Dissertations / Theses on the topic 'Markets in crypto assets'
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1
Cruces, Juan José. "Essays on asset pricing in emerging markets /." Thesis, Connect to this title online; UW restricted, 2001. http://hdl.handle.net/1773/7506.
2
Nuamu, Cornelia. "Investerarskydd vid handel med kryptotillgångar : En analys i ljuset av Europeiska kommissionens förordningsförslag om marknader för kryptotillgångar." Thesis, Linköpings universitet, Filosofiska fakulteten, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:liu:diva-176755.
Abstract:
Ur de senaste decenniernas tekniska innovation föddes så kallade kryptotillgångar. Kryptotillgångar är digitala enheter som är tillgängliga via teknik för distribuerad liggare. Marknaden för kryptotillgångar har expanderat avsevärt på senare år. Tidigare har handel med kryptotillgångar mest varit en bisyssla för tekniskt kunniga personer, men i takt med att kryptotillgångar ökar i popularitet växer investerarkretsen. Kryptotillgångar ägs huvudsakligen med investeringsavsikt men kan, beroende på den berörda kryptotillgångens egenskaper, skilja sig avsevärt från finansiella instrument. Det gör att befintliga EU-regelverk för finansiella tjänster sällan kan ligga till grund för bedömning vid kryptotillgångshandel. Det skapar i sin tur osäkerhet avseende investerarskyddet för konsumenter som handlar med kryptotillgångar. Marknaden för kryptotillgångar är hittills oreglerad på EU-nivå vilket har medfört spridda och otillräckliga regleringar avseende kryptotillgångar på nationell nivå i vissa medlemsstater. År 2020 publicerade Europeiska kommissionen ett förslag på reglering av kryptotillgångar där ett av syftena med förslaget är att stärka investerarskyddet vid kryptotillgångshandel. Om förslaget skulle implementeras innebär det betydande förändringar på kryptotillgångsmarknaden. De förslagna bestämmelserna innefattar bland annat ett EU-pass för emittenter av kryptotillgångar och leverantörer av kryptotillgångstjänster, krav för emittenter av kryptotillgångar att utge informationsdokument samt krav för leverantörer av kryptotillgångstjänster att bedöma om den berörda kryptotillgången är lämplig för kunden. I uppsatsen undersöks vilka risker en investerare utsätts för vid handel av kryptotillgångar. Den övergripande risken som investerare utsätts för vid handeln är risken att förlora sitt investerade medel. Det i sig är inte en unik risk för kryptotillgångar då förluster förekommer även på marknader för finansiella instrument. Den största utmaningen avseende bristen på investerarskydd på kryptotillgångsmarknaden härleds emellertid till informationsasymmetrier. Det framkommer i uppsatsen att det krävs reglering på kryptotillgångsmarknaden för att säkerställa ett tillräckligt investerarskydd. Vidare diskuteras huruvida Europeiska kommissionens förordningsförslag står i paritet till de identifierade investerarskyddsriskerna. Sammantaget leder uppsatsen till slutsatsen att en reglering av kryptotillgångsmarknaden kan säkra investerarskyddet vid handel av kryptotillgångar genom att upprätta krav på informationsgivning för emittenter av kryptotillgångar och leverantörer av kryptotillgångstjänster.
3
Sylvester, Brandon. "An overview of the regulation and management of cryptocurrency in South African inter vivos and testamentary trusts." University of the Western Cape, 2021. http://hdl.handle.net/11394/8140.
Abstract:
Magister Legum - LLMOur lives, work, and behaviour have been changed both positively and negatively by the digital presence that has grown tremendously over the last three decades, and with this exponential growth, we cannot predict where we will be, digitally-speaking, in the years to come. As it stands in South Africa and the majority of the world today, we find that the law is yet to catch up to the technological explosion, in particular to the concept of digital assets. Digital material that is produced and purchased form a big part of our daily lives as we continue to consume media online, use social media platforms, and invest in cryptocurrency. The question of whether South African law makes sufficient provision for the incorporation of digital assets and, in particular, cryptocurrency in inter vivos or testamentary trust is yet to be fully established.
4
Ren, Yu. "Pricing, hedging and testing risky assets in financial markets." Thesis, Kingston, Ont. : [s.n.], 2008. http://hdl.handle.net/1974/1238.
5
Salo, James P. "Corporate Environmental Performance: Governance, Intangible Assets, and Financial Markets." Thesis, University of Oxford, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.487052.
6
Staunton, Michael Douglas. "Pricing of airline assets and their valuation by securities markets." Thesis, London Business School (University of London), 1992. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.294540.
7
Khomassi, Nason, and Swapn Shah. "Comparing returns of real estate assets in gateway US markets." Thesis, Massachusetts Institute of Technology, 2014. http://hdl.handle.net/1721.1/92605.
Abstract:
Thesis: S.M. in Real Estate Development, Massachusetts Institute of Technology, Program in Real Estate Development in conjunction with the Center for Real Estate, 2014.This electronic version was submitted by the student author. The certified thesis is available in the Institute Archives and Special Collections.
Cataloged from student-submitted PDF version of thesis.
Includes bibliographical references (pages 62-63).
The main objective of this study is to understand and analyze the risk adjusted returns of office building and portfolios and determine whether institutional real estate investors are allocating capital efficiently. NCREIF data from years 1999 to 2014 years will be analyzed. The data will be split into three proportional classes, upper (Class A), middle (Class B), and tertiary (Class C) classes based on asset price per square foot and then their risk adjusted returns will be analyzed with the Sharpe Ratio. Further, based on these findings, the thesis will determine whether a quantitative measure of building classification can be established. Currently, real estate assets, office or otherwise, are only classified qualitatively
by Nason Khomassi and Swapn Shah.
S.M. in Real Estate Development
8
Romeike, Stephan [Verfasser]. "Blockchain Technology in Finance and Accounting: Essays on Initial Coin Offerings, Crypto Assets, and Corporate Use Cases / Stephan Romeike." Berlin : epubli, 2021. http://d-nb.info/1241399212/34.
9
Sarkissian, Sergei. "Heterogeneous consumption and asset pricing in global financial markets /." Thesis, Connect to this title online; UW restricted, 1999. http://hdl.handle.net/1773/8722.
10
Zhang, Qianwen. "What kind of asset pricing model works in emerging markets? a case study for the Chinese stock markets /." online access from Digital Dissertation Consortium, 2007. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?MR26886.
11
Lin, Chien-Hsiu. "Asset pricing in the Asian emerging markets." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1432786771&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
12
Škapa, Jan. "Kryptoměny a budoucnost finančních trhů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2017. http://www.nusl.cz/ntk/nusl-295615.
Abstract:
This master’s thesis predicts the development and assesses the potential of cryptocurrencies in the areas of investment, trade and technology based on their technical, economic and legal analysis. Although the thesis deals with cryptocurrencies in general, the key focus is placed on their most prominent representative (Bitcoin) in trying to predict the effects on the future of financial markets from a wide, multidisciplinary perspective.
13
Pina, Marcelo da Mata. "Criptomoedas : teoria da arena e o reconhecimento contabilístico." Master's thesis, Instituto Superior de Economia e Gestão, 2020. http://hdl.handle.net/10400.5/20643.
Abstract:
Mestrado em Contabilidade, Fiscalidade e Finanças EmpresariaisEsta dissertação analisa as posições contabilísticas adotadas em relação às criptomoedas até ao momento e permite perceber qual a posição que o tema da contabilidade financeira possui no debate acerca das criptomoedas. Assim, este estudo contribui para o estudo de criptomoedas de duas formas distintas. Primeiro foi feita uma revisão de literatura que permitiu enquadrar conceptualmente os criptoativos, distinguir entre os diversos tipos de criptoativos e identificar as opiniões de 3 dos principais organismos contabilísticos acerca do tratamento contabilístico que deve ser aplicado às criptomoedas. Em seguida, foi efetuada uma análise quantitativa, partindo do estudo da Teoria da Arena e utilizando a plataforma Factiva, que permitiu identificar os principais atores no debate das criptomoedas e qual a posição que o tema da contabilidade financeira detém neste debate. Este estudo dá um primeiro passo na temática da contabilidade financeira associada às criptomoedas, ao demonstrar a pouca relevância que está a ser dada a este tema na comunidade internacional e ao identificar um ponto de partida às empresas que lidam com este tema. Os resultados demonstram a pouca importância que está a ser dada ao tema da contabilidade na área das criptomoedas e também a natureza diversa dos atores envolvidos nestes debates.
This dissertation analyzes the accounting positions regarding the crypto assets and allows us to obtain an understanding of the position that financial accounting has in the debate involving crypto assets. Therefore, this dissertation contributes for the study of cryptocurrencies in two different ways. First, it was performed a literature review that framed the topic of the crypto assets, making a distinction between the different types of crypto assets, and allowed to identify the positions of 3 accounting bodies regarding the accounting treatment that should be applied to cryptocurrencies. Secondly, a quantitative analysis was performed, starting from the Arena Theory and using the Factiva platform, it was possible to identify the most relevant actors on the debate of cryptocurrencies and what is the position that the financial accounting subject has on this debate. This dissertation gives a first step on the topic of financial accounting associated with cryptocurrencies, by showing the little attention that has been given to this subject by the international community and by giving a starting point to the companies which deal with such subject. The results show that financial accounting does not play a relevant part in the cryptocurrencies? area and also the diverse nature of the actors involved in these debates.
info:eu-repo/semantics/publishedVersion
14
Westin, Love. "Utilizing short-term noise in non-efficient markets by paired assets : -Introducing the Technical AMH trader." Thesis, Umeå universitet, Nationalekonomi, 2019. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-165200.
Abstract:
In this paper, we present an algorithmic implementation of a pairs trading strategy on the OMXS during the years from 2010 until 2018. In our case, the trading algorithm is based on the Adaptive Market Hypothesis (AMH) theory. Hence, the algorithm scans the market for temporary inefficient behaviour, as defined by AMH. The pairs trading algorithm suggested in the paper revolves around a minimum distance paring method that evaluates different threshold measures. In the paper, we also suggest a new method for the choice of threshold as well as evaluate the efficiency of the strategy by an application on the relatively small Swedish OMXS stock exchange. In this small exchange, other forms of market inefficiency may arise compared with those on a larger international stock exchange. The paper also presents the AMH framework for behaviour in a financial market, a hypothesis that may explain the positive result of the presented application of pairs trading strategy. Hence, this paper connects AMH with the pairs trading strategy. Our result indicates that when we exercise the strategy during a period of trading, in a portfolio consisting of 10 pairs, it generates a positive aggregated return, compared with index, even when we consider a theoretical transaction cost. Furthermore, the strategy outperforms a random naïve trading strategy combined with a low market dependence, measured in correlation. However, even if the strategy is profitable, the return is volatile. This is believed to be an outcome of volatile market reactions to new information in the close chosen substitutes. Such problems with pairing and diversity may be traced back to the small sample of stocks in the example presented in the paper. As such, the algorithm suggested is as a step towards trading based on theoretically motivated algorithmic learning models, in line with trading models developed within the rapidly emerging field of artificial intelligence.
15
Majoni, Akios. "The price differential between identical assets trading in different markets : a case study of Mondi Holdings." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/10796.
Abstract:
Includes abstract.Includes bibliographical references (p. 41-45).
This study investigates the possible explanatory factors behind the mispricing in dual traded assets, using Mondi Holdings (the PLC listed on the London Stock Exchange and the LTD listed on the Johannesburg Stock Exchange) as a case study. The study documents the existence of substantial mispricing between the Mondi twins, with the LTD trading at an average premium of 9% over the sample period. However, the reclassification of the PLC shares on the JSE resulted in a significant and sharp decline in the LTD premium to an average of 3%, an indication that regulatory controls were significant in sustaining a larger part of the price deviations.
16
Ho, Yiu Wah. "The pricing of Hong Kong equity stocks in a CAPM framework." Thesis, King's College London (University of London), 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.324674.
17
Lartey, T. A., J. Amankwah-Amoah, A. Danso, Samuel Adomako, Z. Khan, and S. Y. Tarba. "Environmental sustainability practices and offshoring activities of multinational corporations across emerging and developed markets." Elsevier, 2001. http://hdl.handle.net/10454/18281.
Abstract:
YesUsing panel data of 1,080 multinational corporations (MNCs) from the United States, we examine the effects of environmental sustainability practices on the degree of firms’ offshoring activities. In addition, we disaggregate offshoring activities into their core components depending on whether or not the firm buys (inputs) or sells (outputs) and/or owns assets in a given country and examine the extent to which sustainability practices influence the different components of offshoring decisions. The results indicate that sustainability practices significantly affect offshoring activities of MNCs. In particular, we found that sustainable business practices matter when the firm sells goods or owns assets in the given host nation. Additionally, the results show that the sustainability–degree of the internationalization relationship is crucial for MNCs that have offshoring activities in advanced economies relative to those firms that have activities in emerging markets. Our results are robust to alternative explanations.
The full-text of this article will be released for public view at the end of the publisher embargo on 25 June 2022.
18
Lartey, T. A., J. Amankwah-Amoah, A. Danso, Samuel Adomako, Z. Khan, and S. Y. Tarba. "Environmental sustainability practices and offshoring activities of multinational corporations across emerging and developed markets." Elsevier, 2020. http://hdl.handle.net/10454/18281.
Abstract:
YesUsing panel data of 1,080 multinational corporations (MNCs) from the United States, we examine the effects of environmental sustainability practices on the degree of firms’ offshoring activities. In addition, we disaggregate offshoring activities into their core components depending on whether or not the firm buys (inputs) or sells (outputs) and/or owns assets in a given country and examine the extent to which sustainability practices influence the different components of offshoring decisions. The results indicate that sustainability practices significantly affect offshoring activities of MNCs. In particular, we found that sustainable business practices matter when the firm sells goods or owns assets in the given host nation. Additionally, the results show that the sustainability–degree of the internationalization relationship is crucial for MNCs that have offshoring activities in advanced economies relative to those firms that have activities in emerging markets. Our results are robust to alternative explanations.
The full-text of this article will be released for public view at the end of the publisher embargo on 25 June 2022.
19
Hodgson, Victoria Louise, and n/a. "Linking Marketing to Shareholder Value in Listed and Non-Listed Markets." Griffith University. School of Marketing, 2004. http://www4.gu.edu.au:8080/adt-root/public/adt-QGU20040116.094444.
Abstract:
In this thesis it is recognised that marketing has a dual role to satisfy both customer and shareholder objectives. The issue of shareholder value creation of marketing is an important and immediate agenda for marketing executives, management and academics. To date, marketers have not been able to adequately quantify and measure shareholder value creation through marketing assets and marketing expenditure. This has led to a dilution of marketing power and influence in the boardroom with management tending to treat marketing as discretionary expenditure and not as an asset. Academics have responded with conceptual models that relate marketing assets back to shareholder value, generally through cash flow or sales models. The creation of shareholder value through marketing assets and expenditure is then conceptualised and tested empirically. The conceptual model builds on the theory of agency and incomplete markets setting to illustrate the flow effects through marketing assets to shareholder value. The conceptual model also demonstrates that marketing expenditure can have stock and/or flow impacts on shareholder value. Flow effects are indirect effects that are mediated through sales, cash flows, and earnings and can be either temporary or longer term. It is concluded that in listed markets stock prices are the general surrogate for shareholder value, and risk adjusted earnings are the appropriate surrogate in non-listed markets. The thesis then empirically illustrates and tests the relationships between marketing communications expenditure on two data sets representing firms in listed and non-listed settings. The empirical results reveal that marketing expenditure does play an important role in the creation of shareholder value and that stock and flow effects are both present. Knowledge of the various empirical impacts from marketing across firm size, industry and listed and non-listed market settings observed in this thesis should prove highly valuable for marketers and managers. Finally, a conceptual understanding by marketers of the financial metrics that are required to be influenced in order to increase shareholder equity will provide greater clout in negotiations with management and boards of directors.
20
Sabilika, Keith. "Valuation of banks in emerging markets: an exploratory study." Thesis, Rhodes University, 2014. http://hdl.handle.net/10962/d1013057.
Abstract:
Practitioners and academics in emerging markets are yet to agree on how best they can value companies in emerging markets. In contrast, academics and practitioners in developed markets seem to agree on mainstream valuation practices (Bruner, Eades, Harris and Haggins, 1998; Graham and Harvey, 2001). This study was therefore aimed at achieving such consensus with particular attention being paid to the emerging market banks. Emerging market banks are by no means small and are growing fast. Furthermore, these banks are currently involved in lots of cutting age economic activities such as mergers and acquisitions (M&A), joint ventures and strategic alliances which require sound valuation practices that are based on empirical evidence. The primary purpose of this research was to establish consensus of opinion among experts with regard to the valuation of banks in emerging markets. To achieve the purpose of this study the Delphi technique, which is a structured survey method that relies on a panel of experts to answer questionnaires in two or more Delphi rounds, was used to gather data and develop consensus among experts (Kalaian and Kasim, 2012). The main findings in this study pertain to aspects concerning the type of analysis considered by experts when analysing the performance of banks, how experts compare the discounted cash flow (DCF) approach to multiples valuation approach, the challenges encountered by experts when valuing banks in emerging markets, and how experts compute the cost of capital for banks in emerging markets. The main findings of this study can be summarised as follows: ∙ When analyzing the performance of banks, it is essential to conduct a bank-specific, industry and macroeconomic analysis; ∙ When estimating the future performance of banks, the time series analysis and an explicit forecast period of between 4-10 years may be used; ∙ When estimating the terminal value for banks in emerging markets, the perpetuity with growth is used; ∙ When computing the value for banks, the DCF valuation approach (equity DCF and DDM valuation models) are used as primary valuation methods and the relative valuation approach (P/E and P/BV ratio) are used as secondary valuation methods; ∙ The DCF valuation approach is considered as more accurate and popular when valuing banks in emerging markets; and ∙ When estimating the cost of equity, the capital asset pricing model (CAPM) is used.
21
Thabane, Mphoto. "The determination of a viable mechanism for delivering effective maintenance of infrastructure assets in emerging markets : a South African case study." Diss., University of Pretoria, 2017. http://hdl.handle.net/2263/59782.
Abstract:
The aim of the research was to determine a viable mechanism of delivering effective maintenance of infrastructure assets in emerging markets. Infrastructure assets are one of the prerequisites to meet the economic and social growth aspirations in emerging economies. The upkeep of infrastructure assets to perform at their optimal levels is therefore paramount to achieving these growth objectives. The research emanated from a need to address the growing challenge of the deterioration of infrastructure due to a lack of maintenance. This phenomenon is hampering the growth in emerging economies, including South Africa. The author intends for the learnings of this report to be used by asset owners and practitioners to address this growing concern.
The research commenced to investigate the extent of the problem of deficiencies in maintenance of infrastructure assets across the African continent, and the impact this is having on those economies. The literature review also honed in on the state of infrastructure and maintenance in South Africa. It was found that there was a wide-spread problem of deteriorating strategic infrastructure due to a lack of maintenance. The literature attributed the lack of maintenance of infrastructure in South Africa due to a lack of funding, lack of reliable data on existing infrastructure stock, uncoordinated efforts by maintenance departments in government agencies, and a lack of life cycle costing at the procurement stage (South African Institution of Civil Engineers, 2011). The literature also attributed a lack of maintenance of infrastructure in emerging markets to a lack of funding due to inadequate billing and collection procedures, low purchase power by users, insufficient attention to operations and maintenance, a lack of experienced personnel to execute maintenance, and weak political will (Alm, 2013).
The case study method was adopted as a research methodology. Five cases were selected in total. Semi-structured interviews were used to collect data. The questionnaire for the interviews was based on the themes and detailed findings from the literature review. Qualitative Content Analysis (QCA) was used to analyse the transcriptions developed from the semi-structured interviews. The single and multiple case study methods were utilised. The feedback from the cross-case analysis was used as a basis for the key findings to address the research questions.
The cross-case analysis revealed factors that lead to a lack of infrastructure maintenance, and determined potential viable mechanisms to deliver effective maintenance of infrastructure assets. The factors that were found to be the most influential in the delivery of effective maintenance of infrastructure were as follows:
ii
1) Ensuring mechanisms are in place to make maintenance a core business function or activity
2) Use of a combination of maintenance techniques, including run-to-failure, preventative or planned maintenance, and condition based maintenance.
3) The use of strategic maintenance guidelines by the maintenance department.
4) Keeping most of the maintenance work in-house and limiting outsourcing to specialist equipment.
5) The use of MPIs to track the effectiveness and quality of maintenance, and its impact on the overall performance of infrastructure assets.
6) Use of technologies to supplement human personnel in the form of maintenance software solutions and automation for monitoring the performance of equipment and other related assets.
7) Continuous investment in training of maintenance personnel, including technicians and artisans.
8) Initiatives should be put in place to retain critical skills.
9) A culture of maintenance should be developed in the organisation, starting from top management structures.
10) An asset management division should be put in place to work closely with the maintenance department.
The study is concluded with recommendations for future research. The author believes that the key findings of the research will help advance further research in the field of infrastructure maintenance in emerging markets.Mini Dissertation (MBA)--University of Pretoria, 2017.
vn2017
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
22
Tsang, Yat-ming, and 曾日明. "Risk and return in financial markets: a studyof the Hong Kong stock market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31976736.
23
Sarama, Robert F. Jr. "Asset Pricing and Portfolio Choice in the Presence of Housing." The Ohio State University, 2010. http://rave.ohiolink.edu/etdc/view?acc_num=osu1275434630.
24
Milewicz, Chad. "Market-Based Asset Management and Shareholder Value: Investigating the Roles of Human Capital and Factor Markets in Maximizing Returns on Customer Relationships." Doctoral diss., Orlando, Fla. : University of Central Florida, 2009. http://purl.fcla.edu/fcla/etd/CFE0002769.
25
Kirch, Guilherme. "Um teste empírico para o modelo de precificação de ativos de capital baseado no consumo (CCAPM) na América Latina." Universidade do Vale do Rio do Sinos, 2006. http://www.repositorio.jesuita.org.br/handle/UNISINOS/2797.
Abstract:
Made available in DSpace on 2015-03-05T19:11:30Z (GMT). No. of bitstreams: 0
Previous issue date: 29Coordenação de Aperfeiçoamento de Pessoal de Nível Superior
O propósito desta dissertação foi verificar se o Modelo de Precificação de Ativos de Capital baseado no Consumo (CCAPM) é consistente com os dados de quatro países latino-americanos: Brasil, Chile, Colômbia e México. Para alcançar este objetivo foi realizada uma regressão cross-sectional dos prêmios de risco médios sobre os betas de consumo de cada ativo em cada país analisado. Adicionalmente, de forma análoga a Lintner (1965) e Levy (1978), foi verificado se a variável ‘variâncias residuais’ mostrava-se estatisticamente significante nas regressões cross-sectional, o que seria inconsistente com o modelo. Os resultados empíricos, baseados em estimativas corrigidas para o problema dos erros nas variáveis, demonstram que há uma relação estatisticamente significativa entre os prêmios de risco médios e os betas de consumo nos países acima mencionados, com exceção do México. Apesar disto, o poder explicativo do modelo, dado pelo coeficiente de determinação R2 ajustado, foi muito baixo em todos os países. Quanto à v
The purpose of this thesis is to verify whether the Consumption based Capital Asset Pricing Model (CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile, Colombia, and Mexico. In order to reach this goal, a cross-sectional regression of the consumption betas on the mean excess returns of each asset is performed for each country analyzed. Also, similar to the studies of Lintner (1965) and Levy (1978), it is verified whether the variable ‘residual variance’ has statistical significance in the cross-sectional regressions, which would be inconsistent with the model. Empirical results showed that there is a statistical significant relationship between mean excess returns and consumption betas in the countries cited above, with exception of Mexico. Despite this, the explanatory power of the model, given by the adjusted coefficient of determination (R2), is very small in all countries. Concerning the variable ‘residual variance’, it is statistically significant for the Brazilian and Me
26
Yilmaz, Busra Zeynep. "Completion, Pricing And Calibration In A Levy Market Model." Master's thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/12612598/index.pdf.
Abstract:
In this thesis, modelling with Lévy processes is considered in three parts. In the first part, the general geometric Lé
vy market model is examined in detail. As such markets are generally incomplete, it is shown that the market can be completed by enlarging with a series of new artificial assets called &ldquo
power-jump assets&rdquo
based on the power-jump processes of the underlying Lé
vy process. The second part of the thesis presents two different methods for pricing European options: the martingale pricing approach and the Fourier-based characteristic formula method which is performed via fast Fourier transform (FFT). Performance comparison of the pricing methods led to the fact that the fast Fourier transform produces very small pricing errors so the results of both methods are nearly identical. Throughout the pricing section jump sizes are assumed to have a particular distribution. The third part contributes to the empirical applications of Lé
vy processes. In this part, the stochastic volatility extension of the jump diffusion model is considered and calibration on Standard&
Poors (S&
P) 500 options data is executed for the jump-diffusion model, stochastic volatility jump-diffusion model of Bates and the Black-Scholes model. The model parameters are estimated by using an optimization algorithm. Next, the effect of additional stochastic volatility extension on explaining the implied volatility smile phenomenon is investigated and it is found that both jumps and stochastic volatility are required. Moreover, the data fitting performances of three models are compared and it is shown that stochastic volatility jump-diffusion model gives relatively better results.
27
Junior, Jorge Luiz de Brito. "Interface entre a proteção à propriedade intelectual e o direito de concorrência no Brasil." Universidade de São Paulo, 2015. http://www.teses.usp.br/teses/disponiveis/2/2133/tde-17032015-134535/.
Abstract:
Embora os direitos de Propriedade Intelectual (PI) sejam supostamente instituídos de forma a fomentar a inovação e o bem-estar em longo prazo, seu uso pode ensejar comportamentos oportunistas e abusivos como os Artigos 8.2 e 40 do TRIPS expressamente admitem. Sempre que tal tipo de comportamento afetar a concorrência em determinado mercado excluindo concorrentes, impondo barreiras à entrada, prejudicando consumidores por meio de aumento de preços ou redução da oferta o Direito de Concorrência será chamado a intervir. Considerando tais questões, o objetivo desse trabalho é identificar um quadro de trabalho brasileiro para tratar de questões envolvendo questões de Direito de Concorrência relacionadas à Propriedade Intelectual. O autor buscou delinear os conceitos de uso abusivo de direitos de Propriedade Intelectual, Dominação de Mercado por meio de uso da Propriedade Intelectual e de abuso de posição dominante, considerando o novo quadro regulatório introduzido pela Lei 12.259/2001.While intellectual property (IP) rights are usually claimed to be designed to foster innovation and welfare in the long run, their use may give rise to opportunistic, abusive behavior - as Articles 8.2 and 40 of TRIPS openly admit. Whenever such sort of behavior affects competition in a given market - whether by dislodging competitors, imposing barriers to entry, harming costumers, raising prices or reducing output - competition law is called to intervene. Considering these issues, the purpose of this paper is to identify a Brazilian legal framework for dealing with IP related competition issues. The author sought to draw the legal concepts of abusive of IP rights, market domination and abuse of dominant position considering the new regulatory framework introduced by Law 12.259/2011.
28
Corrêa, Sabino Freitas. "The financial behavior of crypto assets markets : an academic overview over the cryptofinance environment." Master's thesis, 2018. http://hdl.handle.net/10400.14/28128.
Abstract:
Crypto assets markets are important participants in today´s financial world. This market, leaded
by Bitcoin, reached a US$ 800 billion market cap in the beginning of 2018, followed by a crash
that reduced more than 80% of its value subsequently. The relevance of this new type of assets
exceeds the dimension of its quantitative size as expectations of further expansion, along with
the potential disruptive effects expected from the technology beneath it (blockchain), bring
great attention to this entrant into the financial ecosystem. Nevertheless, crypto assets are not
currently measured under the usual financial parameters applied to traditional investments
such as equities, or commodities among others. Neither, after an almost 10 years lifetime, its
significant universe composed by almost two thousand trading cryptocurrencies has a
consensual classifying and categorizing, nor there is a broadly accepted index to measure this
new market´s performance and evolution.
Financial studies on the subject are still not abundant if compared to the vast number of
research material on traditional financial assets. Crypto assets are relatively new and have
peculiar characteristics, standing in uncharted territory and crossing the boundaries of
technology fields.
For a better financial comprehension of crypto assets markets, this thesis will assess the
behavior of its components. The purpose of this thesis is to:
A. Analyze different types of crypto asset products from a financial perspective in order to
categorize and classify their main types, properties and differences;
B. Evaluate the compatibility between crypto assets and the structure of the main market
indexes in order to propose and test reliable and investable benchmark indices for the
crypto assets’ markets;
C. From the proposed benchmark results and constituents, evaluate their behavior and
performance on a conventional and risk adjusted basis; along with computing the
classical financial metrics for each of its components such as beta, correlation matrix
and serial correlation. “The one thing that’s missing, but that will soon be developed, it’s a reliable
e-cash. A method where buying on the Internet you can transfer funds from A
to B, without A knowing B or B knowing A.”
Milton Friedman, 1999.
29
Yang, Chen-Hsuan, and 楊承璇. "A Study on the Supervision of Crypto-assets Trading Platforms in Taiwan." Thesis, 2019. http://ndltd.ncl.edu.tw/handle/c4s623.
30
Jiang, Jinggang. "Ekonomická analýza Bitcoinu." Master's thesis, 2021. http://www.nusl.cz/ntk/nusl-446858.
Abstract:
The development of Internet technology has promoted the progress of all aspects of society. Under the background of Internet finance, the traditional financial model is changing, such as currency payment. With the deepening of Internet technology, the virtualization of money is deepening, and the market entry, trading and payment methods are also subverting the tradition. Bitcoin as a new means of payment began to appear in the public eye. It is a challenge to the traditional way of trading supported by Internet technology. Despite the constant controversy since its inception, Bitcoin still occupies a place with its unique advantages - Asymmetric encryption, decentralization,transparency of transaction records and so on. In the eyes of opponents, Bitcoin is more of a highly speculative asset, and as it becomes progressively more difficult to mine, the cost of mining is increasing. However, in the eyes of supporters, it is a reliable means of payment, not subject to government supervision, nor will it produce a virtual transaction record. From the regulator's point of view, it is more like a shelter for unscrupulous people to evade regulation and commit money laundering and crime. It is undeniable that in just a few years, Bitcoin has developed to a certain scale,has a certain industrial chain...
31
Zacpal, Mikuláš. "FinTech a AML z právní perspektivy." Master's thesis, 2020. http://www.nusl.cz/ntk/nusl-435019.
Abstract:
and keywords FinTech and AML from a legal perspective The subject matter of this thesis is the impact of regulations preventing money laundering and terrorism financing in the field of FinTech. The goal is to analyse these regulations and to offer a critical standpoint which would reflect the technological development in the financial sector and take into consideration the cost of adhering to these regulations. With this objective in mind, the first chapter defines the concept of FinTech, breaks down its specifics and provides typical examples of the financial services currently fitting this definition. In the second chapter, the obligations stemming from the AML/CFT rules are defined along with an evaluation of their impact on obliged persons. The current and future possibilities of remote identification which represents the simplest way of acquiring a client are further evaluated in a separate chapter. In the last part, this paper analyses the applicability of the AML/CFT Act in relation to neobanking, crowdfunding and crypto-assets. The paper concludes by summarizing the findings, formulating views on the current state of the topic, and presenting suggestions for future development. Money laundering and terrorism financing are detrimental social phenomena affecting the FinTech sector. The...
32
Eisfeld, Andrea L. "Endogenous liquidity in asset markets /." 2000. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&res_dat=xri:pqdiss&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&rft_dat=xri:pqdiss:9978021.
33
Orlandi, Andrés. "Dynamic gains of Including emerging markets assets in an international diversified portfolios." Tesis, 2003. http://hdl.handle.net/10915/3351.
Abstract:
Using a utility based measure and under a conditional mean-variance framework this paper analyzes the economic value of diversifying into emerging market. Depending on risk tolerance characteristics, the value of diversifying into emerging equity markets is estimated to be between 100 and 300 annual basis points, even after imposing realistic constrains that investors face in these markets. Importantly, the methodology used in this paper allows studying how changes in the national and international environment affects this measure. The analysis indicate that while emerging market crises seem to reduce these economic gains, when US economy is in a recession, investing in emerging equity markets still help improving the portfolio performance. At the same time, although in the early nineties a capital market liberalization process took place, the gains of investing in emerging equities remain economically significant, with a growing trend from 2001 on.
34
Zi-Yong, Lu, and 呂自勇. "A Value-at-Risk Analysis of Financial Assets: A Case Study of Taiwanese Markets." Thesis, 1997. http://ndltd.ncl.edu.tw/handle/28308648033044120467.
Abstract:
碩士國立中央大學
財務管理學系
85
Before the 1995 Baring''s event, several financial firms haveincurred great losses due to trading in derivative products. Even in a relatively close market like Taiwan, several bankingfirms also reported great losses due to improper derivative trading or hedging strategies during the period 1994-1995. As a result, risk management becomes a hot issue, and financialfirms are searching for appropriate tools to control the risk oftheir assets and portfolios. A risk measure, namely the Value at Risk (VAR), was proposed, and rapidly gained wide acceptanceas a valuable approach to risk management. In 1994, a riskestimation system, the RiskMetrics, was launched by J.P. Morgan,who has been attempts to become the industry standard leader of risk management. Since J. P Morgan distribute data and software for VAR calculations free to anyone who wanted them, theRiskMetrics is becoming one of the most popular systems for VARcalculation. Sioce VAR is still new to most Taiwan''s market participants, thepurpose of my thesis is two-fold: First, I provide a detailed overview to the concepts and various aspects of VAR. Second, several different approaches calculating VAR''s are used to evaluatethe riskiness of a hypothetical portfolio composed of stocks and bonds in Taiwan. There are basically three major methods to estimate the VAR of a portfolio: historical simulation, Monte Carlo simulation and RiskMetrics. The historical-simulation method provides a straightforward implementation, and is relatively simple to calculate the portfolio risk without needing to impose specific distributional assumptions. However, since it uses historical data, it is required that the risk-return relationshipremains stable over time, which may not be realistic. The Monte Carlo simulation method is similar to the historical simulation approach, except that the hypothetical changes in key variables are created by random draws from a stochastic process. RiskMetrics assumes that changes in prices and yields of financial instruments are normally distributed. Given this assumption, volatility can be expressed in terms of the standard deviation from the mean. Hence, 1.65 times the standard deviation can be used as a measure of risk which encompasses 95% of loss occurrences. Besides these three methods, the BIS (the Bank of International Settlement) also proposed an amendment to the 1988 Basle Capital Accord, "Amendment To The Capital Accord To Incorporate Market Risks," published in January 1996. The revised method is called the standardized measurement method of risk.The second part of my thesis applies those methods to evaluate the risks of three different hypothetical portfolios in Taiwan: a stock portfolio, a bond portfolio, and a portfolio composed of both stocks and bonds. The calculation of VARs becomes very complicated if the underlying portfolio also contains derivative assets. Since historical data for options and warrants are not available in Taiwan, options and other derivatives are not included in my experiments. Nevertheless, I still discuss how VAR should be estimated when options are included in the portfolio. The simulation results show that the risk estimate of internal models will be smaller than that based on the standardized measurement. The risk estimates, however, vary as the parameters (e.g., the holding period, confidence intervals,etc.) changes. Thus, identifying the best measure among these methods for calculating the VAR is difficult.
35
Yang, Hui-Ling, and 楊慧凌. "The Study on the Securitization ofFinancial Assets Markets in Taiwan－Application Monte Carlo Simulation." Thesis, 2004. http://ndltd.ncl.edu.tw/handle/20305803284676119881.
Abstract:
碩士中原大學
會計研究所
92
The securitization of financial assets in Taiwan has just been established since 2001. The relevant academic studies only focused on the system of the securitization of the financial assets in well-established countries. However, there are few literature concerning the issuing system of securitization, including the analysis of contract content of the product design, the evaluation reports of credit risk, the measurement of risk, and the return of the investors which will impact the development of domestic financial markets in Taiwan, these factors motivate the author to investigate the securitization of financial assets in Taiwan. Through the comparative analysis method, this study attempts to analyze the market system and the standardization of the contract content in order to promote the securitization of financial assets for investors to enlarge capital markets in Taiwan. Additionally, this work explores the portfolio value of the bonds under the securitization of financial assets by simulating the alternative paths to meet the market’s demand. Based on JP Morgan’s Credit Metrics, this investigation uses the Monte Carlo Simulation method to measure the risk of the securitization of financial assets. The risk factors are simulated by ten thousand times in order to obtain the optimum value of the portfolio and find the distribution of the parameters for the markets. The conclusion of this study is summarized as follows. 1.If the portfolio only comprises a single beneficiary security for investors, through the evaluation of credit risk, valuation and calculation the value of the portfolio after one year. The results indicate that the smaller the standard deviation of the beneficiary securities’s value is, the smaller the risk of beneficiary securities is. 2.If the portfolio composes of two beneficiary securities for investors, which accounts for the fluctuation of the beneficiary securities’s value after one year is upon the comparison of the three portfolios of the beneficiary securities, the results show that twBBB and twA beneficiary securities have the highest value and the lowest risk. 3.If the portfolio consists of three beneficiary securities for investors, after the comparison of the rates of return on asset of the beneficiary securities issued by the three companies, the findings demonstrate that the accaccumulated rate of return of the twAA beneficiary securities issued by company No.2 is greater than that of the other two beneficiary securities. 4.To creat a simulation situation by ten classes of return of asset of the simulative situation, this work compares the simulation result with that is obtained in conclusion 3, this syudy obtains a new evaluation level of credit risk, a new valuation of beneficiary securities and a new distribution of the value of the portfolio. According to the distribution chart, the investors can calculate the value of the portfolio based on the percentile methods.
36
"Asset price volatility in South African markets during financial crises." Thesis, 2012. http://hdl.handle.net/10210/7830.
Abstract:
Ph.D.This thesis investigates the impact of domestic and foreign financial crises on volatility dynamics in South Africa. In a sample ranging from January 1994 to March 2009, Chapter 2 provides empirical support for the theory that domestic currency crises are associated with significant structural changes in daily exchange rate volatility. Speciacally, crisis periods coincide with large positive shifts in unconditional variance. Using this fact, we propose a new method - the structural change generalised conditional heteroskedasticity, or SC-GARCH, model - for identifying precise start- and end-dates for crises. Chapter 3 studies volatility transmission within SA from October 1996 to June 2010. Using a generalised version of the vector autoregressive (VAR) approach, time-varying and bidirectional volatility spillover indices are esti- mated for domestic currency, bond and equity markets. The results identify equities as the primary source of volatility transfer to other asset classes. At di erent points in time, spillovers are responsible for anywhere between 7.5 and 65 percent of system-wide volatility. Local maxima in spillover magni- tudes are estimated during domestic, as well as foreign crisis periods. Chapter 4 estimates time-varying comovement between SA and world volatilities during the period from 1994 to 2008. A dynamic factor model (FM) is used to extract three latent global volatility factors from a data panel which is representative of the world equity market portfolio. Relative to most other emerging markets, the global factors are poor predictors of volatility in SA. However, SA's comovement with global volatility increases sharply in response to emerging market crises in Asia (1997-8) and Russia (1998). The global factors are also important determinants of domestic volatility during the latter stages of the US subprime crisis (2007-8). Chapter 5 proposes the factor-augmented VAR as a parsimonious model for the transmission of foreign volatility shocks to SA equities. We compare international volatility transmission resulting from crises in Asia (1997-8) and the US (2007-8). Although the US crisis has a larger impact on the world equity market, the Asian shock leads to more dramatic increases in volatility in emerging economies, including SA.
37
Cheng, Yu-Ting, and 程于庭. "Missing Data Imputation Methods Comparisons in Optimal Assets Allocation – The Empirical Analysis in Taiwan Equity Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/27962074695257804536.
Abstract:
碩士淡江大學
統計學系碩士班
101
Data missing is a prevail problem for most of the data analysis. This thesis mainly focuses on how the remedy strategies, data imputation, could affect the optimal assets allocation problems. At first, 10%, 30% and 50% data are removed artificially and randomly from a complete data set. Then four different methods, mean, EM, Regression and MCMC, are employed to impute the data respectively. Then the four imputed data sets are adopted by the optimal assets allocation problems by incorporating the input from three mean estimation models and two variance estimation models. Empirical evidence shows that EM method outperforms the rest imputation methods in terms of the accuracy. Although not as good as EM method, Regression method also performs well especially compare with MCMC method. Mean estimation is quite sensitive to the extreme data and hence is unstable and not recommended. Besides, the investment performance through the aforementioned four imputation methods in optimal assets allocation problems follow the same pattern in terms of the cumulative rate of return. It identifies the importance of the imputation methods in the optimal assets allocation problems application.
38
Lee, Cheng-Hsun, and 李政勳. "Bootstrap Variance Estimation Methods Comparisons in Optimal Assets Allocation – the Empirical Analysis in Taiwan Equity Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/17950874753017385849.
Abstract:
碩士淡江大學
統計學系碩士班
101
Optimal assets allocation problem has become a critical issue in wealth management and it leads to the mathematical quadratic optimal problems. The key factors of making the “optimal” working are the input parameters’ accuracy. This thesis focuses on only one of the inputs, the variance estimation. By incorporating the well known GARCH model, the traditional sample variance estimation along with two other bootstrap variance estimation models, CB and PRR, are employed and applied to the optimal assets allocations problem in this research. Empirical results suggest that a risk averter should adopted CB bootstrap variance estimation method and a risk taker should adopted PRR bootstrap variance estimation method in constructing their optimal portfolios.
39
Huang, Chien-Ta, and 黃建達. "Comparisons of Mean Estimation Methods in Optimal Assets Allocation – the Empirical Analysis in Taiwan Equity Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/77921062507653134362.
Abstract:
碩士淡江大學
統計學系碩士班
101
Mean estimation models of the expected rate of returns have been played an important role in financial related area academically and practically. Three estimation models are studied and employed in Taiwan’s Stock Market. Empirical data collected in this study are put into two parts - the monthly and daily data. The monthly data for the study period was from January 1991 to December 2010, with the monthly return in 20 year period in a total of 840 securities; and the daily data for the study period was from January 2007-December 2011, with the daily return in five year period in a total of 840 securities. Empirical results show that we can get better results in the planning process by selecting corporate securities that holds the company number between 10-20 in the Taiwan stock market, and by using the capital asset pricing model or Fama & French (1993) three-factor model as the expected return estimation model, along with the variance - covariance matrix as the imported asset allocation optimization.
40
Nyanga, Taguma. "The relationship between financial development and cost of equity capital in African emerging and frontier markets." Thesis, 2017. https://hdl.handle.net/10539/26102.
Abstract:
Submitted in accordance with the requirements for the degree
of
Master of Management
in the subject
Finance and investments
at the
University of Witwatersrand
2017Although many studies have been done to determine the relationship between financial development and cost of equity capital in various markets, few have focused on the African emerging and frontier markets. This research therefore investigates the relationship between financial development and cost of equity capital in the African Emerging and Frontier Markets. Stock market development and banking sector development are both used as proxies for financial development in this study whilst cost of equity is determined using CAPM. The study is based on five emerging and frontier markets (Egypt, Kenya, Morocco, Nigeria and South Africa). The research finds that both measures of stock market development (stock market capitalisation to GDP ratio and stock market liquidity/turnover to GDP ratio) tend to reduce cost of equity in the African emerging and frontier markets. In a similar fashion, the banking sector development was also found to be negatively related to cost of equity
MT 2018
41
Wu, Chih-Lin, and 吳致霖. "Comparisons of High Frequency Data by Copula Methods in Optimal Assets Allocation – the Empirical Analysis in Taiwan Equity Markets." Thesis, 2015. http://ndltd.ncl.edu.tw/handle/853t7p.
Abstract:
碩士淡江大學
統計學系碩士班
103
How to get the information and analyze is one of the most important issue in financial market. This research devotes to providing the investors the proper investment strategies through the optimal asset allocation. There are several aspects need to be considered before one could approach the optimal strategies. First of all, the inputs of the objective function are the key ingredients to reach the minimum risk. Secondly, the marginal densities fitness of the assets and the correlation between the assets could fine tune the input estimation if the statistical methods are used properly. At last, the data frequency is also another ingredient of information. Different data frequency provides different microstructure information, therefore, lead to a different strategy. To achieve the goal, this research adopts the best fitted asset return marginal distribution out of six marginal densities, Generalized Pareto distribution. Two copula models (normal copula and T copula) are incorporated to catch the correlation between the assets. Different portfolio sizes and rolling agenda settings are investigated. Using intra-day 5 minutes high frequency data, it is found empirically that the optimal portfolio return can be reached at portfolio size 25, adopting Generalized Pareto distribution and normal copula model, rolling out and reinvesting weekly.
42
Chang, Pei-Hsiang, and 張沛翔. "Comparisons of Ultra High Frequency Data Variance Estimation Methods in Optimal Assets Alloction – the Emprical Analysis in Taiwan Equity Markets." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/x4m765.
Abstract:
碩士淡江大學
統計學系碩士班
101
In recent years, the related research of high-frequency and ultra high-frequency financial data has drawn a lot of attention since its abundant information. In high-frequency data era, people are able to master more complicated information, analyze and explore the sufficient information. Therefore, high-frequency financial data has become a popular research field.This study investigates the incorporation of ultra-high frequency data with variance estimation in efficient mean-variance portfolio model for optimal assets allocation problem. Three mean estimation models (sample mean, the capital asset pricing model, three-factor model) and three variance estimation models (sample variance, exponentially weighted moving average, realized volatility) are used as the input in our optimal assets allocation problems. It identifies how the use of ultra-high frequency data incorporates variance estimation will impact on investment performance in terms of cumulative rate of returns. Different portfolio size effects are also studied. Empirical results shows that the portfolio uses ultra-high frequency data to estimate variance through Andersen’s realized volatility model for optimal asset allocation problems can quickly reflect market’s fluctuation in the next bull market within a short period and lead to profit gain.
43
Lin, Wei-Chih, and 林威志. "The Analysis of the Interaction of ETF and related Financial Assets in the Bull and Bear Markets—Polaris Taiwan Top 50 Tracker Fund." Thesis, 2011. http://ndltd.ncl.edu.tw/handle/82889543534601942618.
Abstract:
碩士國立臺灣大學
經濟學研究所
99
This paper investigates the interaction of ETF (Exchange Traded Funds) and related financial assets in the Bull and Bear markets. In this study, empirical data included Polaris Taiwan Top 50 Tracker Fund, Taiwan stock index, Taiwan stock index futures and Taiwan 50 index from January 2, 2006 to January 21, 2009. The model is derived from the quantitative method such as Unit Root Test, Chow Test, Cointegration Test, Granger causality Test, Vector Error Correction Model, Impulse function and Variance decomposition Model. Following conclusions can be drawn from this empirical result: In the aspect of the long term equilibrium, there exists the long term equilibrium relationship between ETF and related financial assets. This result corresponds to the One of Price Theory. However, derived financial assets could be more efficient than the spot markets. Previous hypotheses could explain this result. The results from Vector Error Correction Model and Granger causality Test show that:(1)ETF exists no significant lead relationship between other financial assets in the Bull market.(2)However, ETF leads other assets in the Bear markets. The features of Power value stock might explain the phenomenon. In the Variance decomposition Model, Taiwan stock index futures has more powerful to explain Taiwan stock index than ETF in Bull market. However, ETF could explain the majority of Taiwan index.
44
Vidal, Tiago Alexandre da Cruz. "How exchange platform attacks impact the cryptocurrency and traditional markets." Master's thesis, 2020. http://hdl.handle.net/10400.14/29858.
Abstract:
Bitcoin and cryptocurrencies surged in mainstream attention in recent years. That widespread interest causes crypto-based exchange platforms to be a prime target of hacker attacks where funds are stolen from investors. Following an event study methodology, we aim to establish a relationship between these exchange platform attacks and cryptocurrencies’ returns. We study several event windows across 4 different estimation periods and calculate abnormal returns based on two models (Mean and market Adjusted). We find significant negative mean CAR results for the [-2,3] event window across the 120- and 60-days estimation periods for the full sample. Moreover, we find significant negative impact, for some event windows, for Ethereum and Altcoin based attacks. However, we do not find statistically significant results for the Bitcoin sub-sample under both models. Nevertheless, we show significant results between abnormal returns and cryptocurrencies based on the same algorithm group of the currency stolen in that exchange attack. We reconfirm the significant opposite relationship between Bitcoin and Ethereum, the two biggest currencies in the market, during these shock periods. We also find significative results between payment companies returns and crypto abnormal returns. This thesis is the first to draw conclusions between security breaches, cryptocurrency returns, and traditional assets.Bitcoin e outras cripto moedas têm sido alvos de maior atenção pública. Esse interesse generalizado faz com que as plataformas de trading dedicadas a cripto moedas sejam alvos primordiais de ataque, em que os ativos são roubados por hackers. Seguindo a metodologia de estudo de eventos, pretendemos estabelecer uma relação entre os ataques a estas plataformas e os retornos destas cripto moedas afetadas pelos ataques. Aplicamos várias janelas de evento How Exchange Platform Attacks impact the cryptocurrency market vs traditional investments 3 com 4 períodos de estimação diferentes e calculamos os retornos anormais baseados em dois modelos (Média e Mercado ajustado). Encontramos resultados significativos para o CAR médio negativo na janela de evento [-2,3] dentro dos períodos de estimação de 120 e 60 dias tendo em conta toda a amostra de eventos. Para além disso, encontramos um impacto negativo, significativo estatisticamente, para algumas janelas de eventos nas amostras de ataques a Ethereum e Altcoins. No entanto, não chegamos a resultados significativos em ambos os modelos para a amostra de ataques a Bitcoin. Porém, encontramos resultados significativos entre os retornos anormais e cripto moedas do mesmo tipo de algoritmo que foram alvo de roubo nos ataques. Reconfirmamos a relação oposta dos retornos de Bitcoin e Ethereum, as duas maiores moedas no mercado, durante estes períodos de choque. Encontramos, também, uma relação significativa entre os retornos anormais e os retornos de empresas de pagamentos. Esta tese é o primeiro estudo a estabelecer conclusões entre estas violações de segurança, os retornos de cripto moedas, e ativos financeiros tradicionais.
45
Georgiev, Georgi Y. "Volatility in the futures markets for financial and physical commodity assets: The impact of high frequency data on the distributional properties and forecasting of volatility, direction -of -change probability forecasting and asymmetric volatility effects." 2007. https://scholarworks.umass.edu/dissertations/AAI3254896.
Abstract:
This dissertation examines the impact of high frequency data in volatility measurement on the distributional properties and predictability of futures market volatility, direction-of-change probability forecasting using the dynamics of volatility and the presence of asymmetric volatility effects. Chapter 1 studies the distributional properties of returns and volatility in 33 futures markets and their implications for asset allocation, risk management and asset pricing. In particular, the focus is on realized volatility estimated from high frequency intraday returns and returns standardized by realized volatility. Returns standardized by realized volatility are approximately normal as is logarithmic realized volatility. Based on the statistical distribution analysis, time series forecasting models for logarithmic realized volatility are estimated and evaluated. In Chapter 2, I study the direction-of-change predictability in futures markets based on the dynamics of volatility and the economic value of such predictability. I extend previous research in a number of ways. First, I study direction-of-change predictability based on conditional volatility, skewness and kurtosis in a diverse selection of international currency, equity, financial and physical commodity futures markets. Second, I use the highly efficient measure of realized volatility based on high-frequency intraday returns. Third, I use the SEMIFAR model to forecast conditional volatility. Finally, I examine the economic value of sign predictability in market timing trading strategies. I find that volatility dynamics can successfully be used to forecast signs across a large number of futures markets. In low volatility periods, forecasting models using volatility dynamics generally outperform a baseline model which uses historical probability. Trading strategies based on sign forecasting through volatility dynamics produce performance comparable but not highly correlated to that of a common trendfollowing strategy. In Chapter 3, I study asymmetric volatility in physical commodity futures markets using high frequency data to construct efficient volatility measures at the daily and monthly horizons. The findings indicate that asymmetric volatility effects in futures markets are generally consistent with the size and the sign of net speculative interest in these markets. Volatility asymmetry is consistently present in certain markets, consistently absent from other markets and intermittently present and absent in a third group of markets.
46
Maina, Peter Njuguna. "Fair value reporting challenges facing small and medium-sized entities in the agricultural sector in Kenya." Diss., 2010. http://hdl.handle.net/10500/4093.