Dissertations / Theses: 'Djidja'

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Nikoli, Ioanna, and Md Mosharof Hossain. "Relationship between currency carry trade and DAX & DJIA." Thesis, Umeå universitet, Företagsekonomi, 2015. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-115204.

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Abstract: The last decade currency carry trade has gained a lot of popularity because of their apparent profitability. It is a strategy that has been developed to exploit violations of the Uncovered Interest Rate Parity. In particular, an investor must take a short position in a low-yielding currency to fund a long position in a high-yielding currency. In this research, we tried to contribute in the previous literature for the currency carry trade and its characteristics by using a different approach. Most of the researches that have been conducted in this area concern the risk agents associated with this strategy. However, in our research we investigated the relationship between currency carry trade and two equity indexes, one from the European market (DAX) and one from the American (DJIA). In order to do that, we estimated the returns of the DAX and the Dow Jones Industrial Average (DJIA) as well as the returns of a carry trade index created by the Deutsche Bank, the Deutsche Bank’s G10 Currency Future Harvest index. The returns were estimated for a time period of twenty years (1995-2014). More specific, we examined whether there is granger causality between the returns of carry trade and of DAX/DJIA, whether there is leverage effect on the returns of the same index and finally whether changes in the returns of one of those indexes can affect the subsequent volatility of the other two. For being able to do this examination, we used two different statistical models, the Vector Autoregression (VAR) and the EGARCH [1, 1] model. The first empirical finding suggests that there is granger causal effect from the two equity markets to carry trade, however the carry trade granger cause only to DJIA index. The second finding indicates that there no leverage effect form the past returns to the future volatility for all the three indexes. Finally, the last finding suggests that the volatility process on the returns of one index cannot be determined by changes in the returns of the other two indexes. Keywords: Currency carry, uncovered interest rate parity, DAX, DJIA, G10 currency, granger causality, VAR, EGARCH[1,1]

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PINTO, MARCEL SCHARTH FIGUEIREDO. "ASYMMETRIC EFFECTS AND LONG MEMORY IN THE VOLATILITY OF DJIA STOCKS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2006. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=9144@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
volatilidade dos ativos financeiros reflete uma reação prosseguida dos agentes a choques no passado ou alterações nas condições dos mercados determinam mudanças na dinâmica da variável? Enquanto modelos fracionalmente integrados vêm sendo extensamente utilizados como uma descrição adequada do processo gerador de séries de volatilidade, trabalhos teóricos recentes indicaram que mudanças estruturais podem ser uma relevante alternativa empírica para o fato estilizado de memória longa. O presente trabalho investiga o que alterações nos mercados significam nesse contexto, introduzindo variações de preços como uma possível fonte de mudanças no nível da volatilidade durante algum período, com grandes quedas (ascensões) nos preços trazendo regimes persistentes de variância alta (baixa). Uma estratégia de modelagem sistemática e flexível é estabelecida para testar e estimar essa assimetria através da incorporação de retornos acumulados passados num arcabouço não-linear. O principal resultado revela que o efeito é altamente significante - estima-se que níveis de volatilidade 25% e 50% maiores estão associados a quedas nos preços em períodos curtos - e é capaz de explicar altos valores de estimativas do parâmetro de memória longa. Finalmente, mostra-se que a modelagem desse efeito traz ganhos importantes para aplicações fora da amostra em períodos de volatilidade alta.
Does volatility reflect lasting reactions to past shocks or changes in the markets induce shifts in this variable dynamics? In this work, we argue that price variations are an essential source of information about multiple regimes in the realized volatility of stocks, with large falls (rises) in prices bringing persistent regimes of high (low) variance. The study shows that this asymmetric effect is highly significant (we estimate that falls of different magnitudes over less than two months are associated with volatility levels 20% and 60% higher than the average of periods with stable or rising prices) and support large empirical values of long memory parameter estimates. We show that a model based on those findings significantly improves out of sample performance in relation to standard methods {specially in periods of high volatility.

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Mbowou, Gbambié Isaac Bertand. "Pétrologie du massif de Djinga Tadorgal (Adamaoua, Cameroun) : comparaison avec le volcanisme des îles de São Tomé et Principe et du lac Tchad ("Ligne Chaude du Cameroun")." Paris 6, 2009. http://www.theses.fr/2009PA066509.

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Djinga Tadorgal est un volcan de l’Adamaoua et les volcans de São Tomé et Príncipe et du lac Tchad appartiennent à la "Ligne Chaude du Cameroun" (LChC). Les laves sont alcalines. Leur structure est microlitique porphyrique. Les teneurs en TiO2, Fe2O3*, MgO, CaO diminuent avec SiO2 croissante, celles en Al2O3, Na2O, K2O et P2O5 augmentent puis diminuent. Les teneurs en Rb, Sr, Ba croissent puis décroissent, celles en éléments de transition décroissent, celles en Zr, Nb, Th, Y croissent. Les spectres normalisés de terres rares des laves felsiques ont une forme en cuillère. Les rapports isotopiques du Sr, Nd et Pb sont proches de ceux des laves de la LChC. La série a évolué par cristallisation fractionnée. Les benmoréites résultent d'un mélange entre magmas basaltique et trachytique. Les magmas proviennent de la fusion partielle d'un manteau HIMU. La contamination crustale a affecté des laves felsiques. Les valeurs des rapports isotopiques du Pb sont de type FOZO comme défini pour la LChC.

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Ames, Santillán Juan Carlos. "Alternativas de diversificación internacional para portafolios de acciones de la Bolsa de Valores de Lima." Pontificia Universidad Católica del Perú, 2012. http://repositorio.pucp.edu.pe/index/handle/123456789/114747.

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This paper gives an estimation of efficient frontiers for investment portfolios, they include stocks from Lima Stock Exchange General Index, Dow Jones Industrial Average, Gold, Cooper, Fixed Income Instruments of Peruvian government and savings in Peruvian financial institutions. The paper concludes that risk of investment in local portfolio reduces as a consequence of diversification, gold is an important asset and contributes to reduce portfolio risk.
El presente trabajo estima la frontera eficiente, en portafolios de inversión diversificados en acciones que componen el Índice General de la Bolsa de Valores de Lima (IGBVL), acciones que componen el Dow Jones Industrial Average (DJIA), oro, cobre, instrumentos de renta fija del Gobierno peruano e instrumentos de ahorro bancario. Se concluye que el riesgo de portafolios de inversión de acciones que componen el IGVBL disminuye como consecuencia de la diversificación; un activo relevante es el oro que contribuye a disminuir significativamente el riesgo del portafolio.

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Ndao, Marietou. "Dynamiques et gestion environnementales de 1970 à 2010 des zones humides au Sénégal : étude de l'occupation du sol par télédétection des Niayes avec Djiddah Thiaroye Kao (à Dakar), Mboro (à Thiès et Saint-Louis)." Phd thesis, Université Toulouse le Mirail - Toulouse II, 2012. http://tel.archives-ouvertes.fr/tel-00718050.

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Les "Niayes", zones humides côtières du Sénégal constituent des écosystèmes fragiles, richesen biodiversité tout en étant traditionnellement des zones de maraîchage dans unenvironnement sahélien. La grande sécheresse des années 1970 qui a frappé l'ensemble despays du Sahel, s'est répercutée sur les Niayes par un afflux de populations rurales venant del'intérieur du pays pour y trouver des moyens de subsistance. Outre la sécheresse, cettemigration massive a considérablement augmenté la pression foncière et engendré à la fois uneurbanisation mal maîtrisée, notamment autour des grandes agglomérations, et une mise envaleur agricole; les deux portant atteinte à la valeur environnementale de ces écosystèmescôtiers. Depuis quelques années, on assiste à des hivernages particulièrement pluvieux. Ceretour pluviométrique intervenant dans des zones urbanisées de façon anarchique provoquedes inondations accompagnées de conditions sanitaires précaires pour les populations les plusdéfavorisées. A la variabilité pluviométrique, risque d'apparence naturel, s'joutent desfacteurs de risques anthropiques comme l'aménagement du territoire non maîtrisé, le nonrespectdu cadre réglementaire, diverses pollutions d'origine agricole et industrielle.Cette thèse, après avoir introduit la notion de zone humide et avoir présenté les Niayes de laGrande Côte en général et des trois zones d'étude focus (Pikine, banlieue de Dakar ; Mboro,région de Thiès; Saint-Louis), retrace leurs problèmes environnementaux et les différentespolitiques d'environnement. L'évolution de l'occupation du sol des Niayes est étudiée parrecours à l'imagerie satellitale pour la période 1986-2010 pour la confronter à la gestion deces écosystèmes sensibles et s'interroger sur la pertinence des politiques mises en place dansun esprit de développement durable.

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Ndao, Mariétou. "Dynamiques et gestion environnementales de 1970 à 2010 des zones humides au Sénégal : étude de l'occupation du sol par télédétection des Niayes avec Djiddah Thiaroye Kao (à Dakar), Mboro (à Thiès et Saint-Louis)." Thesis, Toulouse 2, 2012. http://www.theses.fr/2012TOU20018/document.

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Les «Niayes», zones humides côtières du Sénégal constituent des écosystèmes fragiles, richesen biodiversité tout en étant traditionnellement des zones de maraîchage dans unenvironnement sahélien. La grande sécheresse des années 1970 qui a frappé l’ensemble despays du Sahel, s’est répercutée sur les Niayes par un afflux de populations rurales venant del’intérieur du pays pour y trouver des moyens de subsistance. Outre la sécheresse, cettemigration massive a considérablement augmenté la pression foncière et engendré à la fois uneurbanisation mal maîtrisée, notamment autour des grandes agglomérations, et une mise envaleur agricole; les deux portant atteinte à la valeur environnementale de ces écosystèmescôtiers. Depuis quelques années, on assiste à des hivernages particulièrement pluvieux. Ceretour pluviométrique intervenant dans des zones urbanisées de façon anarchique provoquedes inondations accompagnées de conditions sanitaires précaires pour les populations les plusdéfavorisées. A la variabilité pluviométrique, risque d’apparence naturel, s’joutent desfacteurs de risques anthropiques comme l’aménagement du territoire non maîtrisé, le nonrespectdu cadre réglementaire, diverses pollutions d’origine agricole et industrielle.Cette thèse, après avoir introduit la notion de zone humide et avoir présenté les Niayes de laGrande Côte en général et des trois zones d’étude focus (Pikine, banlieue de Dakar ; Mboro,région de Thiès; Saint-Louis), retrace leurs problèmes environnementaux et les différentespolitiques d’environnement. L’évolution de l’occupation du sol des Niayes est étudiée parrecours à l’imagerie satellitale pour la période 1986-2010 pour la confronter à la gestion deces écosystèmes sensibles et s’interroger sur la pertinence des politiques mises en place dansun esprit de développement durable
The “Niayes”, coastal wetlands of Senegal, constitute fragile ecosystems that are rich inbiodiversity while traditionally being gardening areas in the “Sahelien” environment. The bigdrought of the 1970s that struck all the Sahel countries also affected the “Niayes” by an influxof rural populations coming from inside the country in search of livelihood. Besides theextreme drought, mass migration considerably increased the proprietary pressure and at thesame time generated an uncontrolled urbanization, especially around the big agglomerationsand agricultural development: both of them undermine the environmental value of thesecoastal ecosystems. In recent years, we have witnessed particularly rainy seasons. This returneof rainfall involved in urbanized areas causes flooding, accompanied by precarious sanitaryconditions for the most unprivileged populations. The rainfall variability, risk of naturalappearance, is added to anthropogenic risk factors such as the non-mastered regionalplanning, the failure of the regulatory framework, and the pollution from various agriculturaland industrial sources.This thesis, after having introduced the concept of wet zones and having presented the Niayesof the Great Coast in general, and of the three study areas (Pikine, outskirts of Dakar; Mboro,Thies region; and Saint-Louis) in particular, traces their environmental problems and variouspolitical differences. Land use of the Niayes is analysed by using remote sensing data for theperiod 1986-2010 to confront its evolution to the management of the sensible ecosystems andquestion the relevance of the implemented politics in the spirit of sustainable development

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Djiba, Aliou [Verfasser], and Ulrich [Akademischer Betreuer] Bismayer. "Porphyrische Cu-Mo-Au-Re und epithermale Au-Ag-Te Vererzungen der Insel Limnos, nordöstliche Ägäis, Griechenland : Mineralogie-Mineralchemie der hydrothermalen Alterationen und damit verbundene Vererzungen / Aliou Djiba ; Betreuer: Ulrich Bismayer." Hamburg : Staats- und Universitätsbibliothek Hamburg, 2019. http://d-nb.info/1196296103/34.

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Knutsson, William, and David Ekeroth. "Black Swan Investments : How to manage your investments when the market is in distress." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-97709.

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This study examines how investors can take advantage of Black Swan events by applying an investment strategy that involves investing in stocks that have performed badly during Black Swan events. The stocks are chosen from and compared to the Dow Jones Industrial Average Index. The purpose is to find out if the investment strategy has had a higher return than the benchmark index DJIA. The results show that the investment strategy outperforms the DJIA by 111% between the years 2000 to 2020, however, the results show no statistical significance. Beta is used as risk measurement to explain the correlation between the portfolios and the benchmark index by calculating CAPM. Standard deviation is used to calculate the Sharpe ratio and thereby assess a risk-adjusted result.

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Novák, Pavel. "Vliv finančních krizí na vývoj vybraných burzovních trhů." Master's thesis, Vysoká škola ekonomická v Praze, 2010. http://www.nusl.cz/ntk/nusl-77822.

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The diploma thesis deals with the impacts of financial crises, especially into the U.S. and European stock exchange market and the real economy. Contains the analysis of the Great Depression and the current economic downturn which follows the financial crisis of 2007 - 2008 from the perspective of the New York Stock Exchange index (DJIA) and the FTSE index of London Stock Exchange, as well as from the perspective of macroeconomic variables such as real GDP growth, the rate of unemployment and the industrial production index. The similarities and the specific features of the causes of their formation, the reactions of the monetary and legislative authorities, the impact on the stock exchange markets, regulatory implications and impact on the real economy are mentioned as a result of the detailed comparison of the two crises. The thesis includes prove to the hypothesis of higher volatility on the stock exchange markets during the crises periods on the daily data by calculating the variance and standard deviation.

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Fabbri, Mirco. "Predizione di valori azionari tramite reti neurali con memoria." Master's thesis, Alma Mater Studiorum - Università di Bologna, 2018. http://amslaurea.unibo.it/15579/.

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Il lavoro verte sullo studio di alcune metodologie supervisionate finalizzate alla previsione dell'andamento finanziario. In particolar modo sono stati analizzati alcuni metodi considerati lo stato dell'arte e confrontati con modelli neurali sviluppati appositamente. Viene inoltre descritto come le informazioni acquisite tramite social media (twitter) possano influenzare l'andamento finanziare e possano quindi essere usate per fini previsionali.

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Helmersson, Tobias, Hana Kang, and Robin Sköld. "Gold During Recessions : A study about how gold can improve the performance of a portfolio during recessions." Thesis, Jönköping University, JIBS, Accounting and Finance, 2008. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-7746.

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Problem

When choosing topic for this study the economy was on the brink of a recession. Many experts made varying statements regarding this fact, and further readings in this area led us to question: can an in- clusion of gold enhance the performance in an index portfolio dur- ing recessions? And if so, how much should be allocated to gold?

Purpose

The purpose of this thesis is to look back at the historical price de- velopment of gold and DJIA during recessions in order to find out whether an inclusion of gold can improve a DJIA index portfolio held in today’s recession. In addition, by analyzing the risks and pos- sibilities with gold, the optimal allocation of gold in a DJIA portfolio will be investigated in.

Method

The methodological approach will be of a quantitative data analysis approach. By using historical data, new empirical findings will be found by using the deductive approach. This method has been cho- sen due to the nature of the purpose and in order to best give a gen- eral answer to our research questions.

Conclusion

The gold price is strongly influenced by uncertainty, and even though an optimal allocation of gold in each recession could be found, no general optimal allocation applicable in today’s recession could be found. Gold has higher risk (higher variance) than DJIA, but is compensated with higher return as well.

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Tandan, Isabelle. "PÅVERKAR DONALD J. TRUMPS TWEETS ANGÅENDE HANDELSKRIGET MELLAN USA OCH KINA DJIA? : En kvantitativ studie om Donald J. Trumps tweets angående handelskriget mellan USA och Kina påverkar Dow Jones Industrial Average." Thesis, Uppsala universitet, Nationalekonomiska institutionen, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-388794.

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Etableringen av sociala medier har skapat ett nytt medielandskap där beslutsfattare och politiker kan kommunicera direkt med allmänheten. Donald J. Trump är en politiker som valt att kom- municera med sin publik via twitter. Han misstror traditionell medias förmåga att objektivt återge hans utsagor och underminerar journalistiken genom att använda begrepp som ’fake news’. Att en amerikansk presidenten twittrar är inget nytt fenomen men frekvensen och reto- riken i Donald J. Trumps tweets är något nytt. Dessa nya medievanor kan få konsekvenser inom flera sektorer inte minst på finansmarknaden. Vilken påverkan hans twittrande har på aktiemarknaden är frågan som behandlas i denna uppsats. Uppsatsens syfte är således att studera om Donald J. Trumps tweets påverkar Dow Jones In- dustrial Average (DJIA). Studien avgränsas till handelskriget mellan USA och Kina. Vidare avgränsas studien till en tidsperiod om ett år, från februari 2018 till februari 2019. Uppsatsen studerar enbart USA:s president Donald J. Trumps tweets. Studien genomförs genom event study som jämför normal returns innan händelsen (tweet) med den abnormal returns efter. Tweetsen är utvalda baserat på ett antal nyckelord som testas inom varaktighetsfönster på 5, 10, 15 och 20 minuter, vilket ger uttryck för hur länge effekten varar. Resultatet visar att 8 av 12 tweets har en statistisk signifikant påverkan på DJIA på antingen 1%, 5% eller 10% signifikansnivå. Studien tyder således att presidentens twittrande påverkar DJIA. Slutsatsen av studien är att Donald J. Trumps tweets utgör information som påverkar värde- ringen på aktiemarknaden (DJIA) och dess avkastning. Därför kan konstateras att sociala me- dier, såsom Twitter, är informationskällor som är högst väsentliga att följa för aktörer på finansmarknaden. Vidare får resultatet implikationer för rådande lagstiftning och regleringar, något som redan diskuteras i USA. Studier på området har varit svåra att finna varför vidare forsk- ning på området vore önskvärt.

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Polívka, Ondřej. "Dopad fundamentálních zpráv na vybrané akciové indexy." Master's thesis, Vysoká škola ekonomická v Praze, 2015. http://www.nusl.cz/ntk/nusl-264151.

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This thesis investigates the impact of the fundamental news announcements on the movements of the stock indexes SAX, SaP500 and DJIA. The theoretical part of the thesis describe the basic structure and properties of these indexes. There are also presented theoretical and empirically validated relationships between different fundamental news and the indexes. These relationships are described based on the theory of efficient markets, technical, fundamental and psychological analysis. The practical part of the thesis analyze the impact of fundamental news (5 types - index SAX and 6 types- SaP500 and DJIA) 2005-2015. There is analyzed the impact of news announcements on the day of the notice and the day after the announcement. The result is there exist significant relationship between "surprise" value of inflation and interest rates news and indexes SaP500 and DJIA.

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Houeto, Sohoueto Etienne. "ITINERAIRE THERAPEUTIQUE DES EPILEPTIQUES DANS L'ARRONDISSEMENT DE DJIDJA (DEPARTEMENT DU ZOU) AU BENIN." Phd thesis, 2005. http://tel.archives-ouvertes.fr/tel-00381562.

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L'épilepsie est une affection chronique, universelle mais sûrement inégalitaire d'étiologie et de pronostics variés. Cette affection est encore chargée de mythes dans la majeure partie de la population. L'accessibilité aux antiépileptiques n'est pas facile et une forte proportion de ces épileptiques se retrouve sans traitement.
Une enquête transversale à visée descriptive s'est déroulée du 10 Janvier au 11 février 2005 dans le but d'identifier l'itinéraire thérapeutique des épileptiques dans l'arrondissement de DJIDJA, département du ZOU.
Il ressort de cette que :
• Dès la première crise, 76,3% des malades avaient recours aux soins
• 55,3% des patients avaient recours aux tradipracticiens pour la consultation initiale
• Le traitement traditionnel était fait de potions à prendre tout le temps mais aussi d'interdits alimentaire et de désenvoûtement selon le cas.
• Le phénobarbital était le seul antiépileptique disponible dans la zone d'étude ; il coûtait 5 FCFA le comprimé de 50mg.
• Le faible niveau socio-économique des épileptiques dont 59,3% étaient agriculteurs et 22,2% inactifs, constituait un facteur limitant l'accessibilité aux soins antiépileptiques.
Ces résultats suggèrent que l'épilepsie est de plus en plus considérée comme une maladie naturelle pourtant ce sont les tradipracticiens qui sont les plus consultés. Le traitement médical est ainsi relégué au second plan. Il est urgent de renforcer la sensibilisation de la population et de promouvoir l'usage des médicaments antiépileptiques. Ceci afin d'améliorer la prise en charge des malades dans nos villages.

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[Verfasser], Gemechis Dilba Djira. "Simultaneous inference for ratios of location parameters / von Gemechis Dilba Djira." 2005. http://d-nb.info/977243117/34.

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Ong, Li Kee. "Correlation between American mortality and DJIA index price." 2016. http://hdl.handle.net/1993/31746.

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For an equity-linked insurance, the death benefit is linked to the performance of the company’s investment portfolio. Hence, both mortality risk and equity return shall be considered for pricing such insurance. Several studies have found some dependence between mortality improvement and economy growth. In this thesis, we showed that American mortality rate and Dow Jones Industrial Average (DJIA) index price are negatively dependent by using several copulas to define the joint distribution. Then, we used these copulas to forecast mortality rates and index prices, and calculated the payoffs of a 10-year term equity-linked insurance. We showed that the predicted insurance payoffs will be smaller if dependence between mortality and index price is taken into account.
October 2016

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Xu, Shao-Qi, and 徐少騏. "Stock Market Prediction of DJIA: Using Stochastic Gradient Descent Optimization Technique." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/r38euw.

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碩士
國立彰化師範大學
工業教育與技術學系
107
Abstract The purpose of this study is to establish a DJIA forecasting model. Using Secondary Data: The US Fed FRED data repository, the study sample for a total of 2527 pens, and using SGD to build the optimization model. Many studies had developed various prediction models of stock. The accurate forecasts of the stock market index also mean the high market returns for investors. In this study, we using SGD to build two models: (1) the unadjusted model: Agricultural export prices, VIX index, price of crude oil, energy prices. (2) the adjusted model: price of gold, VIX index, price of crude oil and consumer price index. The analysis found that the US agricultural product export price and the energy price have low adaptability to DJIA, and the gold price and consumer price index can be used to more accurately to predict the DJIA, and acquire R^2 of 96.59 from the adjusted model.

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Wu, Chia-Yi. "The Empirical Study of Intraday and Weekday Effects- Evidence from DJIA and NASDAQ High Frequency Indices." 2006. http://www.cetd.com.tw/ec/thesisdetail.aspx?etdun=U0017-1901200710273733.

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Wu, Chia-Yi, and 巫佳宜. "The Empirical Study of Intraday and Weekday Effects- Evidence from DJIA and NASDAQ High Frequency Indices." Thesis, 2006. http://ndltd.ncl.edu.tw/handle/94798095327146090791.

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碩士
中原大學
國際貿易研究所
94
****This study uses the probability distribution techniques to explore the intraday effect and weekday effect of the 10-minuate high frequency returns for the Dow Jones Industrial Average (DJIA) and NASDAQ composite indices. We find that both DJIA and NASDAQ can form a U-shaped pattern by using absolute intraday returns. However, the U-shape from the DJIA index slightly declines at the closing time, while the U-shape from the NASDAQ index still goes up at the closing time. It implies that most investors of DJIA finish their last trading strategy before ten minutes of the closing. Moreover, the width of the Gaussian distribution in NASDAQ is always wider than in DJIA. This result proves that the trading market in NASDAQ is more risky than in DJIA. Later, as we re-group total intraday returns into the opening, lunch and closing three subgroups, we find that no matter DJIA or NASDAQ index, the lowest center and widest width of the Gaussian distribution occur at the opening trading period. This means that the overnight information is cumulated until next morning, so the opening trading period is the most risky for a whole trading day. Furthermore, it is more likely to cause the sign of intraday returns at one specific trading period to be swamped by the sign of intraday returns at the other specific trading period when we only discuss the weekday effect without considering the intraday effect. If we only consider the weekday effect, the weekend effect seems disappearing. However, if we add the intraday effect and re-classify total intraday returns according to the trading time and the weekday, we will find that the weekend effect still exists, but the occurrence of the weekend effect may be advanced or postponed. Besides, using the Gaussian function to refit the intraday returns, we can find that no matter DJIA or NASDAQ, Thursday has the widest width, while Monday and Tuesday have the narrowest width. Meanwhile, the lunch trading period on Tuesday has the highest height. As a result, we infer that the intraday effect will affect the weekday effect in intraday returns. Similarly, using the log-normal distribution to refit the intraday volatilities, we find that Monday and Tuesday have the lowest average volatility and the lowest peak, while Thursday has the highest average volatility and the highest peak. However, the intraday effect is not significant via observing distributions of intraday volatilities.

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Sun, Erh-Yin, and 孫而音. "Intraday price dynamics of S&P 500, Nasdaq-100 and DJIA indexes across index futures and ETF markets." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/rj3u3y.

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碩士
國立交通大學
財務金融研究所
92
The purpose of this study is to find out if there are definite co-integration and long-term balance relationships existed among S&P500, DJIA, and Nasdaq100 indexes in stocks and index futures (E-mini and ETF) markets. If there were a long-term co-integration relationship existed and bias happened; then, could a long-term balance still be reached through short-term adjustments? The study tries to find which of those 3 indexes leads the market; and if there were impacts in the States’ stock market, would interactions among those indexes be influenced, and how? Furthermore, the study will also exam the price-propheting functions of those indexes after bubble high-tech and stock prices fluctuations are experienced.

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蔡錦昌. "The Study on Return and Volatility Spillover Effect among Taiwan Stock Exchange Capitalization Weighted Stock Index (TAIEX)、Dow Jones Industrial Average Index(DJIA) and SSE A Share Index (SSEAI)." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/75814427338198929594.

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碩士
佛光大學
管理學系
99
This study investigates the nature of volatility spillovers among TAIEX DJIA and SSEAI. In order to analyze the relationship of these three stock markets, we used daily data total have 935 for the period 2.August 2006 to 3.September 2010. Before the analysis, we need to use some kinds of test to examine these time series data to conform with normal, stationary, ARCH, white noise and co-integration. The purpose of the test is to avoid these time series appear spurious regression. Then adopted Bi-EGARCH model, by including a cointegrating residual as an explanatory variable for both the conditional mean and the conditional variance The objective of this study is to provide an empirical analysis included (1)Linkage between the volatility of stock return rate and the spillover effect for three of the stock marketsin this study.(2)To find three of the stocksmarkets of their leader-lag relationship.(3)To test the cross-maeket spillover effect,leverage effect and persistence of volatility of these three market return rate.(4)Testing and discussing if these three markets exist co-integration relationship. This study uses mix likelihood function value to estimate their parameters; the results are as follows: (1) the three independent stock markets, TAIEX、DJIA and SSEAI, are not siginificantly affect by the volatility of each stock market. (2)From degree of stock market correlation, TAIEX and SSEAI are the closest, followed by TAIEX and DJIA, and DJIA and SSEAI been least correlated. (3)The two stock markets,TAIEX and DJIA, are significantly effected by the standardized residual from earlier stage on its contemporary volatility. The stock market return of SSEAI is not significantly effect by its own leverage effect. Thus, the standardized residual from earlier stages does not pose significant effect on the contemporary volatility. (4)The cross-maeket spillover effect study indicates that inter-effect of all stock markets are not significant, that is, one stock market does not get effected by the other two stock markets with their advanced (good news) or retract (bad news). (5)The volatility of these three stock markets and their upward trend are all vulnerable to suffer sign effect and thus become more gradual.(6) Due to cross-market volatility effects, TAIEX and DJIA have the price lead effect on each other, specifically, TAIEX has the price lead effect on SSEAI, but SSEAI does not have the likewise effect on TAIEX. Moreover, DJIA has the price lead effect on SSEAI, on the contrary, SSEAI does not have price lead effect on DJIA (7) In relatively asymmetrical effective aspect, TAIEX/DJIA,TAIEX/SSEAI market suffers greatly from retract influence but is less effect by advance influence. DJIA poses positive influences on SSEAI through advance, on the contrary, advance has negative impract on the DJIA. (8)Three of the stock markets in this study show short term spillover effect, but in the long term co-intergration exists. Volatile influences in early stages have effect on later stages on average after 21 days.

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Dissertations / Theses on the topic 'Djidja'

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