Dissertations / Theses on the topic 'Bull market'

The Bear and Bull markets is today frequently used terms amongst practitioners and researchers alike. Despite its lack of a standardised definition it still seemingly means the same thing to the majority of people and the overarching consensus is that a bear market is negative and bull market is positive. Previous research of the bear and bull markets primarily discusses how it affects the individual investor and not the aggregated market movements. The research was based on a study of the Swedish stock market that suggested that the standard deviation is higher during a bear market and the monthly buy and hold return is higher during a bull market. However, with the lack of statistical support from this study, the basis for the research question was based on their findings. The goal was to test whether their claims held, when their methodology was applied to a different sample from the same market. To categorise the market into bear and bull markets we used a 12-month simple moving average of the OMX Stockholm 30 (OMXS30) to define the trend. Every data point, consisting of daily buy and hold returns from the OMXS30, was then measured against the 12-month simple moving average of the market. We used the definition that when the daily buy and hold return exceeded the 12-month SMA, it is a bull market. When the daily buy and hold return is lower than the 12-month SMA, it is a bear market. The results of Levene’s test and a two-sample t-test showed that the bull market exhibited a higher daily buy and hold return and higher standard deviation when compared to the bear market. This conclusion aligns well previous research and confirmed the conclusion of the study upon this research was built.

Dissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio Econômico, Programa de Pós-Graduação em Economia, Florianópolis, 2013.
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O objetivo deste trabalho é identificar tendências de alta e de baixa no índice Bovespa através de modelos de mudança de regime markoviano que incorporam dependência de duração. Conforme evidenciado pela literatura,os resultados mostraram um regime de retorno positivo e baixa volatilidade e outro com alta volatilidade e retorno negativo. Nestes modelos a probabilidade de transição não é só função do regime atual como também do número de períodos em que o processo se encontra em determinado estado. A parametrização proposta revelou que a probabilidade de troca de regime diminui com a persistência do mercado de alta e de baixa. A análise das probabilidades suavizadas destaca que as especificações captaram os principais episódios de instabilidade na bolsa brasileira.Por fim, os modelos propostos são usados na construção de uma estratégia de investimento.

Abstract : This study proposes to identify Bull and Bear Market for the Brazilianstock market using a markov switching model that incorporates durationdependence. Following the existing literature, the model sorts returnsinto a high return stable state and a low return volatile state, whichare labeled as Bull and Bear Market. In these models the transitionprobabilities are functions of both the inferred current state and alsothe number of periods that the process has been in that state. The parameterizationshowed that the probability of switching out of the statesdeclines with duration in that state. The smoothed probabilities highlightedthe major instabilities phases at Brazilian stock market. Finally,the proposed models are used in order to develop an investment strategy.

Thesis (Ph. D.)--University of Florida, 1998.
Title from first page of PDF file. Document formatted into pages; contains viii, 69 p.; also contains graphics in color. Vita. Includes bibliographical references (p. 66-68).

Introduction and Aims. The EC is presently in a position of excess food supply and rationalisation has been necessary. Farmers must consider the nature of the demand for specific foods in an effort to secure a share of this market for their output. It is the farmer-producer of beef to whom this study is directed. The research project seeks solutions to some of the problems presently experienced by Scottish beef producers by analysing the market for a system of young suckled bull beef production. The aims of the research are firstly, an assessment of the factors which govern the feasibility of this system in Scotland and, if these are favourable, the formulation of a marketing strategy to aid farmer-producers in its development. Method. The information needed for this analysis was collected by means of a series of six factual and attitudinal market surveys of the participants at each stage in the production and marketing chain for young suckled bull beef, from West Highland crofters producing weaned calves to beef consumers. These surveys are analysed, interpreted and the findings presented. Conclusions. At the rearing and finishing stages any problems were out-weighed by the advantages of more efficient growth and improved carcass quality. But, although abattoirs handling young bulls had experienced no economically significant problems and retailers acknowledged the superiority of young suckled bull beef carcasses, there is a widely-held belief that the eating quality of all bull beef is less acceptable to consumers. A consumer panel test of this belief was invalidated because the beef supplied was not as ordered. There is a need to improve the scope and flow of information on the nature of cattle killed. In the short term at least there is a market for this product. And if young suckled bull beef can be promoted effectively development of this sector will occur. Several areas can be identified which are essential to a marketing strategy for young suckled bull beef producers. It is vital to ensure repeatability and uniformity of breeds, age, weight and post-slaughter treatment of carcasses. A joint venture with some measure of integration is strongly recommended. A scheme of producers guidelines is also recommended. Farmer-producer groups should establish links with an abattoir-wholesaler of beef. A link should also be established with the multiple retail sector. And promotion of the product could be via this sector into a specific market segment and should focus on quality aspects and health and welfare concerns.

My master’s thesis from marketing area is focused on marketing management of Red Bull Company, which is world leading energy drink producer. My work should improve marketing management of the firm and suggest new ways of marketing communication, the way of addressing consumers and non-consumers of Red Bull energy drink. The results of this master’s thesis will be suggested to the management of Red Bull Company for implementation into praxis.

Baltijos šalių akcijų rinkų istorija yra trumpa, tuo tarpu akcijų kainų ciklų nagrinėjimui bei galimam vėlesniam prognozavimui reikalinga ilgesnė duomenų imtis. Dėl šios priežasties šiame darbe bus siekiama išsiaiškinti ar šių šalių akcijų rinkos elgesys yra panašus į Skandinavijos šalių akcijų rinkų pokyčius. Panašumams ar skirtumams atskleisti teorinėje dalyje buvo nagrinėjami akcijų rinkos cikliškumo charakteristikos, o taip pat ciklų atsiradimo ir jų koreliacijos sąlygos. Antrojoje dalyje šalių ekonominės situacijos nagrinėjimui pasirinkti tokie rodikliai kaip: infliacijos ir BVP dinamika. O akcijų ciklai buvo identifikuojami pagal modifikuotą NBER metodą. Darbe buvo iškeltos trys hipotezės, kurios buvo nagrinėjamos tre�����iojoje darbo dalyje. Panašumas buvo nagrinėjamas trimis aspektais, kurie yra iškeltų hipotezių pagrindas: akcijų rinkos indekso charakteristikos, indeksų pokyčių koreliacija, ekonominių sąlygų akcijų kainų indeksų pakilimo metu panašumas. Patvirtintos buvo tik antroji ir iš dalies trečioji hipotezės. Vertinant bendrai tris hipotezes, Skandinavijos šalių patirtis netinka Baltijos šalių akcijų rinkos tendencijoms prognozuoti, nes egzistuoja daug skirtumų.
The history of stock markets in Baltic states is short, whereas analysis of stock market cycles requires longer time series data. Therefore, the objective of this thesis is to find out whether the behavior of stock market in above mentioned countries is similar to Scandinavian stock market changes. In theoretical chapter of paper work characteristics and conditions of stock market cycles were examined to determine similarities or differences in analyzed countries. Second chapter studies economic background and identifies stock market cycles using NBER method. Three hypotheses were raised based on three aspects of stock market cycles: stock market cycle characteristics, correlations of stock indices’ changes and economic background in light of stock cycles’ peaks. Only second and third hypotheses were proved. Assessing all three hypotheses Scandinavian stock market history is not suitable to make prognosis for stock markets cycles in Baltic states because of lots of differences.

Dissertação de mestrado em Gestão, apresentada à Faculdade de Economia da Universidade de Coimbra, sob a orientação de António José Marques Mendes.
O presente trabalho aborda a problemática do market timing e compara duas técnicas de análise de tendência e pontos de inversão uteis para o Market Timing. Os métodos analisados têm a designação de processo Bry and Boschan e Zig Zag. Este estudo foi feito para o índice S&P 500 no período 2008-2014. Os resultados obtidos para variações de 7% e 12% sugerem que o método Zig Zag é mais adequado, pois a maior parte dos pontos de inversão detetados estão mais ajustados à série temporal analisada.

The volatility transmission in financial markets has important implications for investment decision making, portfolio diversification and overall macroeconomic stability. This paper analyses volatility transmission across four South African financial markets that is the stock, bond, money and foreign exchange markets, using daily data for the period 2000-2010. It also shows whether the volatilities in the SA financial markets present a different behaviour in bull and bear market phases. The effects of the international markets volatility to the local markets volatility was also looked at in this study. To obtain estimates of market volatility, the study experimented with various volatility models that include the GARCH, EGARCH and TARCH. To examine volatility interaction and the transmission of volatility shocks, a VAR model was estimated together with block exogeneity, impulse response and variance decomposition. The study found that there is limited volatility transmission across the SA financial markets. The study also found that the money market is the most exogenous of all markets since the other three financial markets volatility is insignificant to the money market (see impulse response results). For the bond market, volatility transmission was characterized with a decreasing trend. With regard to international markets volatility, it concluded that, the shocks in the international markets will eventually affect the movement in the local markets. The results also highlighted that, world and local markets are important in accelerating the volatility transmission in SA financial markets depending on whether they are in their bull or bear phases. In the case of South Africa, the study found that volatility transmission across markets is higher during bear market periods than bull market periods. Basing on the study results which show that the volatility transmission is limited across SA financial markets, the implication to local and international investors is that there is a greater potential for diversifying risk by investing in different South African financial markets.

Mestrado em Econometria Aplicada e Previsão
O presente trabalho analisa relações entre finanças e macroeconomia, procurando responder a como quebras de estrutura na duração dos mercados bull e bear estão ligadas aos ciclos económicos. Para tal, é revisto o teste de quebras de estrutura proposto por Nicolau (2016) e são introduzidos dois testes alternativos, que através de um estudo de simulação Monte Carlo, evidenciam menos sobre-rejeição para alguns processos geradores de dados, provando ser úteis na obtenção de resultados robustos. Aplicamos os testes a uma base de dados composta por índices bolsistas de 38 mercados desenvolvidos e em emersão, ajustados à capitalização de mercado, construídos pela Morgan Stanley Capital International. Nos resultados obtidos encontramos várias quebras de estrutura que revelam estar ligadas a eventos macroeconómicos, além disso, existe evidência estatística de que decréscimos na duração dos ciclos de mercado bull antecedem o pico dos ciclos económicos.
The present work analyses relations between finance and macroeconomics, aiming to answer how structural changes in duration of bull and bear markets are connected with business cycles. In order to do so, we review the structural change test proposed by Nicolau (2016) and introduce two similar alternatives, which through a Monte Carlo simulation study, show less over-rejection for some data generating processes, proving to be useful in obtaining robust results. We apply the tests to a database consisting on adjusted market capitalization stock market indexes of 38 developed and emerging markets, constructed by Morgan Stanley Capital International. In our results we find several structural changes that seem to be linked to macroeconomic events, furthermore, there is statistical evidence that decreases in duration of bull market cycles anticipate the peak of business cycles.
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This thesis in applied statistics and industrial economics examines the correlation between a number of market conditions on the Swedish and Global market and the yield difference between the Swedish stock market and the Global stock market. The report is based on data from the index MSCI Sweden Net Return, MSCI World Net Return and the Volatility index S&P 500. The market conditions that have been examined are Bull markets, Bear markets, periods of high volatility. We also examined how the appreciation of the SEK in comparison to the USD and the yield of the Swedish stock market correlated with the yield difference between the Swedish Stock Market and the Global stock market. The correlation was examined using multiple linear regression. The results indicated a positive correlation between the yield difference between the Swedish stock market and the Global stock market and the yield of the Swedish stock market, the appreciation of the SEK compared to the USD and Bull markets. We found a negative correlation with Bear markets and no correlation at all with the volatility.   The results are in line with what could be expected and give a stronger statistical ground for the idea that the Swedish stock market has larger fluctuations than the Global stock market during large-scale market fluctuations.
Detta kandidatexamensarbete inom tillämpad matematik och industriell ekonomi syftar till att undersöka hur avkastningsdifferensen mellan den Svenska och Globala aktiemarknaden korrelerar med ett antal olika marknadsförhållanden. Rapporten är baserad på data från MSCI Sweden Net Return och MSCI World Net Return samt Volatilitetsindex S&P500. De marknadsförhållanden som har undersökts är Bull markets, Bear markets, perioder då det råder hög volatilitet på marknaden. Vi undersökte även avkastningsdifferensens korrelation till kronans värdeförändring gentemot den Amerikanska dollarn och korrelationen till den Svenska aktiemarknadens värdeökning. Korrelationen undersöktes genom att utföra en multipel linjär regression. Resultaten visade på en rådande positiv korrelation mellan utvecklingen på den Svenska aktiemarknaden, prisutvecklingen av den Svenska kronan mot Amerikanska dollarn samt under Bull markets. Vi fann även en negativ korrelation med Bear markets och ingen korrelation till volatiliteten.   Resultaten är i linje med vad som kunde förväntas och ger en starkare statistisk grund till att den Svenska aktiemarknaden har större svängningar än den Globala aktiemarknaden vid stora marknadsfluktuationer.

Thesis (MBA (Business Management))--Stellenbosch University, 2008.
ENGLISH ABSTRACT: Red Bull is probably one of the most interesting brands ever created. Since its launch in Austria in 1986 and the launch in South Africa in November 1997, Red Bull has caused a stir. Dietrich Mateschitz created Red Bull after visiting Thailand and seeing the taxi drivers drinking syrup called Kraling Daeng. He took this mixture to his home country and started to develop something more acceptable to the Western taste. The Red Bull brand was developed and built by firstly developing the taste, then designing the can and lastly designing the famous cartoons. Only thereafter the rollout started. Red Bull created a new drinks category called energy drinks. This research will take a close look at and discuss how Red Bull used the strategic marketing process to decide whether to enter the South African market, and from a marketing point of view, how the brand was and still is managed, focusing specifically on the first ten years since its launch in South Africa. Red Bull hit the South African shops in November 1997. This happened after a local distributor, THUMB Trading and later J Melnick & Company, did some analysis about the market. This industry, political, economic, social, technical and environmental analysis showed that the brand could be successful in the country. The volatile and ever changing exchange rate and import duties would however be the biggest external factors affecting the pricing in South Africa. Red Bull Head Office together with the local distributor investigated the market size and market potential, concluding that there was huge potential to launch the product in South Africa. The distributor at the time, THUMB Trading, was a consumer goods importer with good knowledge of the market. Their distribution and penetration into the retail market was solid although they lacked in the newly identified on-premise market. A new team was established to service this on-premise market, which was Red Bull 's focus when entering the market, supported by consumer sampling. The first phase, getting the silver and blue can into all the trendy and well-known on-premise outlets, was very successful but soon the next phase of rolling the brand out to the retail and convenience stores needed to commence. This coincided with even more consumer awareness programs across the country. The marketing activities soon followed, not in the traditional 4 Ps style of price, product, place and promotion, but something quite different. Red Bull introduced their methodology looking at the brand based on five pillars - media, sport and events sponsoring, consumer collecting, trade and retail promotions, and market research. These pillars each have their specific goals closely interacted to form an integrated marketing approach. Red Bull has unique brand events such as Boxcart and "Flugtag" (Flying day) to create the awareness and fun around the brand. These events are held in popular and spectacular locations, which attract tens of thousands of spectators to witness the brand at first hand. The Red Bull sponsored and supported athletes help to promote the functionality of the brand by helping athletes (and other consumers) with endurance, recovery, concentration and focus in time when they need it most. The marketing mix also consists of trade and retail promotions where Red Bull has developed specific point-of-sale items for the different channels. The category management and "global score" projects further enhance the Red Bull visibility, resulting in increased sales. Red Bull looks at the marketing spend on a monthly basis making sure it is progressing according to the budget. Any deviations found in the control process are carefully analysed and the adjustments are made accordingly. The local marketing team has to submit a revision at the end of each quarter making sure they stay on track according to the Annual Business Plan approved in December of the previous year. Monthly feedback is given to the country manager or Quarterback and Area Manager in the marketing and sales report on all development according to a predefined set of targets. The Red Bull sales and marketing efforts in South Africa are not only supported by local marketing efforts but also by Red Bull Head Office's international marketing strategies. These include Red Bull projects such as the channel crossing, the Jesus statue jump and world record speed skiing attempts to name but a few. The Red Bull companies with the well-known Red Bull Racing and Torro Rosso respectively competing in the Formula One Grand Prix series, Hangar 7 housing the Flying Bulls or the Red Bull Air Race, also contributes to keep the brand in consumers minds. Red Bull is truly a different brand with unique ways of doing business. The planning and thinking integrate not only the different pillars but also the head office projects, and Red Bull companies make the marketing effort something special to watch. This integrated marketing approach comprising of so many different angles sets new marketing standards, and also makes it easier to understand why the brand is so strong globally. The Red Bull success can be attributed to a small number of things, which include their people,the passion for the brand, a drive to succeed, and their detailed planning methodology. The way of doing is consistent throughout the world, speaking the same language with the same message everywhere - a unique brand with strong brand values, focus and strategies, which thinks as a number two to be the number one ...... "Red Bull gives you wiiings!"
AFRIKAANSE OPSOMMING: Red Bull is waarskynlik een van die mees interessante handelsname wat ooit geskep is. Sedert die bekendstelling in Oostenryk in 1986 en die bekendstelling in Suid-Afrika in November 1997, het Red Bull 'n beroering veroorsaak. Dietrich Mateschitz het Red Bull ontwerp nadat hy Thailand besoek het en daar gesien het dat taxi-bestuurders 'n stroop, genaamd Krating Daeng, drink. Mateschitz het hierdie mengsel na sy tuisland teruggeneem en begin om iets te ontwikkel wat meer aanvaarbaar vir die Westerse smaak sou wees. Die Red Bull handelsmerk is ontwikkel en uitgebou deur eerste die smaak te ontwikkel, daarna die blikkie te ontwerp en laastens die welbekende tekenprente. Slegs daarna het die bekendstelling begin. Hierdie navorsing sal in diepte kyk en bespreek hoe Red Bull die strategiese bemarkingsproses gebruik het in die besluit om die Suid-Afrikaanse mark binne te dring al dan nie en vanuit 'n bemarkingsoogpunt bespreek hoe die handelsmerk bestuur is en steeds bestuur word deur spesifiek te fokus op die eerste tien jaar vanaf bekendstelling in Suid-Afrika. Red Bull is in November 1997 in Suid-Afrikaanse winkels beskikbaar gestel. Dit het gebeur nadat 'n plaaslike verspreider, THUMB Trading, later bekend as J Melnick & Company, 'n markanalise gedoen het. Hierdie industrie, politieke, ekonomiese, sosiale, tegniese en omgewingsanalise het gewys dat die handelsnaam baie suksesvol in die land kon wees. Die onbestendige en ewig veranderende wisselkoers asook invoerbelasting sou egter die grootste eksterne faktore wees wat betref die prysbepaling vir die Suid-Afrikaanse mark. Red Bull hoofkantoor, tesame met die plaaslike verspreider het die markgrootte en markpotensiaal ondersoek en tot die gevolgtrekking gekom dat daar baie potensiaal is om die produk in Suid-Afrika vry te stel. Die verspreider, THUMB Trading, was 'n invoermaatskappy van verbruikersgoedere met 'n grondige kennis van die mark. Hul verspreiding en penetrering van die handelsmark was bestendig, alhoewel hulle tekortgeskiet het in die nuut geidentifiseerde "op-perseel"-mark. Red Bull wou spesifiek fokus op die "op-perseel"-mark asook verbruikersmonsters terwyl die mark betree word en daar is toe 'n span saamgestel wat hierdie "op-perseel"-mark sou diens. Die eerste fase, om die silwer-en-blou-blikkie in al die gewilde, toonaangewende "op-perseel" verkooppunte beskikbaar te stel, was baie suksesvol, maar kort daarna moes die volgende fase begin - om die produk in die kleinhandelafsetpunte en gerieflikheidswinkels te hê. Hierdie fase het saamgeval met selfs nog meer gebruikersbewusmakingsprogramme oral deur die land. Die bemarkingsaktiwiteite het kort daarna gevolg - nie in die tradisionele 4 P-styl van prys, produk, plek en promosie nie, maar iets heeltemal eiesoortig. Red Bull het hulle metodologie bekendgestel wat daarop berus dat hulle die bemarking van die handelsmerk op vyf pilare basseer: media, sport en geleentheidsborgskappe, verbruikersversameling, handel- en kleinhandel promosies, asook marknavorsing. Hierdie pilare het elk sy eie spesifieke doelwitte met noue wisselwerking tussen mekaar om uiteindelik 'n geintegreerde bemarkingsbenadering te vorm. Red Bull bied unieke okkasies, soos "Boxcart" en "Flugtag" (Vliegdag) aan om bewusmaking en pret rondom die handelsmerk te verhoog. Hierdie okkasies word in gewilde, skouspelagtige plekke aangebied wat tienduisende toeskouers teiken wat die handelsmerk eerstehands kan ervaar. Atlele wat deur Red Bull geborg en/of ondersteun word, help om die funksionaliteit van die handelsnaam te bevorder deur atlete, asook ander verbruikers, te help met hul uithouvermoë, herstel, konsentrasie en fokus op die tye wat hulle dit die nodigste het. Die bemarkingsaktiwiteite sluit ook in handels- en kleinhandelpromosies waar Red Bull spesifieke verkooppunt-items ontwikkel het vir die verskillende kanale. Die kategorie bestuur- en globale puntestandprojekte bevorder die Red Bull sigbaarheid wat weer lei tot verhoogde verkope. Red Bull kyk maandeliks na die bemarkingsbesteding om sodoende te verseker dat dit volgens die begroting verloop. Enige afwykings wat tydens die kontrole proses gevind word, word baie deeglik geanaliseer en aanpassings word gemaak. Die plaaslike bemarkingspan moet elke kwartaal 'n revisie indien om te verseker dat hulle op die regte spoor bly aangaande die Jaarlikse Besigheidsplan wat Desembermaand van die vorige jaar goedgekeur is. In die bemarkings- en verkoopsverslag word maandeliks terugvoer aan die landbestuurder en areabestuurder gegee rakende alle vordering op grond van 'n voorafgedefinieerde stel doelwitte. Die Red Bull verkoop- en bemarkingsprestasies in Suid-Afrika word nie net deur plaaslike bemarkingspogings ondersteun nie, maar ook deur Red Bull hoofkantoor se internasionale bemarkingstrategiee. Hierdie sluit projekte in soos die kanaaloorkruising, die Jesusbeeld-sprong en wereldrekord spoedskipogings, om maar net 'n paar te noem. Die Red Bull maatskappye, tesame met die welbekende Red Bull Racing en Torro Rosso wat afsonderlik deelneem aan die Formule Een Grand Prix-reeks, die Hangar-7 wat die Vlieende Bulle of die Red Bull Lugspan huisves, dra almal daartoe by om bewusmaking van hierdie handelsnaam by verbruikers te verhoog. Red Bull is verseker 'n andersoortige handelsnaam wat op 'n unieke manier besigheid doen. In die beplanning- en oorwegingsfase word nie net die verskillende pilare geintegreer nie, maar ook die projekte wat deur die hoofkantoor geloods word en die Red Bull maatskappye maak die bemarkingsprojek iets besonders om te sien. Hierdie geintegreerde bemarkingsbenadering wat uit soveel verskillende fasette bestaan, stel nuwe bemarkingstandaarde, maar maak dit ook makliker om te begryp waarom hierdie handelsnaam wereldwyd so sterk is. Die sukses van Red Bull kan toegeskryf word aan 'n paar dinge, wat insluit hul mense, die passie vir die handelsmerk, die deursettingsvermoe om suksesvol te wees, asook hul gedetaileerde beplanningsmetodologie. Die manier van doen is wereldwyd konsekwent, praat oral dieselfde taal met dieselfde boodskap - waarlik 'n unieke handelsnaam met sterk waardes, fokus en strategiee, wat dink soos 'n nommer twee om verseker die nommer een te wees. . .... "Red Bull gives you wiiings"!

Problem Saturated markets are known to be competitive, with a wide selection of alternatives. In a saturated market is essential to differentiate a brand to compete in a market. Therefore, innovation has become a central part of a brand’s DNA when developing strategies, such as product evolvement and marketing. Today, there is a research gap of how innovation efforts are perceived by consumers of Generation Y, and how their loyalty to a brand is influenced by the phenomenon. Purpose The purpose of this qualitative research study was to investigate how Generation Y perceives a brand’s innovation efforts. Further, how their loyalty is influenced by the innovation efforts. One research question was developed to fulfill the purpose; how does innovation influence brand loyalty in saturated markets?   Methodology This thesis was written from a qualitative perspective. To gather empirical data, semi-structured interviews were conducted. The participants were all within the age restriction of Generation Y, and the samples were chosen through the purposive sampling approach.     Findings Several findings were identified from this qualitative research study. The two main findings were of great importance. One finding showed that within the saturated market of low-involvement products, marketing innovation plays a greater role than product innovation. Marketing innovation shows to have a large impact on establishing brand loyalty within a saturated market. Both findings were identified from the viewpoint of Generation Y.

Abstract Background: The popularity of stocks in Sweden is high and with the prevailing low interest climate investors must invest in stocks to earn return on their investment. Achieving a higher return than the market has been a continuous struggle for professional as well as private investors. Having an investment strategy is of great importance because it helps the investor make rational decisions, avoid psychological traps, and prevents them from losing out on possible return. Investing in securities with different characteristics diversifies the portfolio and reduces the total risk taken. Therefore, an interest among investors in examining whether multiple valuation is a fitting investment strategy should exist. Further to examine if there are any multiples that are especially suited for specific branches. Purpose: The purpose of the study is to analyze which multiple of P/E, P/BV, EV/S and EV/EBITDA generates the highest risk-adjusted return through relative valuation within six branches on the Stockholm Stock Exchange. The study also aims to analyze whether high or low multiples generates the highest risk adjusted return in a Bull Market and try to explain why. Method: Too achieve the purpose, a quantitative study with an abductive approach has been used. An analysis of historical stock prices and multiples has been made. A total of 48 portfolios have been constructed including high respectively low P/E, P/BV, EV/S and EV/EBITDA multiples. The portfolios have been weighted on a yearly basis and afterwards compared with several risk-adjustment tools. The risk-adjusted return has thereafter been compared to a general index too make it possible to draw conclusions. Result: The result implies that it is statistically assured that investors can achieve a higher return than index by using multiple valuation as an investment strategy in four out of six examined branches. A difference in return among the branches and portfolios can be concluded and there were in total 18 out of 48 portfolios that showed a higher risk-adjusted return in which twelve were statistically assured. statistically assured higher return than the chosen index. Keywords: Multiple Valuation, Relative Valuation, Branches, P/E, P/BV, EV/S, EV/EBITDA, Stock Market Psychology, Bull Market.

Bakgrund: Människor tenderar att i större grad investera i bekanta företag i närområden, detta psykologiska fenomen kallas för home bias. Det kan bli problematiskt då det kan medföra att investerare inte optimerar sina portföljer utifrån risk, avkastning och korrelation mellan tillgångarna i portföljen. Tidigare forskning kring home bias har indikerat på att fenomenet kan drivas av olika förklaringsmekanismer, exempelvis marknadsförhållanden, volatilitet och transaktionskostnader. Forskningen kring home bias har i mindre skala fokuserat på hur home bias förändras i olika marknadsförhållanden dessutom finns endast begränsad forskning om detta för svenska fonder vilket är varför det var intressant att undersöka denna kunskapslucka. Syfte: Syftet var att undersöka och analysera potentiell exponering och förändring av home bias i svenskregistrerade fonder vid marknadsförändringar i ekonomin mellan år 1994–2018. För att definiera olika marknadsförhållanden används termerna bear-marknad vilket är en kontraherande marknad och bull-marknad som är motsatsen. Detta har sedan undersökts och analyserats tillsammans med de två valda förklaringsmekanismerna volatilitet och transaktionskostnader. Metod: Studien var kvantitativ med en deduktiv ansats. Den primära datan har bestod av den totala svenska fondförmögenheten mellan 1994–2018 och den totala världsmarknadsportföljen. Dessutom har indexdata använts för att fånga marknadsförändringar och svenska genomsnittliga fondavgifter för att beskriva transaktionskostnader. Att inkludera volatilitet och transaktionskostnader grundade sig på den tidigare forskningens tyngdpunkt på dessa två mekanismer. Analysmetoden har främst utgått från hypotestest för dessa variabler. Slutsats: Resultatet av studien hittade signifikanta samband för home bias för svenskregistrerade fonder både för bear-och bull-marknad, vilket ligger i linje med tidigare forskning som har sett att bear-marknader leder till ökning av home bias på grund av att osäkerheten i omvärlden gör investerare i större grad villiga att placera i det bekanta. Dessutom har tidigare forskning visat att home bias minskar under säkrare perioder vilket denna studies resultat av sambandet mellan bull-marknaden och home bias indikerat. Vidare visade båda förklaringsmekanismerna att de har ett signifikant samband med home bias. Resultatet har därmed bidragit till kunskap om home bias i marknadsförhållanden för den svenska fondmarknaden och kan i större grad motverka investerare att hamna i psykologiska fällor som leder till sämre investeringsbeslut.
Background: People tend to invest a large portion of their investments in familiar companies near their home area, this psychological phenomenon is called home bias. This can become problematic thus it means that investors do not optimize their portfolios based on risk, return and correlation between assets in the portfolio. In addition, there are studies that indicate that home bias is driven by various explanatory mechanisms, for example market conditions, volatility and transaction costs. Research about home bias has in a smaller scale focused on how home bias changes in different market conditions, especially in Sweden and for funds, therefore it would be interesting to investigate this knowledge gap. Purpose: The purpose of this study was to examine and analyze the relationship between funds registered in Sweden and their potential exposure to home bias in various market conditions in the economy between 1994-2018. To define market conditions, the concepts bear market is used when the market is in a contracting phase and bull market is used when the opposite conditions occur. This has been examined and analyzed together with the two selected explanatory mechanisms volatility and transaction costs. Method: The method for this research is quantitative with a deductive approach. The primary data used to investigate home bias comes from statistics of total Swedish fund assets between 1994-2018 and the total world market portfolio. Furthermore, index data is used to capture market changes and data of average fund fees are used to examine transaction costs. The choice to include volatility and transaction costs is based on the previous research emphasis on these two mechanisms. The method of analysis is based primarily on hypothesis testing for the mentioned variables. Conclusion: The result of the study shows that the relationship between bear and bull markets and home bias for funds registered in Sweden are significant. Which is in line with previous research that states that bear markets lead to an increase in home bias because the uncertainty around the world makes investors to a greater extent willing to invest in the familiar. In addition, previous research has shown that home bias decreases during safer periods, which the results of the relationship between the bull market and home bias indicate in this study. Furthermore, both explanatory mechanisms showed that they are significantly associated with home bias. The result has contributed to the knowledge of home bias for the Swedish fund market in various market conditions and can in a larger scale counteract investors to fall in to psychological traps and go through with badly made investment decisions.

In questa tesi, l’analisi verte su risk-adjusted performance, proprietà statistiche e caratteristiche dei fondi hedge (FH). Nel primo articolo, i risultati relativi al survivorship bias e backfill bias indicano che l’impatto delle distorsioni è diverso a seconda delle strategie. Utilizzando il modello multifattoriale di Fung and Hsieh (2004), l’analisi della performance indica che il 42% dei FH ha ottenuto un rendimento superiore al mercato. Infine, utilizzando dei metodi parametrici e non parametrici, l’analisi della persistenza indica differenti livelli di persistenza a seconda della strategia. Nel secondo articolo, vengono analizzati i fondi di fondi hedge (FOHFs). I risultati sono particolarmente interessanti. In primo luogo, i FOHFs e le sotto strategie hanno generato un excess return positivo; inoltre l’alfa ottenuto attraverso il modello a 7 fattori di Fung and Hsieh (2004) risulta elevato. In secondo luogo, i FOHFs e le sotto strategie hanno un rendimento inferiore a quello dell’indice dei FH. In terzo luogo, le correlazioni tra gli indici dei FOHFs e l’indice azionario sono inferiori rispetto alle correlazioni tra l’indice dei FH e gli indici azionari. Infine, l’indice dei FH e quelli dei FOHFs sono positivamente correlati con l’indice azionario quando il mercato tende al ribasso, ma risultano non correlati con l’indice azionario quando il mercato tende al rialzo. Rispetto all’indice dei FH, gli indici dei FOHFs hanno una correlazione minore con gli indici azionari in entrambe le fasi del mercato, suggerendo che i FOHFs forniscono benefici maggiori in termini di diversificazione rispetto ai fondi hedge puri.
In this thesis, I examine the risk-adjusted performance, statistical properties and fund characteristics of hedge fund investments. In Essay One, results of survivorship bias and backfill bias by investment styles indicate that biases are different across styles. Using a multi-factor model of Fung and Hsieh (2004), the analysis of performance indicates that 42% of the hedge funds significantly outperformed the market. Finally, using parametric and non-parametric methods, the analysis of persistence indicates different degree of persistence depending on the hedge fund strategy. In Essay Two, I analyse fund of hedge funds (FOHFs). I find several interesting results. First, FOHFs and the sub-strategies earn positive excess returns and a high Fung and Hsieh 7-factor alpha. Second, FOHFs and the sub-strategies underperform the hedge fund index (HFI). Third, the correlations between FOHF indices and equity index are lower than correlations between HFI and equity indices. Finally, hedge funds and FOHFs are positively correlated with the equity index in the bear markets but uncorrelated with the equity index in the bull markets. Compared to HFI, FOHF indices have lower correlation with equity index in both bull and bear markets, indicating that FOHFs provide better diversification benefits than individual hedge funds.

In questa tesi, l’analisi verte su risk-adjusted performance, proprietà statistiche e caratteristiche dei fondi hedge (FH). Nel primo articolo, i risultati relativi al survivorship bias e backfill bias indicano che l’impatto delle distorsioni è diverso a seconda delle strategie. Utilizzando il modello multifattoriale di Fung and Hsieh (2004), l’analisi della performance indica che il 42% dei FH ha ottenuto un rendimento superiore al mercato. Infine, utilizzando dei metodi parametrici e non parametrici, l’analisi della persistenza indica differenti livelli di persistenza a seconda della strategia. Nel secondo articolo, vengono analizzati i fondi di fondi hedge (FOHFs). I risultati sono particolarmente interessanti. In primo luogo, i FOHFs e le sotto strategie hanno generato un excess return positivo; inoltre l’alfa ottenuto attraverso il modello a 7 fattori di Fung and Hsieh (2004) risulta elevato. In secondo luogo, i FOHFs e le sotto strategie hanno un rendimento inferiore a quello dell’indice dei FH. In terzo luogo, le correlazioni tra gli indici dei FOHFs e l’indice azionario sono inferiori rispetto alle correlazioni tra l’indice dei FH e gli indici azionari. Infine, l’indice dei FH e quelli dei FOHFs sono positivamente correlati con l’indice azionario quando il mercato tende al ribasso, ma risultano non correlati con l’indice azionario quando il mercato tende al rialzo. Rispetto all’indice dei FH, gli indici dei FOHFs hanno una correlazione minore con gli indici azionari in entrambe le fasi del mercato, suggerendo che i FOHFs forniscono benefici maggiori in termini di diversificazione rispetto ai fondi hedge puri.
In this thesis, I examine the risk-adjusted performance, statistical properties and fund characteristics of hedge fund investments. In Essay One, results of survivorship bias and backfill bias by investment styles indicate that biases are different across styles. Using a multi-factor model of Fung and Hsieh (2004), the analysis of performance indicates that 42% of the hedge funds significantly outperformed the market. Finally, using parametric and non-parametric methods, the analysis of persistence indicates different degree of persistence depending on the hedge fund strategy. In Essay Two, I analyse fund of hedge funds (FOHFs). I find several interesting results. First, FOHFs and the sub-strategies earn positive excess returns and a high Fung and Hsieh 7-factor alpha. Second, FOHFs and the sub-strategies underperform the hedge fund index (HFI). Third, the correlations between FOHF indices and equity index are lower than correlations between HFI and equity indices. Finally, hedge funds and FOHFs are positively correlated with the equity index in the bear markets but uncorrelated with the equity index in the bull markets. Compared to HFI, FOHF indices have lower correlation with equity index in both bull and bear markets, indicating that FOHFs provide better diversification benefits than individual hedge funds.

Mestrado em Matemática Financeira
Nas últimas décadas, o mercado financeiro mundial tem enfrentado vários problemas e colapsos que motivaram anos conturbados para a economia real e para as famílias. Os sistemas dinâmicos apareceram na literatura de matemática financeira para ajudar a compreender melhor as características únicas destes mercados financeiros e a dinâmica do preço ao longo do tempo. Este trabalho consiste principalmente numa aproximação estatística ao sistema dinâmico de modelo de mercado com um ponto de descontinuidade introduzido por Tramontana, Westerhoff e Gardini (2010). Usando uma versão do modelo que produz órbitas caóticas, podemos observar, para parâmetros específicos, distribuições estacionárias. Por outras palavras, o sistema dinâmico pode ser caótico do ponto de vista do estudo das órbitas, porém, em termos estatísticos, é assintoticamente previsível, isto é, a maioria das trajetórias converge para um atractor que nós conseguimos descrevê-lo estatisticamente. Ainda, para os parâmetros apropriados, o modelo pode projetar um comportamento absolutamente errático, mesmo numa aproximação estatística. Para este último, nós concluímos que a previsão do preço é impossível uma vez que só conseguimos restringir os nossos prognósticos a um intervalo invariante suficientemente grande que contém toda a dinâmica do preço.
Over the past few decades, the global financial market has been facing multiple distresses and crashes which led to troubled years for the real economy and families. Dynamical systems emerged in the mathematical finance literature to help comprehending better the unique characteristics of these financial markets and the price dynamics over the time. This work consists mainly of a statistical approach of the one discontinuity point dynamical system market model introduced by Tramontana, Westerhoff and Gardini (2010). Using a model's version that produces chaotic orbits, we can observe stationary distributions under specific parameters. In other words, the dynamical system can be chaotic in a point-wise perspective, however, from a statistical approach, it can be asymptotically predictable, that is, most trajectories converge to an attractor which we can describe statistically. Still, under the proper parameters, the model may project an absolute erratic behavior, even in the statistical approach sense. For the latter, we conclude the price forecast is impossible because we can only restrict our prognoses to an invariant set sufficient large whose contain the whole price dynamic.

Investors constantly seek information that provides an edge over the market. One of the conventional methods is to find factors which can predict asset returns. In this study we improve the Fama and French Five-Factor model with Regime-Switches, student's t distributions and copula dependencies. We also add price momentum as a sixth factor and add a one-day lag to the factors. The Regime-Switches are obtained from a Hidden Markov Model with conditional Student's t distributions. For the return process we use factor data as input, Student's t distributed residuals, and Student's t copula dependencies. To fit the copulas, we develop a novel approach based on the Expectation-Maximisation algorithm. The results are promising as the quantiles for most of the portfolios show a good fit to the theoretical quantiles. Using a sophisticated Stochastic Programming model, we back-test the predictive power over a 26 year period out-of-sample. Furthermore we analyse the performance of different factors during different market regimes.

Le but de cette thèse est de construire un modèle de détection des changements de phase -passages de marché haussier à baissier et vice versa - du marché des actions américaines cotées, en utilisant un nombre relativement important de variables à la fois fondamentales (macroéconomiques et microéconomiques) et issues de l’analyse technique.Le modèle statistique retenu est la régression logistique statique, avec un retard pour les variables explicatives allant de zéro à trois mois. Les huit variables les plus significatives parmi vingt candidatesont été sélectionnées à partir des données mensuelles du S&P500 sur la période 1963-2003. Le modèle obtenu a été testé sur 2004-2013 et sa performance a été supérieure à celles de la stratégie Buy & Holdet d’un modèle univarié utilisant la variable ayant le plus fort pouvoir de détection - ce dernier modèle ayant fait l’objet d’une étude dans la littérature.Il a également été montré que des variables non encore considérées dans la littérature - la moyenne mobile sur les six derniers mois des créations nettes d’emplois non-agricoles, la base monétaire et le Composite Leading Indicator de l’OCDE - ont un pouvoir de détection significatif pour notre problématique. D'autre part, la variable binaire indiquant la position du S&P500 par rapport à sa moyenne mobile des dix derniers mois - variable de type analyse technique - a un pouvoir prédictif beaucoup plus élevé que les variables fondamentales étudiées. Enfin, les deux autres variables les plus statistiquement significatives sont macroéconomiques : l'écart entre les taux à dix ans des T-bonds et à trois mois des T-bills et la moyenne mobile des créations d’emplois non-agricoles
The goal of this thesis is to build a model capable of detecting the reversals - shift from bull market to bear market or vice versa - of the American stock market, by using a relatively large number of explanatory variables, both of fundamental (macroeconomic and microeconomic) and of ‘technical analysis’ types.The statistical model used is static logistic regression, with lags for the independent variables ranging from zero to three months. Starting with twenty variables, the eight most significant ones have been selected on a training set consisting of monthly data of the S&P500 between 1963 and 2003. There sulting model has been tested over the 2004-2013 period and its performance was better than those of a buy & hold strategy and of a univariate model based on the variable with the highest predictive power – the latter model being the focus of a paper in the current literature. Another contribution of the thesis is that some variables not yet studied in the literature – the six month moving average of net non-farm job creations, the monetary base and the OECD Composite Leading Indicator – are statistically significant for our problem. Moreover, the predictive power of the binary variable indicating whether the S&P500 is above or below its ten-month moving average – a technical analysis variable – is much higher than that of the fundamental variables which have been considered. Finally, the two other most significant variables are macroeconomic ones: the spread between the ten-year T-bond and three-month T-bill rates and the moving average of non-farm jobs creations

The thesis attempts to explain the resale prices of bulk carriers. The effects of the physical characteristics of ships on second-hand values, along with those of the prevailing freight rates in the market, and those of ship operating costs are theoretically discussed. The results of previous studies on the subject are presented. The main hypothesis tested in the study is that a ship's resale price is the present value of the expected future cashflow generated by its operation. The expected future freight rates required for the analysis are obtained by assuming adaptive and rational expectations among others. Market expectations on freight rates, as measured by the price of freight futures contracts exchanged in BIFFEX, are also tested. The developed model is applied on recent ship sales with very encouraging results.
Master of Arts

Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Civil and Environmental Engineering, 2007.
Includes bibliographical references (leaves 200-205).
Iron ore and coal play a key role in the global economy and their consumption per capita is indicative of a country's standard of living. Their vast majority is transported by sea, making many countries rely on the efficiency and cost of transportation by capes. The cape market has closely followed the dry bulk market since the introduction of capes in the late 1960s. It is highly cyclical, creating big investment opportunities with potential for high and fast returns. China's recent economic expansion has impacted capes in particular as they account for the vast majority of iron ore transportation. The rapid increase in demand combined with the short-run inelasticity of supply due to capacity constraints has led to a record-high market. This combined with lack of confidence has some very interesting implications. The price gap between newer and older vessels has narrowed significantly, while a modern cape is worth about 50% more than ordering a new building. Since 1986 when a 9-year-old cape was of scrap value, the market has moved to the opposite extreme with a 13-year-old cape worth as much as a newbuilding.
(cont.) The industry and its development is analyzed before focusing on the current market and its prospects. Extensive analysis is carried out on a wide range of factors contributing to the outcome of the market in terms of freight rates, time charter rates, ship values and newbuilding prices. Examples include Chinese steel production and iron ore imports, Australian port congestion and queue lengths, oil prices, newbuilding orders and delivery times, the orderbook and the scrapping pool, all of which are at record high levels. Other factors include exchange rates, GDP growth, policies and demolition rates. The analysis is carried out using databases of newbuilding orders, fixtures and S&P transactions as well as a wide range of numerical data from a variety of sources. The futures market is also investigated, as well as its relation to the physical market. A wide range of current investment opportunities are finally considered from a buyer's and a seller's perspective. These are analyzed and compared before making the relevant recommendations.
by Nicholas Hadjiyiannis.
S.M.

Includes bibliographical references.
This study investigates predictability in financial markets, specifically the South African financial market, proxied by the Johannesburg Stock Exchange (JSE) All Share Index (ALSI). It provides scientific evidence of past research of turning points in markets, focusing on bull markets as evidence suggests that predictability of bull markets leads to superior returns for an asset manager. In addition, this study provides an analysis of macroeconomic variables that can be used for predictability in the South Africa financial market. We found that certain macroeconomic variables do contain an element of predictability with the yield spread and short term interest rates being the best indicators. In addition we found that predicting the Bull Run in its earliest phase provides superior returns to an asset manager.

Thesis (MBA)--Stellenbosch University, 2012.
ENGLISH ABSTRACT: The Red Bull brand has been in the international market since 1992 and entered the South African market in 1997. The company has seen phenomenal growth in the South African market, selling in excess of 39 million cans in South Africa during 2010. The brand created the energy drink category for the Western world. Red Bull grew the energy drink category in South Africa (SA) and with growth in profits and turnover, competitors entered the energy drink category. According to the brand strategy, the positioning of the Red Bull brand has always been premium. However, the economy and the fierce competitive environment in the energy drink category have become challenging for the brand both in terms of market share and value share. This begs the question: Is the Red Bull brand in South Africa sustainable? The brand remained premium in difficult economic times and during a time when many new brands entered the energy drink category. Hence, Red Bull’s loss of value and volume share in the energy drink category is the motivation for this study. The approach to the research includes conducting focus-group interviews with consumers and administering questionnaires. The research consists of three parts, namely Project Toro, Project Rojo and Project Matador, and was conducted by TNS Research SA for Red Bull. The research indicated that the brand is challenged in the area of pricing. Price remains the barrier of entry for new consumers purchasing Red Bull. Consumers agree that the brand must remain a premium brand. However, at some stage premium can become too premium. The price of Red Bull products will have to decrease to help ensure sustainability of the brand in South Africa. However, consumers did note that the brand must not decrease its prices too much because it will take away the status of the brand. The Red Bull brand is also challenged by the value proposition component. Competitor brands have larger cans which offer consumers value for money while Red Bull is known as the “small can” brand. As based on Red Bull’s international strategy, the efficacy and re-energising functional value of the brand are the main reasons why people still consume Red Bull. The focus that Red Bull once had on the entry-level consumer market that ensures sustainability of the brand has also been challenged by new brands in the category. Competitors have seen the opportunity created by investing in the entry-level consumer market. Red Bull SA has not been keeping up with international energy trends, which created an opportunity for competitors to launch bigger pack sizes and to be first-to-market. This has taken away value and volume share from the most valuable energy drink brand in South Africa. Renewed focus on the main findings of the research can give Red Bull the opportunity to once again be the leading brand in terms of value and volume.

Magister Commercii - MCom
Since the discovery of herding behaviour in financial markets in the 1990s, it has become an area of interest for many investors, practitioners and scholars. Herding behaviour occurs when investors and market participants trade in the same direction during the same time period, as a result of the influence of other investors. Studies on herding behaviour have been undertaken in both the developed and developing economies and majority of these studies have confirmed the existence of herding behaviour in the stock markets. Despite its tremendous growth, the South African financial markets are not immune to such market anomaly. Herding behaviour on the JSE was first investigated in 2002 focusing in the unit trust industry on the South African stock market. Motivated by this, this study assessed the presence of herding behaviour using the Johannesburg Securities Exchange tradable sector indices. Four indices were employed, namely Financials, Industrials and Resources and were benchmarked against the JSE All Share Index for the period from January 2007 to December 2017. The industrials index ((FINI15) constitutes of 25 largest industrial stocks by market capitalization, the financials index (FINI15) comprises of 15 largest financial stocks by market capitalization, the resources index (RESI10) which represents 10 largest resources stocks by market capitalization and lastly the FTSE/JSE All Share Index defined as a market capitalization-weighted index which is made up of 150 JSE listed companies and is the largest index in terms of size and overall value JSE. The FTSE/JSE All Share Index was used as a benchmark for investors to check how volatile an investment is. The South African economy experienced the effects of the 2008 global financial crisis from 01 July 2007 to 31 August 2009. This study split the examination period into three categories namely before the global financial crises which was the period starting from 1 January 2007 to 30 June 2007, then the period during the global financial crisis which was from 1 July 2007 to 31 August 2009 and lastly the period after the global financial crises which was from 1 September 2009 to 31 December 2017. Apart from the diversity of the indices, the length of the examination period also had a significant influence towards the magnitude of herding behaviour on the JSE.

O presente trabalho busca identificar bull e bear markets para o mercado financeiro brasileiro, especificamente para o índice Ibovespa, através das principais metodologias existentes na literatura: regras não paramétricas e modelos de mudança de regime markoviano. A primeira abordagem foi utilizada como benchmark para comparação com melhor modelo econométrico estimado pela segunda abordagem, visto que trata-se de um método ex-post de identificação. No tange aos modelos de mudança de regime markoviano, constatou-se que permitir regimes distintos também para a variância da série contribui para a identificação dos mesmos. Desta forma, o melhor modelo obtido fora o MSARMA(2,1)-2 para a série de retornos semanais do índice Ibovespa. O modelo foi capaz de identificar os principais eventos que impactaram a economia e o mercado financeiro brasileiro no período. Além disto, o modelo se mostrou útil para a tomada de decisão, visto que a estratégia de investimento, baseada na previsão um passo à frente do estado do mercado, foi capaz de preservar o capital do investidor, gerando um melhor desempenho do que na estratégia buy-and-hold de longo prazo.
This paper seeks to identify bull and bear markets in the brazilian stock market, specifically to the time series of the Ibovespa index, through the main methodologies present in literature: identification based on rules and Markov switching models. The first method was used as a benchmark to compare with the best regime switching model, since it is an ex-post method of identification. Modelling a Markov switching model with two regimes also for the variance of the process resulted in a better identification of the markets. Thus, the best Markov switching model estimated was theMSARMA(2,1)-2 to the time series of the Ibovespa weekly returns. The model was able to identify the main events that have impacted the brazilian economy and also the stock market in the period. Furthermore, the model proved its value in decision making, since in a investment strategy, based on the models one step ahead forecast about the regime of the market, it was able to preserve investor capital, generating a better performance than the buy-and-hold strategy.

Les défis auxquels les systèmes électriques font face actuellement (intégration massive des énergies renouvelables, développement de la production distribuée, réduction des émissions CO2, etc.) donnent lieu à une intuition partagée sur la croissance des besoins en stockage d’électricité. Néanmoins, les investissements en stockage engagés par des acteurs individuels restent à ce jour très faibles, sauf pour la technologie de stockage par pompage-turbinage. Ceci s’explique potentiellement par le fait que l’usage du stockage par un seul acteur ne permet que rarement de recouvrir le coût d’investissement du stockage. En tant qu’actif multifonctionnel, le stockage est capable de fournir de nombreux services à différents acteurs. La façon dont le stockage est utilisé devrait être adaptée afin de permettre une mutualisation du coût d’investissement et des bénéfices parmi différents acteurs dans le paysage dérégulé des systèmes électriques en Europe.La thèse a permis d’étudier les mécanismes efficaces permettant 1) aux acteurs régulés et dérégulés de partager l’utilisation d’une unité du stockage, et 2) à une coordination efficace des utilisations décentralisées du stockage. A cet effet, nous proposons un design de marché qui permet d’agréger les valeurs du stockage en deux dimensions.Premièrement, des valeurs peuvent être agrégées sur plusieurs horizons temporels. Les acteurs peuvent avoir intérêt à décider l’utilisation du stockage à différents moments avant la livraison en temps réel. L’agrégation verticale est obtenue par la superposition des profils d’utilisation décidés à différents horizons temporels. Deuxièmement, les valeurs peuvent être agrégées parmi différents acteurs. Ceci consiste à coupler le stockage avec des marchés organisés de l’électricité. A un horizon donné, l’opérateur du stockage communique ses capacités disponibles à l’opérateur du marché, qui vaviincorporer ces capacités dans le processus de clearing de marché afin de maximiser le bien-être social.La thèse démontre qu’il est possible de faire partager une unité du stockage par des acteurs régulés et dérégulés d’une manière systématique. Des simulations montrent que l’agrégation des valeurs du stockage, de la façon proposé dans la thèse, peut conduire à une augmentation évidente de la rentabilité du stockage. Elles montrent aussi qu’après la clôture de toutes les activités commerciales à un horizon donné, il reste systématiquement des capacités du stockage non-utilisées, qui sont difficilement valorisables par les acteurs dérégulés, mais pourraient être servies par les acteurs régulés. Le mécanisme d’agrégation permet de capturer la valeur de ces capacités, tout en respectant le principe d’ « unbundling » du secteur électrique européen
The challenges faced by the power systems nowadays (massive integration of intermittent energy sources, development of distributed generation, reduction of CO2 emissions, etc.) give rise to a widespread notion on the growing needs for electric energy storage (EES). In spite of this, little investment on EES, however, has been carried out by individual actors. An exception concerns pumped hydro storage technology, but the development of this technology is highly constrained by the existence of suitable sites in Europe. The lack of investments in EES, despite its general usefulness, is potentially due to the fact that the usage of storage by one individual actor generally could not allow him to recover the high investment costs involved. As a multi-functional asset, EES can provide numerous benefits to different actors. A potential means to promote EES may involve socialising the investment cost and benefits of EES among different actors in the deregulated power systems in Europe.This thesis studies how to create efficient mechanisms to allow 1) all the actors, both regulated and deregulated, to share the use of an EES unit, and 2) an effective coordination on the decentralized usages of storage by different actors. To this aim, we propose a market design that enables the aggregation of the values of EES along two dimensions, namely vertical and horizontal aggregation.Firstly, the values can be aggregated vertically upon several time horizons. Actors may have different needs for EES at different time horizons. The vertical aggregation is achieved by superposing utilisation profiles of EES decided at different moments in time. The compatibility of the different utilisation profiles is ensured by a coordination mechanism. Secondly, the values can also be aggregated horizontally among a large number of actors. The horizontal aggregation consists in coupling EES to the electricityivmarkets. At a given time horizon, the storage operator communicates the available capacities of EES to the market operator, who will incorporate these capacities in the market clearing process to maximise the social welfare.The thesis proves that it is possible for different actors, both regulated and deregulated, to share the use of storage in a systematic way. The simulation results show that the aggregation of values of EES, in the way proposed by the thesis, can lead to higher return on investment. The simulation also show that, after the closure of all commercial activities (at certain time horizon), there are systematically residual capacities of EES which are difficult to be valued by deregulated actors, but can be used by regulated actors. The value of these capacities can be effectively captured in the proposed aggregation mechanism, while respecting the unbundling principle of the European electricity sector

Hedge funds are increasingly becoming a popular alternative investment vehicle. They are much more flexible and can freely choose from a pool of investment strategies due to their limited regulations. This gives them the flexibility to exploit opportunities in order to generate high returns at low risk. In order to have access to the freedom and flexibility to engage in different investment strategies, hedge funds often impose share restrictions in the form of lockup, redemption notice period and redemption frequency period to limit the ease with which investors can have access to their investment (limited liquidity). In this study, we evaluate the effects that share restriction could have on the performance of hedge funds in both crisis and non-crisis periods. We find that consistent with previous studies hedge fund performance is positively related with share restrictions. That is, funds that impose stricter share restriction have a better performance in terms of returns and alphas. This is especially seen in the non-crisis period where funds that are more illiquid are able to generate and illiquidity premium for investors to reward them for limiting their investment. However, in the crisis period we find out that this illiquidity premium changes into an illiquidity discount. We also find that funds that impose stricter share restrictions are more volatile and are more likely to take on more risky investment in order reap an illiquidity premium. Our results show a positive correlation between the three share restrictions. Thus, in our study we find that funds that impose one share restriction are more likely to impose the others. Hedge funds with stricter share restriction mostly invest in illiquid assets. We find that the underperformance of illiquid funds during the crisis was majorly driven by styles consisting mostly of illiquid funds such as relative value and event driven styles. We also investigate the performance of funds with an asset-liability mismatch- funds holding a combination of illiquid asset portfolios and weak share restrictions. Our findings suggest that funds that have an asset-liability mismatch perform particularly poorly during the crisis and that there are possibilities to prevent an asset-liability mismatch by ensuring a proper alignment of share restrictions with asset portfolio liquidity. This study contributes to previous academic studies by investigating whether after the crisis period hedge funds yielded comparatively high returns as prior to the crisis period. We compare hedge funds returns from before, during and after the crisis to see if during the period preceding the crisis hedge funds continued reaping high return as they did prior to the crisis. We do this to prevent generalizing the effect of share restrictions on hedge fund performance to all market conditions. The results from our contribution shows that just like most industries the hedge fund industry did not earn as high returns as they did before the crisis (even though they had positive returns). It seems that they were struck severely by the financial crisis and have been unable to pick up quickly to where they were (in terms of returns) prior to the financial crisis

Thesis (S.M. in Ocean Systems Management)--Massachusetts Institute of Technology, Dept. of Mechanical Engineering, 2006.
Includes bibliographical references (leaves 188-189).
Investing in the bulk carrier market constitutes a rather risky investment due to the volatility of the bulk carrier freight rates. In this study it is attempted to uncover the benefits of using Artificial Neural Networks (ANNs) in forecasting the Capesize Ore Voyage Rates from Tubarao to Rotterdam with a 145,000 dwt Bulk carrier. Initially, market analysis allows the assessment of the relation of some parameters of the dry bulk market with the evolution of freight rates. Subsequently, ANNs with an appropriate architecture are constructed and sufficient data, in terms of quantity and quality, are collected and organized so as to establish both the training and the testing data sets. The use of ANNs along with genetic algorithms allows the prediction of bulk freight rates with considerable accuracy for as long as eighteen months ahead and this is quantified by calculating the relative and absolute errors. It is concluded that ANNs offer a promising approach to forecasting the bulk market when coupled with efficient market modeling.
by Athanasios V. Voudris.
S.M.in Ocean Systems Management

碩士
銘傳大學
財務金融學系碩士在職專班
97
With the cyclical occurrences of booms and collapses in the market, many scholars are trying to find a traceable pattern and method to predict market behaviours. The Efficiency Market Hypothesis raised by FAMA suggests that historical data are reflected on stock prices, but it is not feasible to use historical data for the purpose of forecasting future stock prices to earn over-average return. By using non-linear Hurst Exponent, this study manages to avoid the limitations and drawbacks of the Efficiency Market Hypothesis, as well as taking the non-linear causality of market response to information into consideration. This paper has selected US, UK, France, Australia, Canada and Japan as samples for Developed Countries as well as Taiwan, Hong Kong, Malaysia, Singapore, Indonesia and Mainland China, as samples for Developing Countries. Sample data used is the major Stock Index of each country. Period covered is between the 1st of January 1988 to the 31st of January 2009. Analysis Methods used by this paper include: Rescaled Range Analysis, Aggregated Variance Method, Absolute Values of the Aggregated Series, Higuchi’s Method, etc. The goal is to verify if, in general, long-term memory or endurance exists in the different stock markets. In addition, the effect of market maturity and Bear/Bull Market on the continuance of the Hurst Exponent is also explored in this paper. 1.Extrapolations of the Hurst Exponent using the Rescaled Range Method are showing endurance patterns for both Developed Countries and Developing Countries. This confirms the reliability of this method, as cited in past researches, in capturing the endurance patterns of stock prices. 2.Amongst the Developing Countries, Malaysia, Indonesia, Mainland China and Taiwan are all showing higher Hurst Exponent values. It is suggested that market maturity of the Developing Countries is the reason for the near 0.5 value found for the Hurst Exponent, such maturity is bringing these countries closer to the Efficiency Market. 3.The Hurst Exponent is more evident in a Bear Market for Developed Countries, indicating that fluctuation is more persistent during the correction period for Developed Countries. 4.For Developing Countries, the Hurst Exponent tends to be more evident in a Bull Market and can be as high as 0.6. This indicates that, in these countries,stock price fluctuation tends to continue for a longer period in a Bull Market.This may be a reflection on the fact that investors in these markets tend to chase stocks on the rise. For Singapore and Hong Kong, where both cities are approaching Developed Country status in the financial arena, however,values for the Hurst Exponent were found to be higher in Bear Markets.

碩士
國立政治大學
財務管理學系
107
This essay focuses on the bad performance of the behavior from overconfidence because the author of this essay believes that overconfidence should cause good result of profit if investors having the right expectation would make profit by aggressive trading. In addition, past essays also stand this point by building model to expect the good result from overconfidence. Hence, this essay will use empirical analysis to find out under what circumstances overconfidence will have a positive impact on performance and assume in bull market overconfident investor should capture additional profit. And use the turnover factor in bull market as a proxy for overconfidence. Try to establish the finding that overconfidence would cause good profit.

碩士
國立中興大學
高階經理人碩士在職專班
104
In this study, we use the sample of global exchange-traded funds (Exchange Traded Fund, ETF) that ranges from 2012 to 2015 to discuss two issues. First, following Black-Litterman model, we discuss the aggressive, steady and conservative types of asset allocation analysis. Second, in order to involve the uncertainty of the future state of the market, we use the Markov switching model to capture the state of Bull and Bear market turning points and identify the most appropriate investment opportunity by using investment strategy analysis of ETF portfolios. The empirical results show that when investor risk appetite (λ) is different, investments of the ETF weights vary. Three different investor risk appetites for the expected risk and expected return are positive correlation; investors investing in equity funds ETF in bull markets outperform that in bear markets; investment strategies no. 3 has the best performance

碩士
國立臺北商業技術學院
財務金融研究所
99
The purpose of this study is to test whether mean reversion in stock market prices presents a different behavior in bull and bear markets. We date the Taiwan’s bull and bear periods using Pagan and Sossounov(2003) following the algorithm developed by Bry and Boschan (1971) to find out the turning-point of business cycle. We examine Taiwan stock market index(TAIEX) covering a monthly period from January 1971 to April 2010 in bull and bear phases. Our results indicate we can’t reject unit root hypothesis in most phases, that means stock price mainly correspond to the phenomenon of random walk. In the view of long term, stock market prices in Taiwan don’t have mean reversion whether phases in bull or bear markets.

碩士
國立虎尾科技大學
經營管理研究所
99
In this paper, stock index futures, small TAIEX, stock index, electronic futures, electronic spot, financial futures, financial spot to study the subject of inter-market price discovery and validation in the bull market trend and the trend of short Price discovery is the subject matter is obviously different. The period from January 2006 to June 2008, the study sample will be divided into two sub-period, the sample period January 2006 to October 2007 as the bull run, from November 2007 to June 2008 as the bear trend A total of 615 trading days, a total of 452 trading days bull market, bear market, a total of 163 trading days, with each trading day of futures and spot data as observations. In this study, Hasbrouck information share model proposed by for the main research method to explore the Taiwan stock index stock index spot and futures market price discovery process of the transfer relations. The empirical results show that the ratio of information in the TAIEX 93.86%, TAIEX spot ratio of 9.94%, electronic futures information for the 63.14 percent ratio, electronic spot, compared with 36.86%, financial futures, the proportion of 61.11% of information, financial stock information ratio is 38.89%, it is found that the futures market leading the spot market. Under market conditions in the distinction, in a bull market, stock index futures remained a leading small TAIEX and Stock (57.73%> 35.72%> 9.95%), and in the bear market, stock index futures are still leading a small stock index futures and spot (51.90%> 43.09%> 9.91%). The electronic index, the information in a bull market The difference, 24.14% (62.07> 37.93%), while the proportion in the bear market information for the 32.18% difference (66.09%> 33.91%). Financial futures in the leading financial stock bull market compared to 22.08% of information (61.04%> 38.96%), and in the bear market, financial futures and stock information leading financial ratio of 22.62% (61.31%> 38.69%). We observed the bear market of information between the proportion of larger than the proportion of bull market information, the reason may be the spot market for short sales restrictions are more stringent, resulting in a higher price discovery bear market, investors prefer to do in the futures market price reaction.

碩士
國立高雄科技大學
財富與稅務管理系
107
This thesis investigates the relationship between mutual fund size and performance of mutual fund issued and invested in Taiwan from 2006 to 2018. It also explores whether the market volatility, market sentiment and US market-based interest rate operation influence the relationship between mutual fund size and performance. The empirical results indicate that the mutual fund size does not have direct effect on the fund performance, however, with the higher market volatility, the bigger the fund size the better the fund performance. In addition, when the market is booming, the performance of small-size fund is obviously better than that of larger-size fund. Finally, this paper finds that the interest rate hike or interest rate cuts in the US market dot not moderate the relationship between fund size and fund performance.

碩士
國立高雄科技大學
財務管理系
107
This study explores which restructuring response strategy is adopted by companies in the event of a financial distress that affects their ability to resume normal transactions in the future, whether they are re-established or delisted, and distinguishes the settings between a bull market and bear market. The data come from the Taiwan Economic Journal (TEJ) database and conver TSEC-Listed and OTC-Listed companies that were placed under an altered trading method from 2001 to 2018. The Logistic Regression Model is used to explore the impact of individual restructuring response strategies on companies during financial distress events, as well as on the sample companies that were re-established or delisted in both bull and bear markets. 　　The results show that if a company undergoing financial distress adopts a corporate deflation policy, or a corporate expansion policy, or changes its business strategy, or changes its marketing strategy, or conducts capital reduction for the purpose of making up losses and increasing cash capital, then these response strategies can effectively assist the company to regenerate and resume normal trading. Moreover, the strategy of initiating debt negotiations will more likely result in a delisting from the stock market in the future. 　　In the bull and bear market can adopt the corporate expansion policy, change business strategy, capital reduction for the purpose of making up losses and cash capital increase restructuring response strategy to help the company to re-established. In the bull market is also suitable to adopt the corporate deflation policy and change marketing strategy restructuring response strategy is most helpful to the company re-established; in the bear market, the use of the initiate debt negotiation restructuring response strategy for the company to delisted. 　　This study employed the Multivariate Regression Model to analyze the impact of financially-distressed companies on their recovery time for the re-established and survival time of the delisted of the market. For a company that has been re-established quicker, it is not necessary to use a variety of restructuring response strategies to save itself. Indeed, an effective implementation of restructuring response strategies is the most important key to survival.

碩士
國立中正大學
財務金融所
97
In Past decade, the mutual fund market experience significant growth. Especially in the United States, the growing important is notable. Growing number of investors investing in the mutual fund market imply why mutual fund topic is so important nowadays. Previous research on the relationship between investment strategy and performance was conducted by many scholars. My research differs from others significantly. This paper contributes to previous research by adding fund manager’s characteristics and two factors market trend. Analysis includes not only the relationship between investment strategy and performance of fund but also managers’ characteristics and market trend. The purpose of my research is to examine whether the investment strategy affect the performance of the fund in bull and bear market. We observe that there up to 80% are team managers, only 20% are single managers. That imply team management to be an important variable. Previous literature discusses only single managers and do not consider team management in the sample. That may lead to a big bias. In our research, we use four models to evaluate excess return. We find Fama-French three-factor model is the best model among them. So we use the excess return arise from Fama-French three-factor model to be the excess return. From manager characteristics and fund characteristics, we find CFA, MBA, fund list and manager tenure are important variables. We find the strategy variables are all negative and significant. That imply that fund managers adopting contrarian strategy may earn better excess return. Investment strategy may explain managers’ performance in bull and bear market.

碩士
國立中山大學
財務管理學系研究所
100
The study uses Moving Average, On Balance Volume, and KD (Stochastic Oscillator) to analyze that the technical analysis in which the bull or bear stock markets is efficiency. Also, verifies the changes of market efficiency before and after the financial crisis and whether it can earn excess returns or not by using technical analysis. That is, the returns earned by using technical analysis significantly greater than buy and hold which means the efficiency of technical analysis. Nevertheless, the study also aims to realize that whether the returns of the portfolio of technical indicators better than unit indicator. The companies in our samples are selected by the size of market value top 30 companies in the industries of electronic and finance in order to avoid the effect of market micro structure. Our results are as follows: (1) The returns in bear market are significantly higher than bull market by using MA6-144. (2) The MA6-72 and MA6-144 of financial stock before financial crisis, the returns of technical analysis are significantly better than buy and hold. In the other hand, in the electronic stock, we can use MA6-22-250, KD, and OBV to beat the buy and hold strategy and verify that the market efficiency does not exist. (3) The returns which combine of KD and OBV indicators are significantly higher than KD.

碩士
大葉大學
企業管理學系碩士班
105
This study aims to investigate the stock price reaction around stock repurchases announcements and also explores the determinants of the post-event abnormal returns. Moreover, the differential impacts of announcements and determinants of post-event abnormal returns in bull and bear markets are further compared. Our repurchase sample contains all repurchases of common stocks announced from August 2000 to December 2016 in the Taiwan stock market. The main findings are summarized in the following. First, negative abnormal returns before the stock repurchases announcements and post-event abnormal returns are found. We further find the undervalued phenomenon before the stock repurchases announcements as well as post-event abnormal returns in the bear market are both greater than that in the bull market. Moreover, firm size, book-to-market ratio and actual buyback ratio have a significant impact on post-event abnormal returns. Finally, the differential determinants of post-event abnormal returns in bull and bear markets are found. The post-event abnormal returns in the bull market are related to firm size, book-to-market ratio and actual buyback ratio but that are linked to book-to-market ratio, return on equity and actual buyback ratio in the bear market. We conclude with implications and suggestions for future research.

碩士
真理大學
經濟學系財經碩士班
104
Based on the motivation of investors that seek abnormal returns, this study proposes two research themes to analyze the investment strategy and abnormal returns of textile fibers, semiconductors, and finance and insurance in Taiwan Stock Market. The two themes are”a different abnormal returns of stocks" and "in the long-short investment strategy ". According to Hart et al. (2003), the four investment strategies are value-based, scale, liquidity and investment strategy and the kinetic energy and different holding periods to test the significant abnormalities of remuneration of the three stocks in a bull (2009/1 ~ 2010 / 12,2012 / 1 ~ 2013/12) and short (2007/12 ~ 2009 / 1,2010 / 1 ~ 2011/12). Four kinds of investment strategies are corresponding to different stock indexes.Among them, the value-based strategytakes benefit-cost ratio and the ratio of net stock market as stock-picking index; kinetic model strategy takes 1,3,6,9,12 months past rate of return as stock picking index; the size and type liquidity strategies take respectively stock market value and volume turnover rate as indicators. The results of this study provide reference for professional investors on decision-making, and contribution to investment management and related issues in practical.The results showed thatmomentum investment strategy is the most valuable regardless of in long or short period, especially choosing stock picking indicator based on the stock return ofthe past six months will most likely to have a better reward. This result indicates that the stock choosing indexpreference of majority Taiwanese stock investors is the share price performance in the past. However, the information offered by the foundation is relatively minor.In other words, the majority of Taiwanese investors tend to follow the market trend for investment. In addition, the empirical results of this study echoedthe actual investment. For example, many people believe that PE investment with long-short market's movements are closely related; or when the stock price is below its net worth, according to Tobin's q theory, investors will buy the stock; and "the amount of first-line price "it emphasizes the concept of stock turnover, stock volume, the market on behalf of warm, high mobility.

碩士
淡江大學
財務金融學系碩士在職專班
91
This paper examines the relationship between the monetary policies and stock return using Taiwan’s data. The importance of this issue is that if monetary policy shocks do effect asset market return, then according to the theory of asset pricing, monetary policy changes contribute one source to asset systematic risk, and thereby changing investors’ expectations about asset returns and prices. The result reveals that the money is not neutrality because the Fed in Taiwan can affect stock return with monetary policies. According to the impulse responds function, the effect of money supply to the stock return is positive and the effect in second and third period is significant. In the short term, the investors can use the change of the money supply to expect stock return, then they can adjust their invest programs to earn more profit.

碩士
國立彰化師範大學
會計學系 企業高階管理(EMBA)
104
Various commodities on the international financial market investments, and the choice of investment strategies according to investment analysis, usually use the technical analysis and fundamental analysis. Short-term investments base on technical analysis, and long-term investment depend on fundamental analysis. In this study, the subject is practicing the average lines on weighted index in Taiwan stock market, namely, by means of the technical analysis method. While the technical analysis is efficient, it does not exist when applying in weak-efficient investment market, and further, many documents have confirmed that the Taiwan weighted stock market index is not a weak efficiency. Technical analysis about buy signals and sell signals, in addition to straddle operating strategy, will lead investors to obtain excess returns, so as to beat the broader market. The study period is January 1, 2009 to December 31, 2015 on the foundation of moving average line theory. First of all, determine the long and short turns, and thus use moving average value on different days to analyze how the empty transition occur, lastly operate the straddle operation. The usage of this operation produce indicators remuneration policy mode which beat the market, besides, which is able to predict future changes. The result shows that the operating mode during the period, there are 91 times outperform than the broader market nine-fold, and whose performance clearly beat the broader market. Keywords: Average Lines, Bull/Bear Stock Market, Excess Returns

碩士
國立彰化師範大學
會計學系 企業高階管理(EMBA)
105
As a democracy country, Taiwan has lots of elections going on throughout the year. Politics do influence stock markets. Expectations for politics results are most likely reflecting by prices of stocks. Therefore, paying close attentions on connections between stocks movements and elections is important for investors during elections period, which is also the focus of this study. This empirical research will use Political Business Cycle as a fundamental theory. The study will go into details on researching for any abnormal involuntary movements within the stock market in Taiwan after interventions by political and special political events, which form a phenomenal called election bull run. The study will then continue with investigate the impacts of the election for the 13th-term President and Vice-President concurrently with 8th Legislative elections in 2012, the election for the mayors of six municipalities and countries in 2014, and the election for the 14th-term President and Vice-President concurrently with 9th Legislative elections in 2016 on stock market in Taiwan by Event Study. The result of the study concludes that after the elections, it comes with positive Abnormal Return which means celebration phenomenal exists. Therefore, the result of this study could provide investors some references on investing during political elections.

碩士
元培科技大學
經營管理研究所
96
Human resource is major core factor to increase the advantage of competition, and top executive is a leader for business. This paper utilized the Market Model and Grey Forecasting Model, GM(1,1), to analyze the wealth effects of top executive turnover in Taiwanese listed electronic companies. These results in this study are as follows:The observed negative abnormal returns exist following the top executive turnover. Analytical results of top executive turnover there be an important role for support the vicious cycle theory in that top executive (the Chairman, General Managers and CFO), hence, top executive turnover makes negative abnormal stock returns. The purpose of top executive turnover is to improve the stock return and investors’ confidence. Moreover, the investors rationally measure stock efficiently effect top executive activity and adjust their expectations to alter portfolio allocation.

碩士
國立成功大學
政治經濟學研究所專班
92
Abstract 　　The prevailing rumor in Taiwan is that before each election time the government will intervene the stock market to pull-up the stock price, which practice is generally called the "election bull run." The main purpose of this study is to examine the existence of the election bull run. The study period is from December 1989 to March 2004, in which various central and local elections took place. The methodology is the "event study," which is the usual practice of the stock price volatility research. The data of Taiwan's stock prices come from the data bank of the Taiwan Economic Journal. In event study, we presume that if the stock price is subjected to the influence of a certain event, there will be an inevitable creation of "abnormal returns." 　　Two major differences of this study from previous relevant elections and stock price studies, which are the adoption of "political business cycle" theory and an assumption of interactions between the ruling party and the voters in Taiwan's stock market. Taiwan's ruling party may use their ability to influence and manipulate the stock market in order to win the election. The intervention may take place during an "event period," in which the interactions between Taiwan's ruling party and the voters are included. 　　These empirical results could be summarized into three parts: First, historically, Taiwan's stock markets during various event periods are likely to generate positive abnormal returns. Particularly after 1998, election bull run happened in every election under our study. Second, in Taiwan, the central election displayed a more obvious election bull run phenomenon than the local elections. As for comparisons of the administrative officer elections versus people representative elections, and the single election versus combined elections, there are no significant differences in the election bull run. Third, to our surprise, the magnitudes of the positive abnormal returns are more significant after the change of ruling party. Hence the investors of Taiwan's stock market should seriously take the election bull run into consideration.