncertainty in product quality, firms simultaneously offer incentive contracts to managers to induce an optimal effort level. I show that competition may adversely affects incentives, as a lower transportation cost impairs a firm's local market power and consequently reduces a firm’s marginal benefit from producing a high quality product, particularly when its competitor also produces a high quality product. On the other hand, greater competition reduces a firm's profit if it fails to improve product quality. This effect increases the optimal effort level and becomes dominant if the quality improvement is relatively large compared to the effort cost. Moreover, a large decrease in the transportation cost may change the market structure, such that the firm with better quality goods attracts all the demand, and thus the positive effect of competition on managerial effort becomes more significant
Kampe, Cristina. "Efficiency aspects on the Polish stock market /". Aachen : Shaker, 2004. http://www.gbv.de/dms/zbw/379623196.pdf.
Testo completoDissanaike, Gishan Romesh. "The overreaction hypothesis and stock market efficiency". Thesis, University of Cambridge, 1993. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.282856.
Testo completoTimmermann, Allan. "Rational expectations, learning and stock market efficiency". Thesis, University of Cambridge, 1991. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.357750.
Testo completoQin, Nan. "Three essays on mispricing and market efficiency". Diss., Virginia Tech, 2014. http://hdl.handle.net/10919/49671.
Testo completoPh. D.
Pilstl, Michaela. "Lifestyle market segmentation - efficiency and ethical issues". Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-73795.
Testo completoLin, James Wu-Hsiung. "Efficiency of the T-bill futures market". Diss., The University of Arizona, 1987. http://hdl.handle.net/10150/184269.
Testo completoTahir, Izah Mohd. "Market structure and efficiency in ASEAN banking". Thesis, Bangor University, 1999. https://research.bangor.ac.uk/portal/en/theses/market-structure-and-efficiency-in-asean-banking(808c7a5c-8340-430c-860c-011138c7fe6a).html.
Testo completoSöderberg, Gustav, e Rikard Nyström. "Insider Trading - An Efficiency Contributor?" Thesis, Umeå universitet, Företagsekonomi, 2013. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-73596.
Testo completoAbdi, Abdirahman, e Renyuan Huang. "Market efficiency for two classes of stocks in China: state owned and private companies". Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-61803.
Testo completoLiu, 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.
Testo completoYu, Yinghui. "Short-sales constraints and market efficiency evidence from the Hong Kong market /". Click to view the E-thesis via HKUTO, 2006. http://sunzi.lib.hku.hk/hkuto/record/B3720564X.
Testo completoYu, Yinghui, e 于映輝. "Short-sales constraints and market efficiency: evidence from the Hong Kong market". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2006. http://hub.hku.hk/bib/B3720564X.
Testo completopublished_or_final_version
abstract
Business
Doctoral
Doctor of Philosophy
Ji, Shan Banking & Finance Australian School of Business UNSW. "Security market manipulations and the assurance of market integrity". Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/44724.
Testo completoAnderson, D. Scott. "Unlimited liability and market efficiency, theory and evidence from the Canadian securities markets". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape7/PQDD_0014/NQ39253.pdf.
Testo completoTao, Zhisong. "Pricing efficiency in the Quebec feed ingredient market". Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1997. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape11/PQDD_0002/MQ44295.pdf.
Testo completoMa, Shiguang. "Tests of informational efficiency of China's stock market /". Title page, contents and abstract only, 2000. http://web4.library.adelaide.edu.au/theses/09PH/09phm111.pdf.
Testo completoNumapau, Gyamfi Emmanuel. "Market Efficiency of African Stock Markets". Thesis, 2017. http://hdl.handle.net/11602/1099.
Testo completoDepartment 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
Saravia, Celeste Cobb. "Market power and market efficiency : studies in restructured electricity markets /". 2004. http://www.gbv.de/dms/zbw/547428960.pdf.
Testo completoLiang, Fu-Ting, e 梁富珽. "Market Segmentation and Price Efficiency across Emerging Markets". Thesis, 2018. http://ndltd.ncl.edu.tw/handle/z98393.
Testo completo元智大學
財務金融暨會計碩士班(財務金融學程)
106
Emerging markets suffer from greater political risk, macroeconomic instability and poor investor protection, and therefore become more segmented from global markets. In particular, short sale constraints, among other institutional factors, are important impediments to price efficiency of common stocks. This study examines stock price efficiency across emerging markets, with particular emphasis on the impact from short sale constraints and the degree of market segmentation. Empirical evidence across emerging markets show that short sale constraints indeed impair price efficiency of emerging stock markets. Results however only find weak relation between market segmentation and price efficiency when firm-level factors are considered.
"Market efficiency research on Shanghai stock market". 2002. http://library.cuhk.edu.hk/record=b5890949.
Testo completoThesis (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
"Market power and efficiency". Thesis, 2010. http://hdl.handle.net/1911/62046.
Testo completoYING-JU, WU, e 吳盈如. "Testing Art Market Efficiency". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/73714893040143869088.
Testo completo逢甲大學
金融碩士在職專班
104
This study analyzes the efficiency market hypothesis for the art market. We use quarterly data from 1998:1 to 2015:1. Our analysis is based on 15 art price indices: Global index (USD), Global index (EUR), Paintings, Prints, Sculptures, Photographies, Drawings, Old Masters, Nineteenth Century, Modern Art, Post-war, Contemporary, USA (in USD), UK(in GBP) and France (in EUR). We cannot reject the null of unit root, and we conclude that the art series is nonstationary based on the conventional unit root test. However, when we use the Quantile unit root test, we are able to reject the unit root null for the 9 of 15 art indices. These nine series are Global index (EUR), Paintings, Prints, Sculptures, Drawings, Post-war, USA (in USD), UK (in GBP) and France (in EUR). Overall, our result suggests that the art market is inefficient, and these 9 art indices face different shocks is a temporary effect, thus there are arbitrage chances.
Lin, Hsin-Yuan, e 林信源. "A Market Efficiency Validation in Taiwan Futures Market". Thesis, 2011. http://ndltd.ncl.edu.tw/handle/88204688376809092942.
Testo completo國立雲林科技大學
財務金融系碩士班
99
We analyzed Taiwan Futures Market, a total of four intraday data for TX, MTX, TF, TE, and look for arbitrage opportunities to discuss whether Taiwan''s futures market compliance with efficient market hypothesis. In different combinations of technical indicators among the performance of profit, to compare of transactions no lag and lag five minutes, and find can continue to arbitrage of the technical specifications. The results showed TF and TE are the best performance than other market, before deduction transaction costs, most of the technical indicators can profit, after deducting transaction costs only the few technical indicators can profit, two of technical indicators is better than a single, and time has little effect on profits, the biggest impact on profitability with transaction costs.
"Cointegration and exchange market efficiency". SFB Adaptive Information Systems and Modelling in Economics and Management Science, 1999. http://epub.wu-wien.ac.at/dyn/dl/wp/epub-wu-01_1b1.
Testo completoChen, Hui-Chun, e 陳惠純. "Testings for OTC Market Efficiency". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/33591273909382752148.
Testo completoChen, Pei-Hsuan, e 陳琲璇. "Audit Tenure and Market Efficiency". Thesis, 2015. http://ndltd.ncl.edu.tw/handle/afa23f.
Testo completo國立中央大學
會計研究所
103
Our study explores whether longer audit tenure can promote the market efficiency to reduce information asymmetry. Under an inefficient market, information cannot response effectively to the market, which causes a problem of information asymmetry. Therefore, it requires the government to protect investors through the enforcement of mandatory auditor rotation policy. On the other hand, under an efficient market, information has been fully reacted in the market, so interventions from government are unnecessary. There are two findings in our research. First, we find that the longer the audit tenure is, the more the efficiency of the market can be improved. Second, with the comprehensive effect of the two kinds of audit tenure, audit firm tenure can significantly improve the efficiency of the market, while the effect that audit-partner tenure can improve the efficiency of the market is insignificant.
LIN, FANG-CHUN, e 林芳群. "Internet Search and Market Efficiency". Thesis, 2017. http://ndltd.ncl.edu.tw/handle/rt34ng.
Testo completo國立高雄第一科技大學
金融系碩士班
105
This study demonstrates the impact on price discovery between stock futures and spots, resulting from internet searching. I first utilize the vector auto-regression model and the vector error correlation model to explore price discovery between stock futures and spots. In my experiment, from September 1, 2010 to December 31, 2015, I focus on the thirty stock futures and spots with the highest daily trading values and the lead-lag relationship between spot and futures prices. I even add the Google search volume index, with dummy variables, D1, D2, and D3, denoting high to low search volume, to my model that explore the effect on spot and futures price. The empirical result shows that spot prices always leads futures prices whether adding dummy variable D3 or not. Then, after adding dummy variables, D1 and D2 (high search volume), the rate of price discovery is dramatically reduced to 50%. Since this is due to outlier within high search volume index, I may say that the search volume has little influence on market price. Furthermore, I conclude that search volume has low correlation with market efficiency.
Shih-HongYang e 楊世宏. "Research on Capital Market Efficiency". Thesis, 2009. http://ndltd.ncl.edu.tw/handle/77418838738838873481.
Testo completo元智大學
會計學系
97
This thesis investigates whether information uncertainty leads to a firm’s misevaluation by the capital market. Further, we examine an analyst’s forecast biases increase due to the relative high level of information uncertainty. Our samples consist of companies in North America. The sample period is from 1988 to 2006. This study adopts the model in Rhodes-Kropf, Robinson, and Viswanathan’s (2005) to evaluate market mispricing. We use the perception of earnings quality to proxy information uncertainty. We find the positive association between information uncertainty and the possibility of being mispriced by the capital market. Moreover, an analyst’s forecast accuracy is significantly decreased when predicting the earnings of a firm with relative high information uncertainty.
CHEN, LIN HSIAO, e 林孝貞. "Testing Chinese Stock Market Efficiency". Thesis, 2016. http://ndltd.ncl.edu.tw/handle/33832802319921924913.
Testo completo逢甲大學
金融碩士在職專班
104
Abstract In this study, we apply quantile unit root test to test the weak-form efficient market hypothesis for China, using stock price index data from December 21, 1990 to April 10, 2015 for both the Shanghai and the Shenzhen. Our empirical results demonstrate that Shenzhen stock market is more efficient than that of Shanghai stock market. Inspection of the Chinese market efficiency, this means that a more active policy to open the capital market in China for interantional investor should be adopeted.
Seif, Mostafa. "Market efficiency and limits to arbitrage in advanced emerging markets". Thesis, 2016. http://hdl.handle.net/1959.13/1322467.
Testo completoThis thesis has two key motivations. The first is to undertake a comprehensive examination of the market characteristics and institutional features across nine ‘advanced emerging’ stock markets: Brazil, Czech Republic, Hungary, Malaysia, Mexico, Poland, South Africa, Taiwan and Turkey. After identifying that these markets comprise characteristics that may restrict rational investors from arbitraging away identifiable mispricing, the second purpose of this thesis is to examine the level of market efficiency and the relation between mispricing and limits to arbitrage. Given limitations with the depth and quality of accounting information across emerging markets, the issue of market efficiency is examined by testing whether returns and volatility-based anomalies that have been identified in developed markets are also evidenced across this sample. More specifically, this thesis examines the prevalence of seasonality in both returns and volatility of returns with respect to five calendar anomalies that have been identified in the context of developed markets. In addition, this thesis examines whether there is evidence of a negative relationship between maximum one-day returns and subsequent monthly returns (referred to as the MAX effect) in advanced emerging markets. Despite an extensive number of studies documenting evidence of seasonal anomalies and the MAX effect in developed markets, which indicates that these markets are less than perfectly efficient, this thesis provides the first comprehensive examination of this issue across advanced emerging markets. This thesis also expands the existing literature by examining the potential sources of such anomalous returns and the existence of mispricing in these markets by testing whether the returns can be explained by risk-based pricing models or time series variation in limits to arbitrage. The results of this thesis provide evidence of the existence of strong anomalous returns, which indicates a high level of mispricing across advanced emerging stock markets. Specifically, this thesis finds that, on average, returns are higher during the month of December, the 44th week of the year, Fridays and pre- and post-holidays; and these anomalous returns are not explained by seasonal variation in volatility. Moreover, this thesis reports evidence of a strong MAX effect that is persistent after controlling for size, book to market ratio, market beta, momentum, short-term return reversals and liquidity. The magnitude of the mispricing associated with the MAX effect appears to be higher in advanced emerging markets compared with developed markets. The zero-investment returns generated by the MAX effect are shown to co-vary with time series variation in limits to arbitrage. Taken as a whole, these results suggest a lower level of efficiency across advanced emerging markets that can be explained by the market characteristics and institutional features that restrict the ability of rational investors to arbitrage away mispricing. The results reported in this thesis can therefore allow investors to better understand the characteristics of risk and returns in advanced emerging markets in order to develop improved asset pricing models in the context of these markets. In addition, the demonstrable link between asset pricing anomalies and limits to arbitrage may provide policy makers with a framework for improving the efficiency of their stock markets by mitigating market frictions through investor protection measures, and relaxation of capital controls and short-selling restrictions, among others.
Lu, Chang-Hua, e 盧建華. "Market Efficiency : Evidence from the Taiwan Index Options Market". Thesis, 2004. http://ndltd.ncl.edu.tw/handle/29qe4y.
Testo completo崑山科技大學
企業管理研究所
92
The informational efficiency of the market for options on the Taiwan stock index is examined using intraday transactions data. By using B-S pricing model, put-call parity and lower boundary to test. However, volatility estimates difficulty, so proxy by GARCH(1,1) to measure theory price. Additional, the article consider transaction cost for empirical study. Ex-post and ex-ante tests are carried out to simulate trading strategies. The investigation shows that the out-of-money option has lower pricing error. By considering transaction cost, the option market is more efficiency.