Дисертації з теми "Stock market speculation"
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Salamon, Hussin Bin. "Speculation in the Stock Market from the Islamic Perspective." Thesis, University of Wales Trinity Saint David, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.503816.
Повний текст джерелаHeinemann, Kieran. "Popular investment and speculation in Britain, 1918-1987." Thesis, University of Cambridge, 2018. https://www.repository.cam.ac.uk/handle/1810/274603.
Повний текст джерелаBasoglu, Fatma. "Testing For Rational Bubbles In The Turkish Stock Market." Master's thesis, METU, 2012. http://etd.lib.metu.edu.tr/upload/12614505/index.pdf.
Повний текст джерелаLoh, Elaine Y. L. "A comparative study of technical trading rules, time-series trading rules and combined technical and time-series trading strategies in the Australian Stock Exchange." University of Western Australia. Dept. of Economics, 2005. http://theses.library.uwa.edu.au/adt-WU2006.0001.
Повний текст джерелаNieuwland, 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.
Повний текст джерелаSavvas, Panayiotis. "The impact of a speculative stock market on institutional investors." Thesis, University of Leicester, 2012. http://hdl.handle.net/2381/10822.
Повний текст джерелаZourdoumis, George. "A theoretical and empirical study of speculative influences in stock market trading, with particular reference to the Athens Stock Exchange." Thesis, University of Essex, 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.303454.
Повний текст джерелаAbuk, Nese. "The Intraday Lead-lag Relationship Of Spot And Futures Markets In Turkey: Co-integration And Causality Analyses." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613292/index.pdf.
Повний текст джерелаNetušil, Petr. "Psychologická analýza akciového trhu." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2012. http://www.nusl.cz/ntk/nusl-223609.
Повний текст джерелаZajíc, Jiří. "Dot-com bubble - faktor hospodářského úspěchu USA v 90. letech 20. století?" Master's thesis, Vysoká škola ekonomická v Praze, 2014. http://www.nusl.cz/ntk/nusl-201947.
Повний текст джерелаWard, Benjamin D. "Forecasting short term trends in prices of U.S. stock market." 2006. http://etd1.library.duq.edu/theses/available/etd-11262006-224050/.
Повний текст джерелаLin, Tse Liang, and 林哲良. "Research about the diversity of the price limit and the volatility of stock market - take the example of the merit stocks and the speculation stocks in the Taiwan stock market." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/25320279124517091383.
Повний текст джерела國立中興大學
企業管理學系
85
This thesis uses rate of return variation as the index of emulating thevolatility . The main foundation to define the merit stocks and speculation stocks are EPS and the rate of turnover. I set the time span from Oct 27,1987to Dec 27,1990 and divided into three periods by price limit:3% , 5% ,and 7%After picking up 18 merit stocks and speculation stocks,Iused variance of daily and weekly rate of return to proceed t-test. two-way ANOVA and main effect analysis. The experiment shows:1.In emulating the volatility of specifi stock , no matter using daily or weekly rate of return,I found out that the volatility would be maximum under the 7% price limit.2.Tradutionally, speculation stocks were considered having the character of violent shocking on price . However, the result comes out somewhat tricky.In different extent of price limit, relation of the volatility between merit stocks and speculation stocks will be different.3.Not only price limit but also the character of the stock could effect the vovality of each stock . Besides, these two factors are inter-effecting each other. Analyzing from the daily rate of return,I observed that both merit and speculation stocks fluctuate much more fiercer as the price limit goes wider. And the former increase faster than the further.Nevertheless,the final presents slightly different from the weekly rate of return. The vovality did not present any fixed directionand extent between the merit and speculation stock.
Samuel, Richard Abayomi. "Modelling equity risk and external dependence: A survey of four African Stock Markets." Diss., 2019. http://hdl.handle.net/11602/1356.
Повний текст джерелаMSc (Statistics)
The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst nding in the study shows in descending hierarchy that volatility with persistence is highest in the South African market, followed by Egyptian market, then Nigerian market and lastly, the Kenyan equity market. In terms of risk hierarchy, the Egyptian EGX 30 market is the most risk-prone, followed by the South African JSE-ALSI market, then the Nigerian NIGALSH market and the least risky is the Kenyan NSE 20 market. It is therefore concluded that risk is not a brainchild of volatility in these markets. For the bivariate modelling, the extremal dependence ndings indicate that the African continent regional equity markets present a huge investment platform for investors and traders, and o er tremendous opportunity for portfolio diversi cation and investment synergies between markets. These synergistic opportunities are due to the markets being asymptotic (extremal) independent or (very) weak asymptotic dependent and negatively dependent. This outcome is consistent with the ndings of Alagidede (2008) who analysed these same markets using co-integration analysis. The bivariate-threshold-excess and point process models are appropriate for modelling the markets' risks. For modelling the extremal dependence however, given the same marginal threshold quantile, the point process has more access to the extreme observations due to its wider sphere of coverage than the bivariate-threshold-excess model.
NRF
Obadire, Ayodeji Michael. "The impact of macroeconomic variables on the equity market risk premium in South Africa." Diss., 2018. http://hdl.handle.net/11602/1251.
Повний текст джерелаDepartment of Accountany
The relationship between the Equity Market Risk Premium (MRP) and macroeconomic variables has been a subject of extensive discussion in the finance literature. The MRP is a central component of the main asset pricing models which are used to estimate the cost of equity which is mainly used in investment appraisal, performance measurement and valuation of equity assets. Past studies have identified inflation rate, interest rate, foreign exchange rate and political risk as the key macroeconomic variables that determine the size of the MRP. The test of the impact of these variables on the MRP have however been based mainly on data from developed countries and a few emerging countries. To the researcher’s knowledge, there are no studies that have investigated the impact of these macroeconomic variables on the MRP in South Africa. It is necessary to test the impact of these variables in the context of South Africa as these variables vary across countries. Using time series secondary data that was obtained from the SARB database, JSE database and World Bank database for the period 2002 to 2017, this study investigated the impact of these variables on the MRP in South Africa. A total of 192 observations per series of the inflation rate, interest rate, foreign exchange rate, political risk, JSE-ALSI and 91-days Treasury bill was used in the study. The data used were tested for possible misspecification errors that could arise from using a time series secondary data and the regression model was fitted using the Ordinary Least Square (OLS) estimator. The misspecification tests and models were both implemented on STATA 15 software. The results shows that inflation rate, interest rate and foreign exchange rate have a negative impact on the MRP whilst political risk has a positive impact on the MRP. Furthermore, the result shows that the inflation rate is the only variable amongst other variable tested that has a significant influence on the MRP for the study period. The study, therefore, concludes that inflation rate has the highest impact on the MRP in the context of South Africa. The study recommends that inflation rate should be monitored and kept within its target of 3-6% amongst other variables tested in order to increase investors’ confidence in the security market and also foster economic growth. The main limitations to the study were the limited data sources and insufficient funds.
NRF
"Speculation of hedge funds in Hong Kong markets." 2000. http://library.cuhk.edu.hk/record=b5890292.
Повний текст джерелаThesis (M.Phil.)--Chinese University of Hong Kong, 2000.
Includes bibliographical references (leaves 44-46).
Abstracts in English and Chinese.
Chapter 1. --- INTRODUCTION --- p.1
Chapter 2. --- METHODOLOGY --- p.7
Chapter 2.1 --- Fund's return --- p.7
Chapter 2.2 --- Value weighted Index of Hedge Funds --- p.8
Chapter 2.3 --- Sharpe' s(1992) style analysis --- p.8
Chapter 2.4 --- Econometric Procedure and Hypothesis Test --- p.11
Chapter 3. --- DATA --- p.15
Chapter 3.1 --- Market Data --- p.15
Chapter 3.2 --- Hedge Fund Data --- p.16
Chapter 3.3 --- Selecting Market Factor --- p.17
Chapter 4. --- RESULTS --- p.19
Chapter 4.1 --- Interest Rate Market --- p.19
Chapter 4.1.1 --- Did the hedge fund industry as a whole manipulate the interest rate market? --- p.19
Chapter 4.1.2 --- Did the Jaguar Fund NV manipulate the interest rate market? --- p.23
Chapter 4.1.3 --- Did the Quantum Fund NV manipulate the interest rate market? --- p.24
Chapter 4.2 --- Hang Seng Index Future Market --- p.26
Chapter 4.2.1 --- Did the hedge fund industry as a whole manipulate the Hang Seng Index Future Market? --- p.26
Chapter 4.2.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Future Market? --- p.29
Chapter 4.2.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Future Market? --- p.31
Chapter 4.3 --- Hang Seng Index Market --- p.33
Chapter 4.3.1 --- Did the hedge funds as a whole manipulate the Hang Seng Index Market? --- p.33
Chapter 4.3.2 --- Did the Jaguar Fund NV manipulate the Hang Seng Index Market? --- p.34
Chapter 4.3.3 --- Did the Quantum Fund NV manipulate the Hang Seng Index Market? --- p.35
Chapter 5. --- CONCLUSION --- p.37
Chapter 5.1 --- Contribution --- p.41
BIBLIOGRAPHY --- p.44
APPENDIX A TABLES --- p.47
Table 1. Hedge Funds in value-weighted Index (vw38) --- p.47
Table 2. Net Asset Value of Hedge Funds ( --- p.48
Table 3. Hedge Fund Returns Around Crash --- p.49
Table 4. Regression result of value-weighted index (vw38) --- p.50
Table 5. Regression result of individual fund --- p.51
Table 6. Correlation of return rates between different market segments from 11/1988 to 10/1999 --- p.52
Table 7. Correlation of return rates between different market segments from 9/1997 to 10/1999 --- p.53
Table 8. Regression result of 2-month HIBOR rate and dollar positions of hedge funds --- p.54
Table 9. Regression result of 2-month HIBOR rate and dollar positions of Jaguar Fund NV --- p.55
Table 10. Regression result of 2-month HIBOR rate and dollar positions of Quantum Fund NV --- p.56
Table 11. Regression Result of Hang Seng Index Future Price against Dollar Positions of Hedge Funds --- p.57
Table11b. Estimated Profit of Hedge Funds in the turmoil period in Hang Seng Index Future (in billions) --- p.58
Table 12. Regression Result of Hang Seng Index Future Price against Dollar Positions of Jaguar Fund NV --- p.59
Table 12b. Estimated Profit of Jaguar Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.60
Table 13. Regression Result of Hang Seng Index Future Price against Dollar Positions of Quantum Fund NV --- p.61
Table 13b. Estimated Profit of Quantum Fund NV in the turmoil periodin Hang Seng Index Future (in HK billions) --- p.62
Table 14. Regression Result of Hang Seng Index Price against Dollar Positions of Hedge Funds --- p.63
Table 15. Regression Result of Hang Seng Index Price against Dollar Positions of Jaguar Fund NV --- p.64
Table 16. Regression Result of Hang Seng Index Price against Dollar Positions of Quantum Fund NV --- p.65
APPENDIX B. FIGURES --- p.67
Figure 1. Hong Kong Dollar Position of Hedge Funds --- p.67
Figure 2. Hong Kong Dollar Position of Hedge Funds and 2m HIBOR Rate --- p.68
Figure 3. Hong Kong Dollar Positions of Jaguar Fund NV --- p.69
Figure 4. Hong Kong Dollar Positions of Jaguar Fund and 2m HIBOR Rate --- p.70
Figure 5. Hong Kong Dollar Positions of Quantum Fund NV --- p.71
Figure 6. Hong Kong Dollar Positions of Quantum Fund NV and 2m HIBOR Rate --- p.72
Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73
Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74
Figure 7. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.73
Figure 8. Hong Kong Dollar Positions of Hedge Funds in Hang Seng Index Future --- p.74
Figure 9. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.75
Figure 10. Hong Kong Dollar Positions of Jaguar Fund NV in Hang Seng Index Future --- p.76
Figure 11. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index Future --- p.77
Figure 13. Hong Kong Dollar Positions of Hedge Funds in Hang Seng --- p.79
Figure 17. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.83
Figure 18. Hong Kong Dollar Positions of Quantum Fund NV in Hang Seng Index --- p.84
Figure 19. Net Profit of Hedge Funds in Hang Seng Index Future (in HK Billions) --- p.85
Figure 20. Net Profit of Jaguar Fund NV in Hang Seng Index Future (in HK Billions) --- p.86
Mungule, Oswald Kombe. "Essays on speculative bubbles in financial markets." Thesis, 2012. http://hdl.handle.net/10539/11118.
Повний текст джерелаKim, Myung Soo. "The informational efficiency of the Korean stock market excess profits from technical speculations /." 1991. http://catalog.hathitrust.org/api/volumes/oclc/24048725.html.
Повний текст джерелаChen, Lii-tarn. "Essays on testing for speculative bubbles in the stock market." 1995. http://catalog.hathitrust.org/api/volumes/oclc/34786427.html.
Повний текст джерелаBrevis, Tersia 1967. "Tydsberekening binne 'n APT-raamwerk." Thesis, 1998. http://hdl.handle.net/10500/15902.
Повний текст джерелаThe study compares the performance of a buy-and-hold strategy with that of a markettiming strategy in the framework of the arbitrage pricing theory (APT) applied to the industrial index of the Johannesburg Stock Exchange (JSE). The study period is divided into two parts, namely January 1970 to September 1987 and January 1989 to June 1997. The long-term trend of the industrial index and every APT factor is determined by finding the best nonlinear model for each time series. Linear multiple stepwise regression analysis, with the lagged time series of the long-term trend error terms of the APT factors, is used to forecast the movement of the industrial index around its long-term trend. Decision lines were developed to implement a market-timing strategy. The results of the study are as follows: • Where the lagged time series of the long-term trend error terms of the APT factors were used as possible predictors, the risk-adjusted return of a markettiming strategy was 6, 41 percent and 0, 71 percent higher than that of a buyand- hold strategy for periods one and two respectively. • Where the lagged time series of the first-order difference of the long-term trend error term of the APT factors were used as possible predictors, the riskadjusted return of the market-timing strategy was 10,40 percent and 1,04 percent higher than that of a buy-and-hold strategy for periods one and two respectively. The main conclusion of the study is that the APT and a market-timing strategy are theoretically and practically reconcilable on the JSE. The main recommendations of the study are the following: (1) systematic risk factors, other than macroeconomic factors, should be identified in order to increase the forecasting value of these factors in the second period of the study; (2) each step of the model developed in this study should be repeated on every index of the JSE; and (3) the influence of transaction costs and dividends on the potential benefits of a market-timing strategy should be determined.
Business Management
DCom (Sakebestuur)
Yin, Tseng Mei, and 曾美瑩. "Testing for the Existence of Speculative Bubbles in Taiwan Stock Market─Kalman Filter Application." Thesis, 2000. http://ndltd.ncl.edu.tw/handle/72159044006888466098.
Повний текст джерела淡江大學
財務金融學系
88
Title of Thesis: Testing for the Existence of Speculative Bubbles in Taiwan Stock Market-Kalman Filter Application Key Word: Market Fundamental Value, State Space Model, Kalman Filter Name of Institute: Graduate Institute of Money, Banking and Finance, Tamkang University Graduate Date: June 2000 Degree Conferred: Master Name of Student: Tseng Mei Yin Advisor: Dr. Chuang, Shi-Feng Total Pages: 73 Abstract: Between 1986 and 1990, the weighted stock price index of Taiwan rose significantly from 1400 in 1986 to 12682 in 1990. Due to the influence of political factors, the stock price index dropped sharply to 2000 points in October 1990. After floating for several years, the index went up over 10000 points again in 1997 and then dropped to 5000 points a few months later. It seems that the volatility of Taiwan stock prices cannot be explained by the theoretical market fundamental value. Since the 1980’s, scholars have proposed various explanations and testing methods aiming at the additional value of the market over its proper fundamental value. They find two reasons for the price deviation from the true value. One is the errors in the analytical model and the other is the existence of speculative bubbles. We examine if there exists bubbles in Taiwan stock market by assuming that the model employed is correct. In past empirical analysis, researchers paid more attention to the relationship between prices and dividends by applying a cointegrating technique to test bubbles. According to the definition of the term “bubble”, a bubble is the additional value of the market over its proper fundamental value. It is an unobserved variable. In this paper, we use a present-value model as the basic model, and express the dividend process and the bubble process in the state-space model. We estimate model parameters by the method of maximum likelihood and obtain optimal estimates of bubbles through the use of the Kalman filter for testing Taiwan stock bubbles. The research period in this paper is between 1987 and 1999. We choose EPS as the independent variable, weighted stock index as the dependent variable, to test the existence of bubbles for all industries, other industries excluding financial industry and financial industry separately. From the empirical results, we find that in Taiwan, each of these three objective categories exhibit bubbles. This indicates that the stock price can’t be explained alone by the market fundamental value, especially during the period of the first bubble economy in 1990 and the second one in 1997. We would like to provide this empirical analysis for investors to judge if the stock price is reasonable, to help prevent Taiwan stock market from bubbles and to reduce the negative effects for the whole society. Maintaining the overall health and efficiency of the stock market is the final goal.
Kelly, Heidi M. C. "Cointegration and stationarity analysis of Japanese speculative land and stock markets: 1982-1993." Thesis, 1994. http://hdl.handle.net/2429/5574.
Повний текст джерелаKuo, Ying-Lan, and 郭盈蘭. "The Impacts of Speculative Intensity on the Abnormal Returns, and Momentum and Reversal-The Case of Taiwan Stock Market." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/03732418262921730140.
Повний текст джерела國立臺北大學
國際企業研究所
97
The purpose of this study is to discuss the impact of speculative intensity on abnormal returns and momentum and reversal in Taiwan firms from January 1, 2000 to September 30, 2008. We construct a firm-quarter-specific measure of speculative intensity (SPEC) as Rani and Murugappa(2008) for our sample. The SPEC is based on autocorrelation in daily trading volume adjusted for the amount of information available. The empirical results are summarized as follow: 1. The study finds that market value, the number of firms in each industry, and trading based on information have positive relation on autocorrelation in daily trading volume, and the proportion of days with analyst forecasts to total number of days negative relation has a negative relation on autocorrelation in daily trading volume. 2. The study that finds speculative intensity has a significant positive impact on abnormal returns. It suggests that the SPEC measure is capturing something except public information. 3. The study finds that consecutive daily returns tend to display momentum in the high-SPEC portfolio when SPEC is contemporary or lag. And the momentum is decreasing from low-SPEC to high-SPEC in the high-SPEC portfolio.
Oseifuah, Emmanuel K. "Impact of working capital management on the performance of non-financial firms listed on the Johannesburg Stock Exchange (JSE)." Thesis, 2017. http://hdl.handle.net/11602/1077.
Повний текст джерелаDepartment of Economics
This is the first study to investigate the impact of working capital management on the performance (profitability and value) of South African firms listed on the Johannesburg Securities Exchange (JSE) before, during and after the 2008/2009 global financial crisis. Richards and Laughlin’s (1980) Cash Conversion Cycle (CCC) theory was used as the theoretical framework for analysing and linking working capital management to firm performance. In addition, the study investigates how the separate working capital management components impact the performance of firms. The study used both accounting and market based secondary data obtained from I-Net Bridge/BFA McGregor database and the JSE for 75 firms for the 10 year period, 2003 to 2012. Panel data regression models were used in the analyses. The key findings from the study indicate the following. First, the average profitability (ROA) for the sample firms decreased from 27% (before the financial crisis) to 20.2% during the crisis period and increased to 25.9% after the financial crisis. Second, the average market capitalisation (firm value) decreased from R18.9 billion before the crisis to R16.3 billion during the crisis period, and thereafter increased to a high of R24.4 billion after the crisis. Third, the average firm’s CCC was 28.4 days before the crisis and decreased to 12.5 days during the crisis period and later increased to 16.2 days after the crisis. Fourth, and interestingly, of the four working capital management variables, only accounts receivable conversion period is significantly negatively related to profitability during the financial crisis. Fifth, the three firm-specific variables (size, financial leverage, and current assets to total assets ratio) have no significant relation with profitability during the crisis period. Sixth, the external variable, change in GDP growth rate, has a significant positive relation with profitability. This suggests firms perform better when the economy is booming and otherwise during economic downturns, which is consistent with economic theory. Finally, and perhaps the most important contribution is that the study found an inverted U-shape relationship between working capital management (proxied by cash conversion cycle) and firm value before the crisis. This implies that there exists an optimal level of investment in working capital for which the sampled firms’ value is maximized. At this point, costs and benefits are balanced. Thus corporate managers should aim to keep as close to the optimal level as possible and try to avoid any deviations from it that destroy firm value. On the contrary, the results have not established any such relationship between working capital management and profitability for any of the three financial crisis periods. Based on the findings, it is recommended that firm managers should aim at keeping as close to the optimal working capital level as possible and try to avoid any deviations from it that may destroy firm value.
NRF