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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.
Pełny tekst źródłaLiu, 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.
Pełny tekst źródłaChen, 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.
Pełny tekst źródłaKwok, 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.
Pełny tekst źródłaCheung, 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.
Pełny tekst źródłaLange, 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.
Pełny tekst źródłaIgnatius, Roger. "The Bombay Stock Exchange: tests of market efficiency". Thesis, University of North Texas, 1991. https://digital.library.unt.edu/ark:/67531/metadc332561/.
Pełny tekst źródłaKim, 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.
Pełny tekst źródłaCheung, Oi Lin. "Market reactions to stock splits in the Hong Kong stock market". Thesis, University of Macau, 1997. http://umaclib3.umac.mo/record=b1636218.
Pełny tekst źródłaKhalid, 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.
Pełny tekst źródłaCheung, 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.
Pełny tekst źródłaZhang, Hua, i 張華. "Investigating stock market efficiency in China". Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2003. http://hub.hku.hk/bib/B29946542.
Pełny tekst źródłaHelm, 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.
Pełny tekst źródłaWan, 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.
Pełny tekst źródłaWells, 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.
Pełny tekst źródłaCheung, Ming-yan William, i 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.
Pełny tekst źródłaVissing-Jorgensen, Annette 1971. "Limited stock market participation". Thesis, Massachusetts Institute of Technology, 1998. http://hdl.handle.net/1721.1/10119.
Pełny tekst źródłaStahel, Christof W. "International stock market liquidity". Connect to this title online, 2004. http://rave.ohiolink.edu/etdc/view?acc%5Fnum=osu1091726658.
Pełny tekst źródłaTitle from first page of PDF file. Document formatted into pages; contains xi, 110 p.; also includes graphics. Includes bibliographical references (p. 70-76).
CACCAVAIO, MARIANNA. "The Chinese stock market". Doctoral thesis, Università Bocconi, 2009. https://hdl.handle.net/11565/4053447.
Pełny tekst źródłaPang, 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.
Pełny tekst źródłaSevelin, 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.
Pełny tekst źródłaCooper, 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.
Pełny tekst źródłaAlQatamin, 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/.
Pełny tekst źródłaZevallos, Mauricio, i Carlos del Carpio. "Metal Returns, Stock Returns and Stock Market Volatility". Economía, 2015. http://repositorio.pucp.edu.pe/index/handle/123456789/118122.
Pełny tekst źródłaDada 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.
Gower, Craig Paul. "Modelling and forecasting stock and stock market volatility". Thesis, Swansea University, 2001. https://cronfa.swan.ac.uk/Record/cronfa42339.
Pełny tekst źródłaCarmo, 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.
Pełny tekst źródłaExistem 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
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.
Pełny tekst źródłaLiu, Taisheng. "Stock market overreaction and underreaction : theoretical explanations and empirical evidences". HKBU Institutional Repository, 2006. http://repository.hkbu.edu.hk/etd_ra/693.
Pełny tekst źródłaWong, Chi-ching, i 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.
Pełny tekst źródłaZou, 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.
Pełny tekst źródłaZebedee, 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.
Pełny tekst źródłaSingh, Vikkram. "Financial Integration: Pervasiveness, Effect of Culture and Impact on Policy Effectiveness". Thesis, Griffith University, 2017. http://hdl.handle.net/10072/373044.
Pełny tekst źródłaThesis (PhD Doctorate)
Doctor of Philosophy (PhD)
Dept Account,Finance & Econ
Griffith Business School
Full Text
Ekdahl, Malin, i 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.
Pełny tekst źródłaBackground: 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.
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.
Pełny tekst źródłaDepartment 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.
Lidgren, Becky, i 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.
Pełny tekst źródłaJeon, 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.
Pełny tekst źródłaXu, 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.
Pełny tekst źródłaNieuwland, 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.
Pełny tekst źródłaTan, Zhenhua. "Is the Chinese stock market overvalued?" Diss., Lincoln University, 2008. http://hdl.handle.net/10182/773.
Pełny tekst źródła"Market efficiency research on Shanghai stock market". 2002. http://library.cuhk.edu.hk/record=b5890949.
Pełny tekst źródłaThesis (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
Lin, Chia-Wei, i 林佳緯. "Financial Market dependence : Stock Markets". Thesis, 2012. http://ndltd.ncl.edu.tw/handle/06552793720110965287.
Pełny tekst źródła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.
"Size-related stock market anomalies on the Shenzhen A shares market". Chinese University of Hong Kong, 1996. http://library.cuhk.edu.hk/record=b5888669.
Pełny tekst źródłaThesis (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
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.
Pełny tekst źródłaNumapau, Gyamfi Emmanuel. "Market Efficiency of African Stock Markets". Thesis, 2017. http://hdl.handle.net/11602/1099.
Pełny tekst źródłaDepartment 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
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.
Pełny tekst źródłaYueh-LinWu i 吳岳霖. "The Relationship Between Taiwan Stock Market and The International Stock Markets". Thesis, 2010. http://ndltd.ncl.edu.tw/handle/72549706986152681678.
Pełny tekst źródła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.
Chen, Ju-Hsien, i 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.
Pełny tekst źródła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.
"Tests on relative strength index trading rules in China stock market". 2002. http://library.cuhk.edu.hk/record=b5890950.
Pełny tekst źródłaThesis (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
"Technical analysis and market inefficiency: a study of the Hong Kong stock market". Thesis, 1997. http://library.cuhk.edu.hk/record=b6073905.
Pełny tekst źródłaThis 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.
Grace, Chen, i 陳尚菁. "Public Auctions of Stocks in Taiwan Stock Market". Thesis, 1998. http://ndltd.ncl.edu.tw/handle/51882119608668731199.
Pełny tekst źródła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.