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1
Murray, Eric B. "Dry Stacked Surface Bonded Masonry - Structural Testing and Evaluation." Diss., CLICK HERE for online access, 2007. http://contentdm.lib.byu.edu/ETD/image/etd2188.pdf.
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Eixenberger, Joseph G. "Seismic Analysis of and Provisions for Dry-Stack Concrete Masonry Wall Systems with Surface Bond in Low-Rise Buildings." BYU ScholarsArchive, 2017. https://scholarsarchive.byu.edu/etd/6547.
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Masonry is one of the oldest forms of construction materials that is still in use today. However, construction practices in the modern age demand faster and more economical practices. Dry-stack masonry, or masonry that doesn't use mortar to bind the blocks together, is a unique system to make masonry more economical. Though several systems of dry-stack masonry have been suggested little to no data exists as most of these systems are patented. This research used dry-stacked normal weight concrete masonry units with an eccentrically placed reinforcement. The wall system is connected through a surface bond and lacks any geometric connection. Previously, research has been conducted on the wall system for its axial compressive capacity, but little information is known about its ability to withstand lateral forces such as earthquakes. Research was conducted on the wall system in order to determine the seismic parameters, including the force reduction factor, overstrength factor, and the displacement amplification factor. To determine these factors the guidelines from the Federal Emergency Management Agency (FEMA) Quantification of Building Seismic Performance Factors 2009 were followed. The guidelines are explicit that both experimental data and computer modeling are needed to quantify these parameters. Experimental data was obtained from a diagonal tension test, and an in-plane shear test. The diagonal tensions test provided preliminary values on the shear modulus and shear resistance. The in-plane shear test was of primary interest and what would be used to verify the computer model. Computer modeling of the wall system was accomplished with Vector 2. Initially the computer modeling was done to reproduce experimental data. Then, a parametric study was performed using the model to see what component of the wall most effected its capacity. This analysis showed that the surface bond was the component of the wall that most affects its capacity. Finally, the computer model was run through the FEMA Far-Field earthquake suite to gather data on the strength and ductility. Values of the force reduction factor, overstrength factor, and displacement amplification factor were determined based on the time history analysis and pushover analysis on the computer model.
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Herskedal, Nicholas Anthony. "Investigation of Out-of-Plane Properties of Interlocking Compressed Earth Block Walls." DigitalCommons@CalPoly, 2012. https://digitalcommons.calpoly.edu/theses/916.
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Interlocking compressed earth blocks (ICEBs) are cement stabilized soil blocks that allow for dry stacked construction. The incomplete understanding of the inelastic performance of ICEB building systems limits widespread acceptance of this structural system in earthquake prone areas. This thesis presents results from an experimental program designed to explore the behavior of ICEB walls, built according to current design practice in Indonesia and Thailand, and subjected to out-of-plane loading. A total of five reinforced and grouted ICEB walls were constructed and tested.
Results from experimentation show the current masonry design code, ACI 530, adequately predicts the yield strength of these walls. However, ACI 530 grossly over-predicts the ICEB wall stiffness. All tests showed flexural behavior and failure, except for one wall. A brittle failure was observed in one wall before reaching the predicted flexural strength, prompting a suggested maximum shear tie spacing. The testing results provide useful data for developing analytical models that predicts the seismic behavior of ICEB walls under out-of-plane loading.
A moment-curvature relationship was developed that accurately predicts the behavior of these walls in the elastic range as well as the inelastic range. By comparing the data provided by two walls of similar sizes, one including a pilaster and one without a pilaster, insight into stiffener elements was gained. Analysis of these two walls provides a limit on the length and height of ICEB walls without stiffener elements to prevent significant structural damage during a seismic event. In all, conclusions based on experimental data from ICEB out-of-plane loading tests are aimed to provide suggestions for ICEB construction in areas of high-seismicity.
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Bland, David William. "In-Plane Cyclic Shear Performance of Interlocking Compressed Earth Block Walls." DigitalCommons@CalPoly, 2011. https://digitalcommons.calpoly.edu/theses/495.
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This thesis presents results from testing of interlocking compressed earth block (CEB) masonry shear walls. CEBs are low strength earth masonry units sometimes stabilized with cement or lime. The interlocking compressed earth blocks (ICEBs) used in this experiment are dry stacked interlocking hollow units, which can be reinforced and grouted after they are laid. Although significant research has been undertaken to optimize the material properties of CEBs, little has been done to investigate the performance of structural systems currently being built using this technology.
Test results are reported for three 1800 mm x 1800 mm wall specimens constructed with cement stabilized ICEBs and subjected to cyclic in-plane lateral loading. Wall specifications were varied to identify the shear performance of partial and fully grouted walls, and to observe the performance of a flexure dominated wall panel. It was determined that the shear strength of fully grouted walls is significantly higher than that of partially grouted walls and calculation of capacity based on current ACI 530-08 masonry provisions significantly overestimates the shear strength of ICEB wall panels. Based on the observed performance, recommendations are made for limiting the calculated nominal shear strength in design. Results also indicate that calculations based on simple bending theory conservatively predict the flexural strength of a fully grouted ICEB wall. Discussion of ICEB material properties and recommendations for design and construction procedures are included.
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Ambers, Steven Ellis. "In-Plane Shear Wall Performance as Affected by Compressed Earth Block Shape." DigitalCommons@CalPoly, 2017. https://digitalcommons.calpoly.edu/theses/1705.
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This thesis investigates the in-plane shear performance of full-scale walls made from compressed earth blocks. Compressed earth blocks are a type of masonry where the blocks are composed of compressed soil and typically dry-stacked without mortar. Prior research has demonstrated that the in-plane shear strength of these blocks falls far short of capacities predicted by conventional masonry building codes, requiring new testing to develop effective and safe designs for seismic conditions. This thesis specifically studies the effects of block type and the use of grouted shear keys at the block head joints.
Three full-scale walls were constructed and tested under in-plane, cyclic loading. To compare the effect of block type on shear strength, one wall was constructed from Rhino blocks as used by the Center for Vocational Building Technology, while another used V-Lock blocks designed by the Vermeer Corporation. Apart from differences in size and interlock mechanism, the standard Rhino blocks have shear keys at the head joints which are not present on the V-Lock blocks. To examine the effect of these shear keys, a third wall was built from Rhino blocks with the shear keys removed.
The two standard block types displayed no major difference in strength that could not be attributed to grouted area or the presence/absence of the head joint shear keys. The Rhino block wall with shear keys reached a higher peak load relative to the grouted area but experienced a brittle drop in capacity after peaking, while the other two walls exhibited an extended loading plateau after the initial peak. All walls failed with cracking and block sliding along the main diagonals, a failure mode similar to conventional masonry. Proposals are made for modifying the equations for shear capacity from the Masonry Standards Joint Committee (MSJC) 2013 code for use in designing compressed earth block shear walls.
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Forth, Stephen. "Advocating Silence." Thesis, Virginia Tech, 2013. http://hdl.handle.net/10919/52638.
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The buildings people inhabit everyday frame their existence and provide a backdrop for life.
This relationship is inextricable and, as such, begs the question as to whether buildings can
function as more than mere containers for life or whether they, at some point or in some
capacity, can begin to bare influence over the life or quality of life of their patrons. This
project is an intention to explore this qualitative, unquantifiable aspect of building.
Through a manipulation of volume and mass, constriction and expansion, solid and void,
light and shadow, and the qualities of interiority and exteriority an occupied space will
begin to impress itself upon the user. The main objective of this project is to use these
architectural properties to create a place that fosters introspection through self awareness.
By choosing presence over practicality and content over convention, the construct
proposed in this thesis attempts to create spaces that are imposing and unfamiliar
yet somehow emotionally reminiscent. Confronted by these contradictions and juxtapositions,
this building will stand as an object, in opposition to the occupant, and through
that opposition inspire and promote a greater awareness of, and possibly a reflection
upon, normally unconscious thought processes.Master of Architecture
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Dodson, Alan Michael. "Horizontal Forest: A Retreat on the AT." Thesis, Virginia Tech, 2001. http://hdl.handle.net/10919/35328.
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This is a project about reconciling the rational world of architecture with the empirical world of nature. A small retreat on the Appalachian Trail near Dragon's Tooth, this project employs two elements belonging to each of those entities. The retreat is composed of a double envelope. The exterior envelope is a wooden screen and dry stacked stone wall relating to the natural world. In contrast, the second envelope is a glass and steel box, analogous to the rationality of man. Dimensional 2x4 lumber models are employed to study the light conditions, patterns, and construction of the wooden screen.Master of Architecture
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Islam, Md Amirul, Biplob Chowdhury, and Md Amirul Islam. "The behavior of stock price on ex-dividend day : A study on New York Stock Exchange and London Stock Exchange." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-44996.
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The main aim of this thesis is to analyze the behavior of stock price on ex-dividend day in London Stock Exchange and New York Stock Exchange and draw a conclusion about the market efficiency based. We collect 200 sample companies dividend, ex-dividend day and cum dividend day stock price to compare with NYSE composite index and FTSE 100 for London Stock Exchange. To answer the research question and specific purpose of our thesis we developed five null hypothesis based on raw price ratio (RPR), market-adjusted price ratio (MAPR), raw price drop ratio (RPD), market-adjusted price drop ratio (MAPD) and market-adjusted abnormal return (MAAR). We used t-statistic to find the mean differences between observed values and standard values. We also show multiple regression analysis to show the relationship between ex-dividend day stock price and dividend, cum-dividend day stock price. This thesis documented that same amount of stock price drop in 2008 New York Stock Exchange compare with dividend amount. In this case our null hypothesis accepted. On the other hand in London Stock Exchange shows higher drop of stock price than dividend amount in 2008 against the taxation rate rules of prior study. In 2007 both stock market shows the less drop of stock price than dividend amount. Therefore our null hypothesis rejected. We also documented that London Stock Exchange more volatile than New York Stock Exchange to consider the MAAR, tax rate and standard deviation. So we find significant evidence of market abnormal return which create an opportunity of market inefficiency and arbitrage opportunity for investors. So, our thesis output shows mixed evidence for London Stock Exchange and New York Stock Exchange.
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Anagho, Zillah, and Kenneth Tah. "THE EX-DIVIDEND DAY STOCK PRICE BEHAVIOR : FTSE 100 of the London Stock Exchange." Thesis, Umeå University, Umeå School of Business, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-1229.
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In this thesis, we have analyzed the ex-dividend stock price behavior in the London Stock Exchange to see if the stock prices really drop by the same amount as the dividend on the ex-dividend day. Our sample data covers 80 FTSE100 companies of the London stock exchange for the period 2001 to 2006.
To answer the research question: Do returns on the London Stock Exchange act in accordance with the efficient market hypothesis on the ex-dividend day? We used a deductive approach and test four hypothesis. The study was carried out by comparing the actual value of the raw price ratio, market adjusted price ratio, raw price drop and market adjusted price drop to their theoretical values. The difference was tested for significance using the one sample t-test.
The results showed that there are significant differences in the observed figures from their theoretical or expected values. The observed raw price ratio is higher than the expected value of 1, implying that the stock price on the ex-dividend day drops by an amount that is lower than the dividend paid. Similarly, the market adjusted raw price ratio is also higher than the expected value of 1. The raw price drop and market adjusted price drop are lower than the dividend yield, indicating again that the stock price drops by an amount that is lower than the dividend paid.
Our results indicated that the null hypotheses stated are rejected since the drop in the stock prices is not equal to the amount of the dividend on the ex-dividend day.
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Su, Xun, and Mei Ting Cheung. "Day-of-the-week eects in stock market data." Thesis, KTH, Matematisk statistik, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-103863.
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The purpose of this thesis is to investigate day-of-the-week effects for stock index returns. The investigations include analysis of means and variances as well as return-distribution properties such as skewness and tail behavior. Moreover, the existences of conditional day-of-the-week effects, depending on the outcome of returns from the previous week, are analyzed. Particular emphasis is put on determining useful testing procedures for differences in variance in return data from different weekdays. Two time series models, AR and GARCH(1,1), are used to find out if any weekday's mean return is different from other days. The investigations are repeated for two-day re- turns and for returns of diversified portfolios made up of several stock index returns.
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Di, Bartolomeo Mariano, and Bartolomeo Mariano Di. "Wave generation and propagation at tribological interfaces." Phd thesis, INSA de Lyon, 2011. http://tel.archives-ouvertes.fr/tel-00715732.
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This thesis is addressed to the understanding of the mechanisms at the origin of the contact wave fields at frictional interfaces and its relationship with the local characteristics of the surfaces in contact, as well as with the global dynamics and macroscopic frictional behaviour of the system. The aim of this work is to provide insights on the generation and propagation of the waves through the contact both to avoid instabilities and to control their effect on friction. The work is organized in two main parts. The first part presents the development of a non-linear finite element analysis in large transformations of the dynamic rupture at the interface with contact friction separating two bodies (isotropic and elastic) without relative motion. A rupture is considered when an initially sticking zone shifts in sliding state. The properties of the obtained ruptures are analyzed for a flat interface between dissimilar materials in function of the nucleation energy; then the effect of the interface roughness is analyzed. The differentiated rupture inside the asperities and the conditions for coupling and uncoupling between the waves radiating in the two bodies have been also investigated. In the second part, the analysis deals with the sliding onset between two bodies in contact. The sliding between two bodies made of different isotropic elastic materials and separated by a frictional interface is simulated. The evolution along the time of the global normal and tangential forces is analyzed, relating it to the local phenomena occurring at the interface. This part tries to investigate how micro-slips at the interface, acting as distributed ruptures, trigger the macro-slips between the two bodies. The interaction between local and global dynamics is also studied. Finally a numerical parameter space study is carried out, as a function of several system parameters (contact law, friction coefficient, material damping, normal load, translational velocity and regularization time). The results show the key role of the micro-slips and precursors (detectable wave propagations that occur at tangential global force well below the critical value expected by the friction law) in triggering the macro-slip between the two bodies. Depending on their distribution and magnitude the evolution of the contact forces passes from stick-slip-like behaviour to continuous sliding. The local dynamics at the contact (wave and rupture propagation) is linked to the global behaviour of the system (stick-slip, continuous sliding, induced vibrations); the effect of the contact and system parameters on the transfer of vibrational energy between the sliding contact and the system is investigated. The numerical results obtained by the two parts of the work show a good agreement with experimental results in literature.
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Legha, Wassim. "Contribution à l'élucidation de la fonction de la protéine STAC2 dans la spécification des neurones somatiques sensoriels." Thesis, Aix-Marseille 2, 2010. http://www.theses.fr/2010AIX22031/document.
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Le système nerveux sensoriel somatique détecte et transmet les informations sensorielles périphériques par les neurones sensoriels dont le corps cellulaire est englobé dans les ganglions de la racine dorsale et les ganglions trijumeaux. Bien que cette hétérogénéité fonctionnelle a été mise en évidence, les mécanismes moléculaires qui la caractérisent sont moins connus. Dans l’optique de contribuer à la caractérisation moléculaire de la population neuronale du DRG, nous avons identifié un nouveau gène, stac2. Nous avons pu montrer que stac2 spécifie une sous population neuronale distincte dans le DRG. L’invalidation génétique de stac2 chez la souris n’a révélé aucun effet sur la survie ni sur la maturation neuronale. L’analyse comportementale des souris dépourvues de stac2 a montré un rôle important de stac2 dans la perception et la discrimination des températures fraîches ainsi que dans la sensibilisation périphérique au froid nocifThe somatic sensory nervous system detects and transmits sensory information from peripheral by sensory neurons that have their cell body encompassed in the dorsal root and trigeminal ganglia. Although this functional heterogeneity has been demonstrated, the molecular mechanisms characterizing it are less known. In order to contribute to the molecular characterization of the neuronal population of DRG, we have identified a new gene, stac2. We have shown that stac2 specifies a distinct neuronal subpopulation in the DRG. The genetic invalidation of stac2 in mice showed no effect of stac2 on neuronal survival and maturation. The behavioral analysis of mice lacking stac2 showed an important role of this gene in the perception and discrimination of cold temperatures and in the peripheral sensitization to noxious cold
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Bellamy, David Ewan. "An analysis of ex-dividend day abnormal trading volumes and share price changes in the Australian equity market /." [St. Lucia, Qld. : s.n.], 2002. http://www.library.uq.edu.au/pdfserve.php?image=thesisabs/absthe16648.pdf.
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Mbululu, Douglas. "Day-of-the-week effect : evidence from nine sectors of the South African stock market." Thesis, Rhodes University, 2010. http://hdl.handle.net/10962/d1002759.
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The day-of-the-week effect in share prices is one of the most extensively researched anomalies, especially in developed markets. However, emerging African stock markets have received little attention in this regard. This study breaks new ground in using non-parametric tests directly on skewness and kurtosis to examine whether the day-of-he-week effect exists in nine listed stock market sector indices of the JSE Securities Exchange of South Africa (JSE). Different day-of-the-week effects were found to be present in the statistical moments of returns of these nine JSE sectors
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Zhu, Tao. "Virtual online stock trading system." CSUSB ScholarWorks, 2001. https://scholarworks.lib.csusb.edu/etd-project/1893.
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Stock trading provides a relatively low risk and hassle free channel for people to invest, when compared with other methods. However, it is unfortunate that, for those other people who may be equally interested and financially able in stock trading, they have yet to experience the simplicity of, and the wealth accumulated from stock investments. Reasons for their hesitation to be involved in stock trading vary; but primarily it is due to their lack of experience in trading.
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Lai, Man Kit. "Market transparency and intra day trade behaviour in the London Stock Exchange." Thesis, London Business School (University of London), 1996. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.243805.
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Alrabadi, Dima Waleed Hanna. "Systematic liquidity risk and stock price reaction to large one-day price changes : evidence from London Stock Exchange." Thesis, University of Bradford, 2009. http://hdl.handle.net/10454/4323.
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This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.
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Alrabadi, Dima W. H. "Systematic Liquidity Risk and Stock Price Reaction to Large One-Day Price Changes: Evidence from London Stock Exchange." Thesis, University of Bradford, 2009. http://hdl.handle.net/10454/4323.
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This thesis investigates systematic liquidity risk and short-term stock price reaction to large one-day price changes. We study 642 constituents of the FTSALL share index over the period from 1st July 1992 to 29th June 2007. We show that the US evidence of a priced systematic liquidity risk of Pastor and Stambaugh (2003) and Liu (2006) is not country-specific. Particularly, systematic liquidity risk is priced in the London Stock Exchange when Amihud's (2002) illiquidity ratio is used as a liquidity proxy. Given the importance of systematic liquidity risk in the asset pricing literature, we are interested in testing whether the different levels of systematic liquidity risk across stocks can explain the anomaly following large one-day price changes. Specifically, we expect that the stocks with high sensitivity to the fluctuations in aggregate market liquidity to be more affected by price shocks. We find that most liquid stocks react efficiently to price shocks, while the reactions of the least liquid stocks support the uncertain information hypothesis. However, we show that time-varying risk is more important than systematic liquidity risk in explaining the price reaction of stocks in different liquidity portfolios. Indeed, the time varying risk explains nearly all of the documented overreaction and underreaction following large one-day price changes. Our evidence suggests that the observed anomalies following large one-day price shocks are caused by the pricing errors arising from the use of static asset pricing models. In particular, the conditional asset pricing model of Harris et al. (2007), which allow both risk and return to vary systematically over time, explain most of the observed anomalies. This evidence supports the Brown et al. (1988) findings that both risk and return increase in a systematic fashion following price shocks.Yarmouk University, Jordan.
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Shi, Jia Le. "The ex-dividend day stock price behavior revisited : evidence in Hong Kong." Thesis, University of Macau, 2004. http://umaclib3.umac.mo/record=b1636252.
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Sam, Ieng. "The day-of-the-week effect in the Hong Kong stock market." Thesis, University of Macau, 1996. http://umaclib3.umac.mo/record=b1636764.
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Burnie, David A., and Ridder Adri de. "Far tail or extreme day returns, mutual fund cash flows and investment behaviour." Högskolan på Gotland, Avdelningen för Företagsekonomi, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hgo:diva-370.
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This study examines the frequency of extreme trading days and investment behaviour in Sweden. We show that the frequency, as well as the magnitude of extreme trading days has increased over time. We also show that the frequency of extreme trading days in a year is positively correlated to the frequency the preceding year. Furthermore, we show that aggregate cash flows into equity and bond funds are unrelated to risk measured by standard deviation of return. Our findings show that investors, individuals as well as corporations, use simple passive investment strategies and hence, do not believe in market timing or wish to risk capital on capturing far tail or black swan type returns.
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Langmead, Peter Martin Stuart. "An explanation for abnormal returns from initial public offers and the revelation of information on the first day of trading of new company stocks." Thesis, University of Strathclyde, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311298.
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Skaradzinski, Debra Ann. "The Nonlinear Behavior of Stock Prices: The Impact of Firm Size, Seasonality, and Trading Frequency." Diss., Virginia Tech, 2003. http://hdl.handle.net/10919/11079.
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Statistically significant prediction of stock price changes requires security returns' correlation with, or dependence upon, some variable(s) across time. Since a security's past return is commonly employed in forecasting, and because the lack of lower-order correlation does not guarantee higher-order independence, nonlinear testing that focuses on higher-order moments of stock return distributions may reveal exploitable stock return dependencies.
This dissertation fits AR models to TAQ data sampled at ten-minute intervals for 20 small-capitalization, 20 mid-capitalization, and 20 large-capitalization NYSE securities, for the years 1993, 1995, 1997, 1999 and 2001. The Hinich Patterson Bicovariance statistic (to reveal nonlinear and linear autocorrelation) is computed for each of the 1243 trading days for each of the 60 securities. This statistic is examined to see if it is more or less likely to occur in securities with differing market capitalization, at various calendar periods, in conjunction with trading volume, or instances of changing investor sentiment, as evidenced by the put-call ratio.
There is a statistically significant difference in the level and incidence of nonlinear behavior for the different-sized portfolios. Large-cap stocks exhibit the highest level and greatest incidence of nonlinear behavior, followed by mid-cap stocks, and then small-cap stocks. These differences are most pronounced at the beginning of decade and remain significant throughout the decade. For all size portfolios, nonlinear correlation increases throughout the decade, while linear correlation decreases.
Statistical significance between the nonlinear or the linear test statistics and trading volume occur on a year-by-year basis only for small-cap stocks. There is sporadic seasonality significance for all portfolios over the decade, but only the small-cap portfolio consistently exhibits a notable "December effect". The average nonlinear statistic for small-cap stocks is larger in December than for other months of the year. The fourth quarter of the year for small-cap stocks also exhibits significantly higher levels of nonlinearity.
An OLS regression of the put/call ratio to proxy for investor sentiment against the H and C statistic was run from October 1995 through December 2001. There are instances of sporadic correlations among the different portfolios, indicating this relationship is more dynamic than previously imagined.Ph. D.
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Gomes, Igor de Oliveira. "Estratégias para operações de day trade na B3." reponame:Repositório Institucional do FGV, 2018. http://hdl.handle.net/10438/24825.
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Este trabalho se propõe a avaliar algumas estratégias que são utilizadas por pessoas físicas, comumente conhecidas como traders, em operações de day trade na bolsa de valores de São Paulo, atual B3, e avaliar a eficácia destas estratégias. As estratégias utilizadas foram baseadas em modelos operacionais de traders profissionais e iniciantes que atuam no mercado brasileiro diretamente em operações de day trade e utilizam-se destas estratégias para aumento do capital investido ou também como rendimentos mensais. Após as análises das estratégias, foram realizadas comparações com operações de buy and hold para avaliar as condições operacionais com maior lucro. Os resultados destas estratégias mostram diferentes taxas de acerto e payoff, que podem variar de acordo com o estilo operacional de cada trader. Apesar das estratégias apresentarem uma taxa de retorno positiva, todas mostraram-se negativas quando incluímos os custos operacionais envolvidos e também inferiores quando comparadas ao modelo buy and hold.
This paper proposes to evaluate some strategies that are used by individuals, commonly known as traders, in day trades operations on the São Paulo stock exchange, current B3, and to evaluate the effectiveness of these strategies. The strategies used were based on operational models of professional traders and beginners who operate in the Brazilian market directly in day trade operations and use these strategies to increase the capital invested or also as monthly income. After the analysis of the strategies, comparisons were made with buy and hold operations to evaluate the most profitable operating conditions. The results of these strategies show different hit and payoff rates, which may vary according to the operational style of each trader. Although the strategies presented a positive rate of return, all were negative when we included the operational costs involved and also lower when compared to the buy and hold model.
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Ngowi, Joseph Vincent. "Stability of Dry-Stack Masonry." Thesis, 2006. http://hdl.handle.net/10539/1557.
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Student Number : 0100677A -
PhD thesis -
School of Civil and Environmental Engineering -
Faculty of Engineering and the Built EnvironmentThis thesis presents the findings on empirical study of dry-stack masonry. Dry-stack masonry refers to a method of building masonry walls, where most of the masonry units are laid without mortar in the joints. Of late (since mid eighties) in modern construction, dry-stacking or mortarless technology is increasingly becoming popular because of its advantages. The construction industry is acknowledging the need to accelerate the masonry construction process, as the traditional method is labour intensive and hence slower due to the presence of a large number of mortar joints. Early attempts were made to increase the size of masonry units (block instead of brick), thereby reducing the number of mortar joints, wherein the use of bedding mortar imposed constraints on the number of courses to be constructed in a day. Elimination of bedding mortar accelerates construction; thereby reducing cost, variation due to workmanship and generally small pool of skilled labour is required in dry stacking. Dry-stack masonry is a relatively new technology not yet regulated in the code of practice and therefore very limited information on the structural behaviour of the masonry is available. This project is based on the investigation of the HYDRAFORM dry-stack system, which utilises compressed soil-cement interlocking, blocks. The system is now widely used in Africa, Asia and South America. The main objective of the project was to establish through physical testing the capacity of the system to resist lateral load (e.g. wind load), vertical load and dynamic load such as earthquake loading. In the first phase of the project investigations were conducted under static loading where series of full-scale wall panels were constructed in the laboratory and tested under lateral loading, and others were tested under vertical loading to establish the mode of failure and load capacity of the system. Series of control tests were also conducted by testing series of wallettes to establish failure mechanism of the units and to establish the flexural strength of the system. Finally the test results were used for modelling, where load prediction models for the system under vertical loading and under lateral loading were developed. The theoretical load prediction models were tested against the test results and show good agreement. After the load capacity was established the next step in the study was to further improve the system for increased capacity particularly under dynamic loading. The normal Hydraform system was modified by introducing a conduit, which allows introduction of reinforcements. Series of dry-stack seismic systems were constructed and initially tested under static lateral loading to establish the lateral load capacity. The second Phase of the project was to investigate the structural behaviour and performance of the Hydraform system under seismic loading. A shaking table of 20 tonnes payload, (4m x 4m) in plan was designed and fabricated. A full-scale plain dry-stack masonry house was constructed on the shaking table and subjected to seismic base motions. The shaking table test was performed using sine wave signals excitations starting from low to very severe intensity. A conventional masonry test structure of similar parameters was also constructed on the table and tested in a similar manner for comparison. The tests were conducted using a frequency range of 1Hz to 12Hz and the specimens were monitored for peak accelerations and displacements. For both specimens the initial base motion was 0.05g. The study established the mode of failure of the system; the structural weak points of unreinforced dry-stack masonry, the general structural response of the system under seismic condition and the failure load. The plain dry-stack masonry failed at 0.3g and the conventional masonry failed at 0.6g. Finally recommendations for further strengthening of system to improve its lateral capacity were proposed.
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Pave, Rogério Francisco. "Strength evaluation of dry-stack masonry." Thesis, 2008. http://hdl.handle.net/10539/5691.
Full textAbstract:
Accelerated dry-stack masonry construction is seen all over the world in the last two decades.
Intense investigation on structural behaviour of dry-stack masonry is also seen worldwide.
This research work, presents an investigation of the structural behaviour of Hydraform drystack
masonry developed in South Africa. Unit compressive strength, masonry wall
compressive strength and flexural resistance of dry-stack masonry/reinforced concrete beams
were investigated.
Due to the interlocking mechanism nature of Hydraform dry-stack blocks, three different unit
compressive testing methods were investigated. The methods are described as:
- Shoulder test;
- Centre test;
- Cube test.
Tests were carried out under different humidity conditions:
- Dry;
- Wet;
- Normal.
Influence of different cement contents within the block units and moisture contents were
investigated. The study made proposal of Hydraform block unit grads to be used for design.
Compressive strength of dry-stack masonry walls was experimentally investigated. Dry-stack
masonry wall specimens made by different block grades were subjected to in-plane vertical
uniformly distributed load. Test results were used to establish dry-stack masonry
characteristic compressive strength for several block grades.
Flexural strength of dry-stack masonry/reinforced concrete composite beams was
investigated. Series of beams were tested for flexural resistance. Applicability of conventional
reinforced masonry flexural analysis philosophy was established.
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Moreira, Thomas Wilfried Sturm. "Experimental characterization of dry-stack interlocking compressed earth block masonry." Doctoral thesis, 2015. http://hdl.handle.net/1822/36054.
Full textAbstract:
Tese de Doutoramento em Engenharia Civil (área de especialização em EstruturasEarth is still used as a building material to construct houses in Africa. One of the most common techniques is the masonry of sun dried or kiln fired mud bricks with earth mortar. Although this technique is cheap and allows the self-construction, the bricks vary largely in shape, strength and durability. This leads to weak houses which suffer important damage during floods and seismic events. A solution which has been proposed in the last decades is the use of drystack masonry with stabilized interlocking compressed earth blocks (ICEB). These blocks are manufactured by compacting cement stabilized earth in a manual or hydraulic press into a mould and then air cured for 28 days. The resulting blocks present uniform shapes, higher values of strength and durability and lower embodied energy than the traditional bricks. The material properties of ICEBs has been researched extensively, but little has been concluded with respect to the structural behaviour of these masonry dry-stack systems. Motivated by the above reasons, this work focused on the study of ICEBs to be used in dry-stack masonry of one storey houses in regions with moderate seismicity. Malawi was selected as the case study country. The mechanical characterization of the masonry was made by first studying the material properties of the blocks. Parameters such as compression and flexural strength, the Young’s modulus and compressive and tensile fracture energy have been determined through laboratory tests. In a second phase, masonry specimens were tested to determine the compressive strength, shear behaviour of the dry joints and shear behaviour of full scale walls. Finally, to study the behaviour of a real structure under seismic action, a small masonry mock-up of a house was tested on a shaking table. The results of the tests showed that it is possible to produce ICEBs of sandy soils with sufficient strength. The tests of shear walls revealed that the shear strength of this masonry is low, but comparable to that of other earthen walls. The walls also showed high values of ductility and behaviour factor. The shaking table test showed that the mock-up resisted without significant damage peak ground accelerations (PGA) of 0.2 g, which are equivalent to those expected for frequent earthquakes in Malawi. It also showed that moderate damage can be expected for rare earthquakes with PGAs of 0.3 g and that near collapse would occur at almost twice that value. The behaviour factor was of 1.5, which is the maximum permitted by the Eurocode 8 for unreinforced masonry. The knowledge gained in the several phases of this work was used to develop a manual for building ICEB houses.
A terra tem sido usada como material de construção para a edificação de casas em África. Uma das técnicas mais comuns é a alvenaria de tijolos de terra, secos ao sol ou cozidos em forno, com argamassa de terra. Embora esta técnica seja barata e permita a auto-construção, os tijolos variam muito de forma, resistência e durabilidade. Isto leva a casas de fraca qualidade, que sofrem danos importantes em caso de inundação ou evento sísmico. Uma solução que tem sido proposta nas últimas décadas é a alvenaria de blocos de terra compactada com sistema de encaixe (ICEB). Estes blocos são produzidos por compactação de terra estabilizada com cimento numa prensa manual ou hidráulica e são deixados a curar ao ar. Os blocos resultantes apresentam formas uniformes, valores de resistência e durabilidade superiores e energia incorporada mais baixa que os tijolos tradicionais. As propriedades dos ICEBs tem sido investigada intensivamente, mas pouco tem sido concluído em relação à definição do comportamento estrutural destes sistemas de alvenaria de junta seca. Motivado pelas razões acima expostas, este trabalho focou-se no estudo de ICEBs para serem utilizados em alvenaria de junta seca de casas com um andar em regiões de sismicidade moderada. O Malawi foi o país escolhido como caso de estudo. A caracterização mecânica da alvenaria foi conseguida estudando-se primeiro as propriedades materiais dos blocos. Foram determinadas experimentalmente várias propriedades mecânicas, tais como resistência à compressão e flexão, módulo de elasticidade, e energia de fratura em compressão e tração. Numa segunda fase, foram ensaiados provetes de alvenaria para caracterizar-se a resistência à compressão, comportamento ao corte das juntas secas e comportamento de corte de paredes à escala real. Finalmente, um pequeno modelo de uma casa foi ensaiado em mesa sísmica para se estudar o comportamento de uma estrutura real sob ação sísmica. Os resultados dos ensaios mostraram que é possível produzir ICEBs com resistência suficiente, a partir de solos arenosos. Os ensaios das paredes à escala real revelaram que a resistência ao corte da alvenaria é baixa, mas comparável à de outras paredes de terra. As paredes também apresentaram valores elevados da ductilidade e do fator de comportamento. O ensaio de mesa sísmica mostrou que o modelo resistiu sem danos significativos a acelerações pico do solo (PGA) de 0.2 g, que são equivalentes às esperadas em sismos frequentes no Malawi. Também se mostrou que podem ser esperados danos moderados para sismos raros com PGAs de 0.3 g e que o quase colapso só ocorreria para cerca de o dobro deste valor. O fator de comportamento foi de 1.5, que é o máximo permitido pelo Eurocódigo 8 para alvenaria não reforçada. O conhecimento obtido das várias fases deste trabalho foi utilizado para se desenvolver um manual para a construção de casas de ICEBs.
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Themba, Nomathemba. "Control of stack emissions using hydrated lime injections during incineration of healthcare risk waste : a case study of Biomed in Benoni." Diss., 2020. http://hdl.handle.net/10500/26918.
Full textAbstract:
Abstract in EnglishIncineration is still a widely utilised method for treating healthcare risk waste in the Republic of South Africa. As much as incinerators are needed, the fact that they are still a critical source of hazardous toxic air pollutants that are not easy to manage cannot be disregarded. The Ministry of Environmental Affairs has promulgated a new regulation for General and Hazardous Waste Thermal Treatment. This exceedingly stringent air pollution legislation requires that existing incinerators be modified or redesigned to meet the new air quality standards, or face closure in the event that they fail to comply. The regulation contains strict emission requirements for concentrations of stack gases such as CO2, NO2, NOx, HCl, HF, CO, SO2, as well as TOC and PM. To be certain that emissions are within the standard, incineration facilities are instructed to reduce the acid gas emissions and to have permanent on-line monitoring equipment for stack testing of regulated pollutants. Since the promulgation of the new legislation in April 2015, none of the incinerators in South Africa has been able to achieve the new requirements. This study, based on the quantitative approach, was conducted in search of a cost-effective method of controlling acid gas emissions from incinerators without major adjustments to the plants. During the study, 60 kg of sorbacal Ca(OH)2 was injected into a lime feeder every day. A variable speed drive was used to inject Ca(OH)2 into the furnace continuously at a rate of between 2.5 kg/h and 3.5 kg/h. The temperature was maintained between 850°C and 1200°C with the use of four gas burners. Two manual blowers were utilised to ensure a continuous flow of Ca(OH)2 into the reaction chamber and filtration system. Comparative analysis was done to compare gas emission levels before and after the use of hydrated lime. Descriptive statistics were used to compute the mean, frequency and percentages, while Wilcoxon sign rank test established whether hydrated lime was significant in reducing gaseous emissions or not. Wilcoxon sign rank test showed a statistically significant difference (P<0.05) in the reduction of all gaseous emissions using hydrated lime, except particulate matter where there was a significant increase in emissions. This technology was able to achieve high removal efficiency of 97% for HCl, 86% for HF, 83% for NOx, 87% for SO2 and 74% for NO2. The optimum temperature for SO2 and NOx was 1020°C. For HCl it was between 1190°C and 1200°C, and for NO2 it was between 1120°C and 1200°C. The amount of particulate matter increased along with the concentration of the Ca(OH)2 injections. Ca(OH)2 was found to be cost effective in the controlling and capturing of gaseous emissions. It is recommended that combustion requirements, such as heat, oxygen and turbulence, be considered to reduce the amount of gases generated during the incineration of healthcare risk waste. It is also recommended that electrostatic precipitators be used instead of fabric filters to improve the efficiency of capturing the particulate matter.
Environmental Sciences
M.Sc. (Environmental Science)
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Lin, Chi-wei, and 林季緯. "Causality Analysis between Baltic Dry Index and Stock Markets in BRICs." Thesis, 2009. http://ndltd.ncl.edu.tw/handle/67079721484692902350.
Full textAbstract:
碩士國立成功大學
交通管理學系碩博士班
97
The strong emergence of certain developing countries, especially Brazil, Russia, India, and China (BRICs), caused an unprecedented structural change which overshadowed the slower growth of the developed countries at the beginning of 21st century. Brazil and Russia are dominant as suppliers of raw materials; respectively, China and India are the world's dominant suppliers of manufactured goods and services. Thus transportation sector must grow accordingly in order to accommodate the transport of additional goods and raw materials. This phenomenon has boomed the bulk shipping industry. However, the United States still dominate world stock markets whether it was suffered by the financial crises or not. Hence, this study explores the dynamic causality linkages between Baltic Dry Index and stock markets by applying the daily data from Baltic Dry Index and the stock indices from BRICs and the United States for the period from January 2nd 2003 to June 30th 2008. This study adopts time series methodology included Unit root test, Co-integration test, Vector error correction model (VECM), Vector auto-regression model (VAR), and Granger Causality test to conduct the data. The empirical results show that all the time series data are non-stationary in levels and stationary in first differences. In addition, the finding demonstrates there exit no co-integration among Baltic Dry Index and the stock markets of the United States and BRICs. However, evidence of Granger causality indicates the fluctuation of the stock markets of China is the main factor to impact the Baltic Dry Index.
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Chen, Hsiu-yen, and 陳秀燕. "Ex-dividend day stock behavior." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/83544546605351999894.
Full textAbstract:
碩士國立中山大學
企業管理學系研究所
93
This study is to examine the phenomenon of stock prices drop around the ex-dividend day in Taiwan. Investors purchasing the security before the ex-dividend date will receive the current dividend, whereas investors purchasing the security on or after this date will not receive the dividend. Consequently, the stock price should fall on the ex-dividend date. In a perfect market, the stock price is expected to fall by the amount of the dividend. I show that share prices do not fall by the full amount of dividend, on average. I focus on falling ratio of stock prices, along with stock return. I also study the factors which may influence stock price behavior and find that the drop of stock price is smaller than the amount of the dividend. That is, the stock price tends to rise on the ex-dividend day. The price drop ratio on the ex-dividend day is higher for firms with greater financial leverage, higher dividend pay out ratio and higher dividend yield. Finally, I also observe that stock return and trading volume increase around the ex-dividend day.
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I-lin, Tung, and 董以琳. "The Performance of Buying Stock At Volume Increase After Volume Dry-Up." Thesis, 2018. http://ndltd.ncl.edu.tw/handle/yc42hs.
Full textAbstract:
碩士國立高雄應用科技大學
金融系金融資訊碩士在職專班
106
This study investigates whether or not stocks should be bought into the market when the yield of stocks arises. In conjunction with the three conditions set out for the stocks, the company strictly enforces the stop loss, summarizes and finds investment methods, and empirically tests the listed stocks in Taiwan from 2008 to 2017. Short-term, long-term, informal holding methods to find the best mode of profit. The empirical results show that regardless of whether the stock market is large or bearish, the stocks selected when the amount of chopsticks are used are judged at the entry and exit points with the indicators such as volume, 5-day moving average, 10-day moving average, 20-day moving average, and 60-day moving average. At the close of the observation, the profitability performance was significantly better than that of the circulation weighted stock price remuneration index. Regardless of the impact of the major overseas bad news such as Brexit, Trump elected, global stock losses, etc., the stock selection strategy after the emergence of the amount of stocks to invest in Taiwanese stocks, and strict compliance with the appearance discipline, is indeed an investment model for steady profitability. You can try to stop the suspension of the addition, or add other indicators to comprehensive judgments to increase the rate of return and increase the winning percentage.
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YUN, HUANG YU, and 黃郁芸. "Day Trade, Order Imbalance and Stock Return." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/02109414427269802783.
Full textAbstract:
碩士明新科技大學
管理研究所碩士在職專班
103
Financial Supervisory Commission (FSC) opened 200 individual stocks to day trade on January 6, 2014 in order to provide more completed trading mechanism and more hedge instruments. The sample periods are from January 6, 2014 to December 31, 2014 and the samples are the companies listed on the Taiwan Stock Exchange (TWSE) or on the GreTai Securities Market. The order imbalance proxy variables, such as the difference trading volume between buy and sell, difference trading value between buy and sell, the difference trading volume/value over the total trading volume/value, are used to explore the influence of day trading on the individual stock returns. Based on the analysis of ANOVA and T-Test, the average of order imbalances for day-trading stocks and non-day-trading stocks are significantly different meaning that day-trading mechanism can improve the order imbalance and the impact effects are stronger on the TWSE. The results of panel regression analysis show that the influences of order imbalance on individual stock returns are smaller for day-trading stocks than non-day-trading stocks.
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Tseng, Chien-Hung, and 曾建閎. "Return Volatility, Day Trading, and Stock Prices." Thesis, 2012. http://ndltd.ncl.edu.tw/handle/36973564349341259480.
Full textAbstract:
碩士國立暨南國際大學
財務金融學系
100
When an investor buys and sells the same stock on the same day, he has made a day trade. Day trading by retail investors has big influence in Taiwan stock market – for over 20% of total volume. We analyze the performance and the preference of retail day traders in Taiwan from 1995 through 1999, and find the following results: (1) In average, individual day traders lose money from day trading and can’t earn money through the pattern of stock volatility. (2) We further group individual day traders into winners and losers and find that only winners are able to earn money through the pattern of stock volatility. Additionally, losers lose more money when they day trade more high volatility stocks and their preference of stock volatility grow stronger when they got better performance previously, which indicates that their performance suffer by their overconfidence. (3) Finally, We find that high volatile stocks attract more day trading, and high day trading enhance stock risk and predict the lower future return.
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Burlo, Adrian Vincent. "A share trading strategy : the JSE using 50 and 200 day moving averages." Thesis, 2012. http://hdl.handle.net/10210/6586.
Full textAbstract:
M.B.AThe aim of this dissertation is to determine if there is any evidence that supports a "50" and a "200" day moving average share trading strategy to select, buy and sell shares quoted on the Johannesburg Securities Exchange (JSE) Main Board, in order to determine if a "50" and a "200" day moving average share trading strategy will be appropriate to use, in order to make share trading profits in excess of the return generated by the JSE Overall Index. 1.4 0 .ACTIFVES o To evaluate fundamental analysis in respect of the quality of information (mainly at a company level) available to investors as the basis on which decisions to buy and sell shares are made. o To evaluate previous research undertaken in technical analysis with respect to the use and application of moving averages as a trading strategy in making share selections as well as buy and sell decisions. 14 Analyse historic price data on individual, randomly selected shares from the total population of all main board (1.6.5) listed shares quoted on the Johannesburg
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He, Meng-Chun, and 何孟純. "The Analysis of the Relationship of Crude Oil, Shipping Companies Stock Price, Baltic Dry Index and Taiwan Accumulate Stock Indexes." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/sbcy3q.
Full textAbstract:
碩士國立虎尾科技大學
財務金融系碩士班
104
Taiwan is an export-oriented country, However, most of the crude oil can only rely on imports. Rising crude oil prices will increase production costs, the stock market and economic have a significant impact. This research period from the first day of 2006 through the end of 2015.The data used in the analysis include information on the Brant crude oil price, Listed shipping company stock price, Baltic Dry Index and Taiwan Accumulate Stock Indexes. This paper adopts some of path-analysis, mediator, unit root test, ARMA, ARCH and GARCH to study for the analysis of the relationship between crude oil and Listed shipping company stock price, Baltic Dry Index and Taiwan Accumulate Stock Indexes. The empirical results show that in Taiwan stock index as the mediated variables, Due to the estimated parameter reduction is that, in the shipping company''s share price is according to the variables and Baltic Dry Index and Taiwan Stock Index as the independent variable has a partial mediation effect. From the path analysis, it can be found that the direct effect of crude oil on the shipping company''s stock price is the cost side, The Taiwan stock index is the index to predict the economy, So it is between the mediated variables affect for the economy, The results show the WANHAI and crude oil negatively correlated. EVER, U-MING, YANG MING,WAN HAI and SINCERE impact of the cost side is greater than the economy. Baltic Dry Index and EVER, U-MING, YANG MING, WAN HAI positive correlated but the WANHAI and Baltic Dry Index negatively correlated. Using the construction of ARMA model to estimate the lag period of the mode, And using the least AIC value to select the most appropriate model, Due to the selection of the ARMA model, the H0 hypothesis is rejected, so existedheterogeneity variation and the ARCH(1) model received H0hypothesisthen no autocorrelation and heterogeneity variation, along with U-MING and SINCERE. But UMING and SINCERE continuously employ the GARCH model. Finally, UMING and SINCERE use AIC to select the appropriate model of the GARCH, which are GARCH(1.2) and GARCH(2.2).
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Tsai, Feng-En, and 蔡豐恩. "An Analysis of Relationship Between Baltic Exchange Dry Index and Stock Price of Major Bulk Carrier Corporate Listed Stock in Taiwan." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/89599364449873901387.
Full textAbstract:
碩士國立臺灣海洋大學
商船學系所
98
The study focused on the relationship between Baltic exchange dry index and stock price of bulk carrier corporate listed stock in Taiwan and transportation index, that is, whether the leadership of the so-called leading-following effect and its relationship between stock indexes returns. In this study, the sampling period from January 1 2003 to August 14 2008, the daily data. In order to find the relationship between bulk carrier corporate stock price, Baltic Dry Index and transportation index, the research method is to utilize Vector Error Correction Models (VECM), Granger Causality Test, to proceed to empirical research. The results are as follows: First, the analysis of the interaction between the transportation index and the Baltic exchange dry index, the result is, the Baltic exchange dry index will affect the transportation index. On the contrary, the transportation index will also affect the Baltic exchange dry index. Even though on the composition of the transportation index, airplane corporate such as China Airlines Co. and EVA Air Co., and container shipping corporate such as Yang Ming Co. and Evergreen Marine Co. are influenced by the Baltic Index. Second, the descriptive statistics and trends of First Steamship Co. and Uming Shipping Co. are relatively close, and in the causality test of the two companies and the Baltic index, and transportation stocks index are relevant. Third, on the causality test, the study shows that Sincere Navigation Co. and Eastern Media International share price do not influence the transportation index. The significances of casualty test between the First Steamship Co. share price and, the Transportation Index, the Baltic index respectively comparing with other corporate are the highest.
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Lin, Wen Yuan, and 林文源. "Sliding friction and stick-slip motion of two contact surfaces in dry and lubricated conditions." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/59045238725290396262.
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Hsieh, Chia-Wi, and 謝家瑋. "The Impact of the Stock Day-Trading System on the Taiwan Stock Market’s Quality." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/dm8cwp.
Full textAbstract:
碩士淡江大學
會計學系碩士班
103
This study aims to evaluate the impact of the the stock day-trading system on the Taiwan stock market’s Quality, and whether accomplish expected effect. We measure the market quality by three dimensions – liquidity, volatility, and efficiency. Bid-ask spread, effective spread, market depth, and price impact, these variables are employed to measure the liquidity of market quality. To measure the volatility, the standard deviation of return are applied to it; we use variance ratio to measure the efficiency as well. The sample period is between October 1, 2013 and March 31, 2014, and the samples consist of the listed companies of Taiwan Stock Exchange (TSE) and the GreTai Securities Market (OTC). The findings are as follows. First, the implementation of the day-trading of stocks on the TSE market significantly increases bid-ask spread and effective spread, and it causes a decrease in the liquidity of market and an increase in transaction cost of investors. Market Depth significantly increase indicates the quantity of order increase and the liquidity increase. Price impact increase but it didn’t reach the significantly level. Second, the implementation of the day-trading on the TSE market significantly increase the standard deviation of return, which indicates an increase in volatility of market. Final, after the TSE market is implemented day-trading, the variance ratio decrease significantly, which is indicate the pricing errors increase and the efficiency of market decrease. After the implementation of the day-trading on the OTC market, due to the increase of bid-ask spread, effective spread and price impact, it leads to a decline in market liquidity. The empirical results of market depth are inconsistent. The standard deviation of return increase significantly, it would increase market volatility. The variance ratio declines significantly, it causes the pricing errors increase and the efficiency of market decrease.
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楊世芳. "Ex-dividened (right) day behavior of stock prices:an empirical study of Taiwan stock market." Thesis, 1988. http://ndltd.ncl.edu.tw/handle/45067527706722973521.
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Chen, Peng-Bai, and 陳鵬百. "An Analysis of the Relationships between the Taiwan Bulk Shipping Stock Index and Baltic Dry Index." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/68463037043650284909.
Full textAbstract:
碩士長榮大學
航運管理學系碩士班
101
This paper investigates the relationship between Taiwan Bulk Shipping Index (TAIBX) and Baltic Dry Index (BDI) using Vector Autoregressive Moving Average Model (VARMA). TAIBX is compiled with the stock prices of six major bulk carriers in Taiwan. The stock prices of each of the six carriers are also simulated, using TAIBX and BDI. The simulated values and actual values of the stock prices are then carried out by Root-Mean-Square Percentage Error (RMSPE) analysis. The empirical results identified a two-way relationship between TAIBX and BDI indices. Namely, the BDI in one period influences TAIBX in the subsequent period and the TAIBX in one period also influences the subsequent BDI. The results show that the total RMPSE value of the TAIBX is 39.38%, while the total RMSPE value for the BDI is 45.31%, indicating that the TAIBX is a more suitable index to explain the stock prices of domestic bulk shipping carriers.
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Wang, Shou Jie, and 王守杰. "The Impact of Dry Bulk Shipping Industry Volatility Diffusion on Shipping Stock Index in Financial Crisis." Thesis, 2016. http://ndltd.ncl.edu.tw/handle/47193826221048534940.
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Ku, Chi-Hung, and 辜琦紘. "Day trader behavior and performance-U.S stock market evidence." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/27840792566666440251.
Full textAbstract:
碩士國立高雄第一科技大學
財務管理所
98
Behavioral Finance in the field of so many scholars began to study the cause of the main reasons is that, without a criterion able to fully predict or measure of human behavior, so the financial markets has injected more variables, which is the main motive for promoting cost study. In this study, under the theory of Behavioral Finance, trying to personal qualities as the main input variables in order to explore when the impulse from the U.S. stock market performance, the impact of traders. Hope that the findings by a successful trader of personal qualities. The results found that (1) The dealer will be a result of overconfidence and disposition effect, which will affect earnings. (2) if traders believe their own views, resulting in bias of the assertive, for the inevitable return profoundly affected the tendency to excessive self-confidence. (3) The early traders to sell stocks to make money, and the reluctant sellers lose money in the stock of behavior patterns, known as the disposition effect. Traders in order to avoid regret, would tend to continue to hold money-losing stocks, while the realization of capital gains of the winner portfolio. Most traders want to avoid making the wrong decision brings remorse and the consequent responsibility, tend to continue to hold the loss, while the realization of profits. (4) dealers engaged in buying and selling stocks cycle phenomenon, not easy to estimate in advance when the turning point, but once the turning point, traders rapid response, make a profit. Therefore, control the flow characteristics for the short-term and long-term extremes meet the return of both the number of features, actually engaged in when the red staff required to repair the deep issues.
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chih, Hou, and 侯志賢. "Analysis of Day-trading Profit in Taiwan Stock Market." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/14710948187604461330.
Full textAbstract:
碩士國立中正大學
會計與資訊科技研究所
98
This research is the analysis to the real business transaction records from Jan. 1st 2004 to Dec. 31th 2004, which is provided by a domestic securities dealer, the purpose of the analysis is to probe the relationship among the behavior, property and profitability when investors day trading, and analyze the relationship between the profitability and other factors, such as operation strategy, week effect, sex, transaction seniority, wealth level and transaction frequency. The result of this research discovers that, in terms of investor’s behavior, the strategy of investors to day trading is mostly first financing to buy the same day to sell securities lending; and in terms of profitability, first financing to buy the same day to sell securities lending is more often seen than first securities lending sold the same day financing to buy ; As for the factor of week effect, it shows better performance if deal on every Tuesday. On the other hand, regarding the investor’s property, it shows that female investors have higher profitability than male investors. The transaction frequency has opposite correlation with wealth levels, which means the higher of the transaction frequency and wealth levels, the lower is the overall profitability performance. And regarding the transaction seniority, there is a positive correlation between seniority and profitability, which means the seniority is higher, the profitability is better.
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Tsai, Wen-Chich, and 蔡文智. "Using Hidden Markov Model for Stock Day Trade Forecasting." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/32516931447325202454.
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碩士國立交通大學
資訊管理所
90
Around the world, the Hidden Markov Models (HMM) are the most popular methods in the machine learning and statistics for modeling sequences, especially in speech recognition domain. According to the number of patent applications for speech recognition technology form 1988 to 1998, the trend shows that this method has become very mature. In this thesis, we will make a new use of the HMM and apply it on day trading stock forecast. However, the HMM is based on probability and statistics theory. In a statistics framework, the HMM is a composition of two stochastic processes, a Hidden Markov chain, which accounts for temporal variability, and an observable process, which accounts for spectral variability. The combination contains uncertainly status just likes the stock walk trace. Therefore, the HMM and the stock walk trace have the same idea by coincidence. In this thesis, we will try to learn the stock syntax; just like how the HMM model was used in speech recognition in different languages, and the take the next step ahead in price prediction. Additionally, the stock market is the reflection of the economy. The stock trace is impacted by many factors such as policy, psychology, microeconomics, economics, and capital, etc. There, in this thesis, the TAIFEX Taiwan index futures (TX) and day trade are used to avoid all the uncertainty factors. After the all experiments, it is proven that the HMM is better than the benchmark method- Random Walk method and the Investment Trust & Consulting Association method- Modified Trading method. Moreover, the result is very conspicuous by the statistics testing of significance.
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Huang, Chieh-chun, and 黃杰駿. "A Study on Day trading Behavior of Taiwan Stock Exchange Capitalization Weighted Stock Index Futures." Thesis, 2010. http://ndltd.ncl.edu.tw/handle/67699870299525810650.
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碩士國立中山大學
財務管理學系研究所
98
With high liquidity and operating flexibility, futures can not be held for long term and must be restricted by margin requirement. This makes many futures traders prefer day trading to avoid the risk of the price gap of the next trading day. Day traders tend to operate a trend-following strategy based on technical analysis and actively manage their holding positions. They take stop-loss strategy in the wrong direction to limit the damage, while take raise-stake strategy in the right direction to increase profits. A program trading system can even be utilized to carry out the strategy immediately and mechanically. This study use Taiwan Stock Exchange Capitalization Weighted Stock Index Futures as our sample. It simulates the performance of trend-following strategy of day traders by using moving average as basic signals, combined with the trading volume and Bollinger Band. We found that, in medium-term and long-term time frame (30-60 minutes), active management of stop-loss and overweight strategy can still change the distribution of performance and earn positive returns, even if moving average technical analysis is not as effective as expected.
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Huang, Yeu-Jye, and 黃羽婕. "Analysis the Relationships between Listed Stock Price for Bulk Carrier Corporate in Taiwan and Baltic Dry Index." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/65814589735734071592.
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碩士國立臺灣海洋大學
商船學系
103
The study period is the daily closing price from 2005 to 2014 A.D. , analyze Wisdom Marine Lines Co., Ltd. (2637), U-Ming Marine Transport Corp.(2606), Sincere Navigation Corp.(2605), Shih Wei Navigation Co., LTD.(5608),Chinese Maritime Transport Ltd. (2612), Taiwan Navigation CO., LTD.(2617),First Steamship Co., Ltd. (2601), and Eastern Media International Corp.(2614), respectively in Taiwan, modeling representatives of the International Baltic shipping index freight index to study the relationships of the stock price. The empirical results obtained the following several conclusions:(1)The original series of the non-stationary state, needed to go through after the first-difference, time-series will be presented in stationary state.(2)The study find that BDI, (2637) and (2606) has Co-integrating individually ; however, the others without Co-integrating individually, so it is after the first-order differential variables to not limit the VAR model analysis.(3)As unbalanced, estimated coefficients via VECM, only the correction of (2617) slower time than BDI.(4) Granger Causality Test shows BDI and (2614) does not have relationships, the others do. (5)The results show the impact of external shocks reaction generated for each series of varying positive and negative short-term shocks and long-term impact has fallen to zero, and ultimately all converge to the long-run equilibrium relationship.(6)The study found that, when the VECM is not added to a virtual variable, the goodness of fit is more better. The empirical analysis presented in this study to verify the relevance of the BDI and Taiwan shipping bulk ship between the stock price is really helpful.
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Chiang, Yi-fang, and 江宜芳. "The relationship of co-movement between Baltic Dry Index and stock price on Taiwanese bulk public corporations." Thesis, 2005. http://ndltd.ncl.edu.tw/handle/12763436104257510374.
Full textAbstract:
碩士國立高雄第一科技大學
運輸倉儲營運所
93
The purpose of this research is to discuss the relationship between the Baltic Dry Index and stock price on Taiwanese bulk public corporations. Due to the international bulk market is a perfect competition market. The bulk ships’ supply and demand decide the transporation market price. There is an important spot quotation Baltic Dry Index (BDI). This paper uses unit root test, cointegration test, error correction model, Granger causality test to analyze cointegraion relation and long run equilibrium between BDI (Baltic Dry Index), BCI(Baltic Capesize Index), BHI(Baltic Handymax Index), BPI(Baltic Panamax Index) and stock price on Taiwanese bulk public corporations from January 5, 2000 through July 31, 2004. According to empirical findings, we assert the following: 1. The correlation between Baltic Capsize Index and Sincere navigation corporation is found by the causality test. 2. First stream ship coporation stock price is strongly influenced by all Baltic Bulk shipping Index rather than other corporations’ stock price by the impulse response function test. 3. The explanations of Baltic Dry Index (BDI) are cleaner than any other Bulk shipping Index by the error variance decomposition test. 4. By using the cointegration test, the long-run equilibrium correlation between BDI and Sincere stock price, BHI and Uming stock price, BHI and Sincere stock price, BPI and Sincere stock price, and BPI and Uming stock price are showed.
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Huang, Bo-cheng, and 黃柏誠. "An Investigation of The Relationship between Baltic-Dry-index and Stock Price on Taiwan’s Listed Steel Companies." Thesis, 2008. http://ndltd.ncl.edu.tw/handle/e7v3gt.
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碩士國立高雄第一科技大學
金融營運所
96
Steel Industry consumes a great volume of coal and iron ore to produce steel materials, and a prosperous steel market would increase the demand for coal and iron ore which in turn increases the demand for bulk transportation. The emprical anaysis of this study is using Engle & Granger''s (1987) Cointegration and Granger(1969) Causality Test. To investigate the relationship between BDI and stock prices of the public-listed steel companies in Taiwan, this study examines the relationship between the daily closing prices of the local public listed steel companies and daily BDI index series by conducting Unit Root Test and Cointegration, Error Correction Model and Causality Test. The data is taken from the period of 4 January 2000 to 25 October 2007. The empirical results are described as follows: 1.BDI index series and the stock prices of individual public listed steel companies have strong positive correlations, which implis the characteristic of “up and down across the board” effect between the two variables. 2.The cointergration test implies that BDI index is cointegrated with China Steel, First Copper Techonology、Chun Yu、Mayer Steel、Jhang Yuan、Sin Kang、Yeun Chyang The empirical analysis also indicates a long term equilibrium relationship between these stocks and BDI index. 3.Error Correction Model result – when there is a short term impact creating long term disequilibrium, only First Copper Techonology uses BDI index and its stock price to reach long term equilibrium,and the rests were using BDI to maintain the balanced relationship. 4.Granger Causality Test shows the trend of steel share market often takes the lead of BDI index, the reason could be the bulk transportation market delivers a large volume of upper stream raw materials for steel industry, a prosperous steel market will increase the consumption of coal and iron ore, resulting in acceleration in volume. of transportation and gain in bulk transportation index. Hence, the stock prices in steel market normally reflect before BDI index.
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Lee, Shau-Hua, and 李紹嬅. "Ex-dividend day stock price behavior-the case of Taiwan." Thesis, 2001. http://ndltd.ncl.edu.tw/handle/48296483410114255419.
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洪子崴. "Research on Day-Trading Strategies of Taiwan Stock Index Futures." Thesis, 2017. http://ndltd.ncl.edu.tw/handle/acr5ed.
Full textAbstract:
碩士國立臺北大學
經濟學系
106
This research uses software “Multichart” and current-day’s moving-average indicators combined with filters to study program day-trading strategies of Taiwan stock index futures. I adopt “taking a position” and “adding a filter” as main strategies, and then uses “stopping-loss-and-taking profit” and “increasing a position” as testing tools. First, this research lets the trading program to find out and set the best parameters, and then examines whether the two testing tools mentioned above can raise performance of the main trading strategies. The results show that after takng a market position, adding filters would always raise ultimate performance of the strategies. By contrast, when the taking-profit tool is employed, trading performance would always become worse compared to not using it. Thus, taking-profit may not be a good strategy for my research period, and/or not suitable for futures’ day trading. In addition, combing strategies of filters and increasing positions has no guarantee in raising profits. Using past-three-year’s data of Taiwan stock index futures, I obtains positive profits under all trading strategies. After including margin costs, the compound annual return rates of these strategies are over 15%, obviously above the normal returns. In addition, since these strategies perform better in the second-half of the three-year period, I believe they can still make profits nowadays.