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Dissertations / Theses on the topic 'Random Walk Hypothesis'
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Boutaud, Pierre. "Branching random walk : limit cases and minimal hypothesis." Thesis, université Paris-Saclay, 2020. http://www.theses.fr/2020UPASM025.
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La marche aléatoire branchante est un système de particules sur la droite réelle où partant au temps 0 d’une particule initiale en position 0, chaque particule vivante au temps n meurt au temps n + 1 en donnant indépendemment naissance à un nombre aléatoire de particules se dispersant aléatoirement autour de la position de la particule parente. Dans un premier chapitre introductif, nous définissons en détails le modèle de la marche aléatoire branchante ainsi que certains des enjeux de la recherche autour de ce modèle, notamment l’étude de la martingale additive. Cette martingale peut-être étudié au travers de sa convergence vers une limite triviale ou non ainsi que l’étude d’une renormalisation appropriée, dite de Seneta-Heyde, lorsque cette limite est triviale. Elle peut aussi être étudiée au travers d’équations récursives stochastiques menant à des équations de points fixes en loi. Cette dernière question correspond à des travaux non-publiés effectués en première année de thèse en continuité avec ceux effectués en mémoire de master. Le second chapitre est une traduction en anglais de certaines sections du précédent chapitre pour faciliter la compréhension de certains lecteurs sur les points importants de cette thèse.Dans un troisième chapitre nous présentons une nouvelle méthode de preuve développée avec Pascal Maillard pour le théorème d’Aïdékon et Shi sur la renormalisation de Seneta-Heyde de la martingale additive critique dans le cas où la marche de l’épine admet une variance finie. Cette nouvelle preuve se passe du recours à un lemme d’épluchage et à des calculs de seconds moments pour lui préférer une étude de la transformée de Laplace conditionnée. Les propriétés des fonctions de renouvellements permettent une approche plus générale qui ne demande pas de s’attarder en particulier sur la martingale dérivée. Ceci est d’ailleurs illustré dans le quatrième chapitre où dans de nou veaux travaux avec Pascal Maillard, nous trouvons la renormalisation de Seneta-Heyde de la martingale additive critique dans le cas où la marche de l’épine est dans le domaine d’attraction d’une loi stable. On voit alors que les fonctions de renouvellement nous fournissent un candidat mieux adapté à cette étude que la martingale dérivée, qui n’est plus toujours une martingale dans ce nouveau contexte.Enfin, le cinquième chapitre étudie la question de l’optimalité des hypothèses faites dans le chapitre précédent quant à la trivialité ou non de la limite obtenue après renormalisation de Seneta-HeydeThe branching random walk is a particle system on the real line starting at time 0 with an initial particle at position 0, then each particle living at time n proceeds to die at time n+1 and give birth, independently from the other particles of generation n, to a random number of particles at random positions. In a first chapter, we define in details the branching random walk model and some key elements of the scientific research on this model, including the study of the additive martingale. This martingale can be stuided through its convergence towards a limit that may be trivial, raising the question of an appropriate scaling, called Seneta-Heyde sclaing, in the case the limit is trivial. The additive martingale can also be studied with stochastic recursive equations lezading to fixed points equations in law. This latter question is adressed in some unpublished works from the first year of PhD, in continuioty with works from the masters thesis. The second chapter is a translation in english of some sections of the preivous chapter so that every reader can grasp the key elements and goals of this manuscript.In a third chapter, we present a new proof developed with Pascal Maillard for Aîdékon and Shi's theorem on the Seneta-Heyde scaling of the critical additive martingale in the finite variance case. This new proof no longer need a peeling lemma and the use of second moment arguments and prefers studying the conditional Laplace transform. the properties of some renewal functions allow a much more general approach without the need to foucs to much on the derivative martingale. This is also illustrated in a fourth chapter where in new works with Pascal Maillard, we find the Seneta-Heyde scaling for the critical additive martingale in the case where the spinal random walk is in the attraction domain of a stable law. We then observe that the renewal functions provide us with a better suited candidate for this study than the derivative artingale, which is no longer always a martingale in this context.Finally, the fifth chapter focus on the question of the optimality of the assumptions made in the preivous chapter concerning the non-triviality of the limit obtained with the Seneta-Heyde scaling
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Alves, Gonçalo Filipe Rodrigues. "Testing the random walk hypothesis with technical trading rules." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/10939.
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Mestrado em FinançasNeste trabalho são testadas as hipóteses de passeio aleatório ao mercado acionista português, examinando as dezoito ações e o índice PSI-20. Considerando cotações diárias e mensais durante o período de 1999-2015. Foram utilizados os testes Augmented Dickey-Fuller (ADF), os testes de rácio de variância automático assim como os rácios de variâncias individuais e múltiplos propostos por Lo e Mackinlay, e Chow e Denning, respetivamente. Os vários testes utilizados para confirmar a hipótese de passeio aleatório das dezoito ações assim como do índice PSI-20, obtiveram resultados mistos contra a hipótese testada. Enquanto o teste Augmented Dickey-Fuller (ADF) rejeitou a hipótese de raiz unitária para todas as ações e também para o índice PSI-20 confirmando assim um passeio aleatório. Por outro lado, os testes de rácios de variâncias, rejeitam a hipótese testada para algumas das ações consideradas assim como para o índice PSI-20, contudo tende esse número de ações tende a diminuir quando se utiliza as cotações mensais.
This paper investigates the efficiency of the eighteen stocks that constitute the main Portuguese stock index, the PSI-20 of the Lisbon Stock Exchange. Tools used for the investigation were daily and monthly data from January 1999 to May of 2015, using the Augmented Dickey-Fuller (ADF) test, the automatic variance ratio by Choi and the individual and multiple variance ratios, by Lo and Mackinlay, and, Chow and Denning, which test the efficiency of the eighteen stocks and PSI-20 index. The Augmented Dickey-Fuller (ADF) tests the null hypothesis that the series has a unit root, while the variance ratio tests the random walk hypothesis. Based on these tests, the results provide mixed evidence against the random walk hypothesis. The results for the unit root tests do not reject the efficient market hypothesis for the entire sample, while the results from the variance ratio tests do, but tend to decrease in monthly data.
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Lains, João Luís da Silva. "Testing the random walk hypothesis with variance ratio statistics." Master's thesis, Instituto Superior de Economia e Gestão, 2015. http://hdl.handle.net/10400.5/11801.
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Mestrado em FinançasEsta dissertação tem como objetivo testar a hipótese de passeio aleatório na curva das yields relativa ás obrigações do tesouro dos Estados Unidos da América para o period entre 1980 e 2014. Para alcançar este objetivo e após revisão da literatura foram efectuados testes de variância e de raiz unitária considerados os mais indicados e poderosos. Os dados necessários para a realização deste estudo foram recolhidos tendo por base um estudo da Reserva Federal dos Estados Unidos da América, que efectua cálculo das yields desde 1961 até ao presente. O método escolhido para obter os resultados referentes à raiz unitária foi o Augmented Dickey-Fuller Unit Root Test e para os testes de variância foram usados: Chow Denning (1993) multiple variance test, Joint wright multiple version of Wrights rank and sign tests e Choi (1999) Automatic Variance ratio. A amostra inclui mais de 8000 observações para cada uma das yields estudadas(1,5,10 e 20 anos Zero-Coupon e Par Yields) durante um período de 34 anos. Os resultados permitiram a detecção de diversos periodos em que o passeio aleatório nas yields das obrigações do tesouro Norte-Americano é real mas também outros em que isso não se verificou. Para isso efectuámos uma análise comparativa entre os resultados dos testes de variância e eventos marcantes na economia americana entres os quais decidimos destacar 3 períodos: a década de 80, a expansao económica dos anos 90 até inicio do século XXI e o pós-crise de 2008 onde é implementado o quantitative Easing.
The random-walk hypothesis in the U.S. treasury yield curve was not previous studied and is surprising that researchers do not filled that void by testing it. However, the U.S treasury securities market is a benchmark, as the U.S treasury is considered to be risk-free. This benchmark is used to forecast economic development, to analyse securities in other markets, to price other fixed-income securities and to hedge positions taken in other markets. This study applies Chow Denning (1993) multiple variance test, Joint wright multiple version of Wright?s rank and sign tests, Choi (1999) Automatic Variance ratio Test and we also use the well-known Augmented Dickey-Fuller unit roots test to enable us to define the methodology to be used in the study. The database used permits the estimation of relative daily variation on U.S. treasury yield curve from January 1980 to December 2014. We hope that this analysis can provide useful information to traders and investors and will make a contribution in assisting to understand the pattern and behaviour of yields movement.
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Reschenhofer, Erhard, and Michael A. Hauser. "Tests of the Efficient Markets Hypothesis." Austrian Statistical Society, 1997. http://epub.wu.ac.at/6613/1/541%2DArticle_Text%2D1535%2D1%2D10%2D20160403.pdf.
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This paper surveys various statistical methods that have been proposed for the examination of the efficiency of financial markets and proposes a novel procedure for testing the predictability of a time series. For illustration, this procedure is applied to Austrian stock return series.
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Kneafsey, Kevin Patrick. "Two essays in finance: A test of the random walk hypothesis An examination of covered call strategies." Diss., The University of Arizona, 1999. http://hdl.handle.net/10150/284002.
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The Random Walk Hypothesis (RWH) when applied to stock prices makes strong statements about such things as serial correlation and momentum in stock returns and about the information carried in the path of the stock price. Its significance to Finance has motivated many tests of the RWH. This paper, using data from 1963-1997, tests the RWH and then evaluates those tests using simulated data. We find that the data reject the RWH and that rejections are stronger using NASDAQ firms than they are with NYSE/AMEX firms. The time series properties of the rejection of the RWH suggest that recently prices more closely conform to the properties of a random walk than they did in the more distant past. The simulation results show that if the true underlying price process is a random walk, market imperfections such as price discreteness are sufficient to reject the random walk hypothesis. The time series properties of the rejection of the RWH are consistent with a narrowing of the bid ask spread through time. Covered call strategies are touted as win-win strategies. If share prices rise strongly then shares are sold and the gain is locked in. If share prices are flat or fall then the premiums from the sale of the call options act as additional income to supplement the poor performance of the stocks. The last two chapters in this paper compare covered call strategies to a simple buy and hold strategy, using data from 1989-1998. The results show that the buy and hold strategy out-performs the covered call strategy over this period even after adjusting for systematic risk and co-skewness with the market. Empirical comparisons of buy and hold and covered call strategies are period dependent and difficult to generalize as market performance plays a key role. Bootstrapping and simulation provide control over market returns. Both simulated and empirical analyses consider transactions costs and taxes as well as account for the different risk assumed under each strategy.
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Chitenderu, Tafadzwa Thelmah. "Testing random walk hypothesis in the stock market prices: evidence from South Africa's stock exchange (2000- 2011)." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1006931.
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The Johannesburg Stock Exchange market was tested for the existence of the random walk hypothesis using All Share Index (ALSI) and time series data for the period between 2000 and 2011. The traditionally used methods, the unit root tests and autocorrelation test were employed first and they all confirmed that during the period under consideration, the JSE price index followed the random walk process. In addition, the ARIMA model was built and it was found that the ARIMA ( 1, 1, 1) was the model that best fitted the data in question. Furthermore, residual tests to help determine whether the residuals of the estimated equation show random walk process in the series were done. It was found that the ALSI resembles series that follow random walk hypothesis with strong evidence of RWH indicated in the conducted forecasting tests which showed vast variance between forecasted values and actual indicating little or no forecasting strength in the series. To further validate the findings in this research, the variance ratio test was conducted under heteroscedasticity and it also strongly corroborated that the existence of a random walk process cannot be rejected in the JSE. It was concluded that since the returns follow the random walk hypothesis, it can be said that JSE is efficient in the weak form level of the EMH and therefore opportunities of making excess returns based on out- performing the market is ruled out and is merely a game of chance. In other words, it will be of no use to choose stocks based on information about recent trends in stock prices.
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Sherman, John. "The Efficient Market Hypothesis, the Financial Instability Hypothesis, and Speculative Bubbles." Thesis, Boston College, 2014. http://hdl.handle.net/2345/3887.
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Thesis advisor: Harold PetersenAccording to the Efficient Market Hypothesis (EMH), speculative bubbles do not exist and are impossible. We disagree. If prices are the only observable component of an asset’s value, and they themselves are an aggregated consensus of perceived value, then what about the Efficient Market Hypothesis (EMH) is testable? Rather than assume that prices always reflect value (i.e. perfect market efficiency), we maintain that markets are efficient to the extent that one can be confident that tomorrow’s prices will not diverge dramatically or arbitrarily from today’s prices, absent significant new information. Speculative bubbles are not materializing every day, every month, or even every year. But they do have the potential and indeed a tendency to occur from time to time. If markets are efficient, what explains all the trading? Rather than assume rational expectations and a homogenous investor class, we assume four investor classes that diverge in their perception of value (i.e. in their expectation of future returns) and thus trade with each other. Using insights from Hyman Minsky’s Financial Instability Hypothesis (FIH), we develop a theoretical framework for how a speculative bubble might materialize within a modern capitalist economy with securities markets’ that follow a random walk. Obviously, there is no “bubble” variable. We use Tobin’s Q, the ratio of the price of an asset to its replacement cost, and Shiller’s cyclically adjusted P/E ratio as proxy variables for bubbles. We find statistically significant, negative relationships between both of these proxy variables and our dependent variable, Ten Year Cumulative Returns, thereby providing evidence against the EMH and suggesting the possibility of speculative bubbles
Thesis (BA) — Boston College, 2014
Submitted to: Boston College. College of Arts and Sciences
Discipline: Economics Honors Program
Discipline: Economics
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Axman, Lundbom Fredric, and Edward Nguyen. "En eventstudie om abnormal avkastning på spelsläpp hos svenska spelutvecklarbolag." Thesis, Södertörns högskola, Företagsekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-45586.
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This essay examines the impact of game releases on the Swedish stock market. As previous research has examined product launches and news releases, this thesis intends to investigate game releases by game developer companies such as developers of computer, console or mobile games. Previous research has been based on a business perspective and business valuation, the authors of this thesis intend to examine the individual investor's perspective. The theoretical framework consists of information asymmetry, the signaling model, the effective market hypothesis, random walk hypothesis and market reaction to new products. The study has chosen a deductive quantitative research approach with the event study method. The sample consists of 14 game developer companies in computer, console and mobile games during theperiod 2017–2021 that are listed on the Swedish market, which were observed during a period of 180 days before the event day and 40 days after. The results showed that there is a statistically significant relationship before, after and during the event day for game releases.The period during and after the event day can also be generalized where 9/14 respective 10/14 game developer companies showed statistically significant within the accumulated abnormal return.Denna uppsats undersöker påverkan av spelsläpp på den svenska aktiemarknaden. Då tidigare forskning har undersökt produktlanseringar och nyhetssläpp ämnar denna uppsats att undersöka spelsläpp av spelutvecklarebolag som utvecklar PC-, konsol eller mobilspel. Tidigare forskning har utgått från ett företagsperspektiv och företagsvärdering, författarna för denna uppsats ämnar undersöka den individuella investerarens perspektiv. Det teoretiska ramverket består av informationsasymmetri, signaleringsmodellen, den effektiva marknadshypotesen, random walk hypothesis och marknadsreaktion till nya produkter. Studien har en deduktiv kvantitativa forskningsansats med eventstudie metoden. Urvalet består av 14 spelutvecklarebolag inom dator-, konsol- och mobilspel under tidsperioden 2017–2021 som är börsnoterade på den svenska marknaden. Dessa bolag observerades under en tidsperiod 180 dagar innan eventdagen och 40 dagar efter. Resultatet visade på att det finns ett statistiskt signifikant samband innan, efter och under eventdagen för spelsläpp. Perioden under och efter eventdagen kan även generaliseras där 9/14 respektive 10/14 spelutvecklarbolag visade på statistisk signifikant inom den ackumulerade abnormala avkastning.
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Gustafsson, Dan. "The Validity of Technical Analysis for the Swedish Stock Exchange : Evidence from random walk tests and back testing analysis." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Economics, Finance and Statistics, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18427.
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In this paper I examine the validity of technical analysis for the Swedish stock index OMXS30 between 2001-12-28 and 2011-12-30. Results indicate that OMXS30 followed a non-random walk and that technical trading rules had predictive power over future price movements. Results also suggest that technical trading rules could be used to outperform a buy-and-hold strategy.
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Salimi, Sofla Amin. "Correlation of Returns in Stock Market Prices : Evidence from Nordic Countries." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-39330.
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Forsman, Viktor, and Jonathan Jonsson. "POST-ANNOUNCEMENT-DRIFT : EN KOMBINATION AV PASSIV- OCH AKTIV FÖRVALTNINGSTRATEGI." Thesis, Umeå universitet, Företagsekonomi, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-172949.
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Problembakgrund & problemdiskussion: Att som professionell investerare lyckas överavkasta sitt jämförelseindex år efter år är lättare sagt än gjort. Oavsett vilken strategi en förvaltare använder sig av kan det vara svårt att kontinuerligt lyckas prestera bättre än marknaden. Författarna av denna studie har blivit inspirerade av anomalin PEAD, postearnings-announcement-drift. Den visar att om ett bolag överraskar positivt (negativt) har aktiekursen en tendens att stiga (falla) ett tag efter att den nya informationen har presenterats. Problemformulering: Är det möjligt att kombinera indexplacering med PAD i samband med rapporter för att nå överavkastning gentemot OMXS30-index? Vilken tidsperiod av tre, fem eller tio dagar är det i genomsnitt mest lukrativt att hålla aktien under rådande strategi? Syfte: Studiens huvudsyfte är att se om en kombination av aktiv förvaltning grundat på PEAD tillsammans med en passiv förvaltning i en börsfond som följer OMXS30, skulle lyckas överavkasta mot OMXS30. Studiens delsyfte är att se vilken av tidsperioderna tre, fem eller tio dagar som kan generera största avkastning. Författarna vill med denna studie kunna ge professionella investerare en stabil strategi som över tid visar sig överavkasta jämförelsebart index på ett kostnadseffektivt sätt och utan att ta allt för stor risk. Teori: Studien behandlar teorier kopplat till Post Earnings Announcement Drift (PEAD) som sedan sätts i kontext med en genomgång av de etablerade teorierna om den effektiva marknadshypotesen och random walk. Som i sin utformning motsätter sig att en strategi byggd på PEAD ska kunna bringa överavkastning. Metod: Studien använder sig av en kvantitativ metod med en deduktiv ansats. Aktiedata är inhämtad från bolag som ingått i OMXS30 under perioden 2010–2019. Studien har testat om strategin har överavkastat gentemot studiens utvalda referensindex. Empiri/analys: Studiens resultat har ett empiriskt stöd för att PAD3 har en signifikant överavkastning gentemot OMXS30. Medan PAD5 och PAD10 visade sig inte ha en statistiskt säkerställd överavkastning mot OMXS30. Författarna har vidare funnit intressanta resultat som starkt pekar mot att strategin presterar starkt under en negativ marknad. Slutsats: Strategin visade sig ha starka bevis att motsäga random walk då ett återupprepande prismönster gick att finna i studiens resultat. Trots att majoriteten av resultaten av de statistiska testerna inte var signifikanta ställer sig författarna även tveksamma till den effektiva marknadshypotesen. Strategin med den kortaste aktiva förvaltningen överavkastade index med över 150% vilket bör kunna ses som ett tecken på att marknaden inte till fullo lyckas prisa in den nya information som presenteras i samband med då bolagen släpper rapporter.
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Tavares, Mariana Sertório da Câmara. "A eficiência dos mercados bolsistas na forma fraca - G7 e Portugal." Master's thesis, Universidade de Évora, 2017. http://hdl.handle.net/10174/21953.
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O objetivo principal desta dissertação é avaliar a hipótese de eficiência dos mercados na forma fraca, utilizando as cotações diárias dos principais índices bolsistas dos países pertencentes ao G7 e de Portugal. Foram utilizados testes de estacionariedade, de correlação linear e à independência temporal das séries. Pretende-se perceber se as séries em estudo exibem autocorrelação temporal, seja linear ou não-linear. Os resultados apontaram para a evidência de memória, havendo indícios para a rejeição da eficiência na forma fraca dos 8 índices bolsistas; Weak form of Efficient Market Hypothesis – G7 and Portugal
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The main objective of this dissertation is to evaluate the efficiency market hypothesis on its weak form, using the daily prices of the main stock indexes of the G7 and Portugal. We perform several statistical and econometric tests, linear autocorrelation tests and serial independence tests. It is intended to understand if the series under analysis exhibit serial autocorrelation, either linear or non-linear. The results pointed to evidence of serial memory, which somehow may be an indication to the rejection of efficiency in the weak form of the 8 stock indexes.
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Пластун, Олексій Леонідович, Алексей Леонидович Пластун, Oleksii Leonidovych Plastun, and О. В. Дудкін. "Аномалії гіпотези ефективного ринку." Thesis, Сумський державний університет, 2012. http://essuir.sumdu.edu.ua/handle/123456789/64015.
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Розглядаються основні положення гіпотези ефективного ринку, її сильні та слабкі сторони. Наводяться приклади практичних обмежень та невідповідностей даної теорії. В результаті авторами було сформовано перелік типових аномалій гіпотези ефективного ринку.The paper discusses the basic propositions of the efficient market hypothesis, its strengths and weaknesses. The examples of the practical limitations and inconsistencies of this theory are provided. As a result, the authors generated a list of typical anomalies of efficient market hypothesis.
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Sjöstrand, Victor, and Kanstedt Albert Svensson. "Evaluation regarding the US fund market : A comparison between different US fund risk classes and their performance." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104549.
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The intent of this thesis is to investigate how US equity funds performance differ due to their standard deviation. In order to accomplish this study, we collected daily data for 99 US equity funds for the period 2011-2020 and divided the funds into three risk classification groups based on their standard deviation for the year 2011. The collected data was used to perform an CAPM regression and to calculate returns on a three-, five- and ten-year basis. The results for the regression and the returns for the funds was later presented as average values for the different risk classification groups. We then compared the average outcomes for the three risk classifications with each other and the index S&P 500. Our result showed that the index S&P 500 outperformed the three risk classification groups average returns for every time period. We also noticed that the difference between the average returns and the index got greater by time. We did not find any big differences between our risk classifications when it comes to their performance. Our regression analysis resulted in many negative alpha values indicating that S&P 500, as many previous studies claims, outperforms actively mutual funds. The conclusion is therefore that we could not show any evidence that the there is a major different in performance between our risk groups but also that it is difficult for fund managers to outperform index.
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Abdi, Abdirahman, and Renyuan Huang. "Market efficiency for two classes of stocks in China: state owned and private companies." Thesis, Umeå universitet, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-61803.
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The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world. By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency. To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets. The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.
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Yilmaz, Emre, and Shakir Husain. "Hitting a BRIC Wall : MIST countries becoming the new BRICs?" Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-18374.
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The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. The opportunities and challenges for Mexico, Indonesia, South Korea and Turkey are also brought upon to determine whether these countries have the potential to exhibit the same success as the BRIC countries did for a decade. Since the growth of the BRIC countries are slowing down, Jim O’Neill, the same founder of the term BRIC, coined the nations MIST. The BRIC countries are facing several difficulties and have led investors to draw out from these countries stocks. Investors that were pouring in money to the BRIC countries during the period 2001-2009, have from 2011, withdrawn 15 billion dollars from the BRIC stocks. Mexico, Indonesia, South Korea and Turkey. Derived from the next eleven countries, these countries have a major effect on the global economy due to their economical and political circumstances. For many investors, the MIST countries that are growing faster than the BRIC are regarded to be the new biggest emerging markets. Investing in BRIC funds are stated to be a disaster today, while on the other hand, the MIST countries are growing and outpacing the BRIC fund. The methodology used was to compare two different portfolios, Goldman Sachs N-11 equity fund in the period 2011-2013 against the Goldman Sachs BRIC fund in two different periods, 2011-2013 and 2006-2008 with S&P 500 as the market index. In addition, a hypothesis test was carried out for this period to observe whether or not to reject the null hypothesis. The results of this study shows that the null hypothesis was rejected and that the N-11 equity fund is a better investment decision, in terms of risk, return and growth today. These emerging markets are under the weak form market efficiency and the random walk theory is present in the N-11 equity fund. This makes the authors’ results more of a speculation than a definite conclusion about the future, as one cannot "beat the market".
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Henriksson, Albin. "Market efficiency and the financial crisis : A study based on the market efficiency in the Nordic countries." Thesis, Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO), 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:lnu:diva-104589.
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The efficient market hypothesis states that stock prices fully reflect availablei nformation and that stocks thereby always are priced correctly. Hence, it should be impossible to predict future prices in the stock market, and investors will gain no benefits from engaging themselves into historical analyzes. This is a quantitative study which aim to investigate if there is any difference in market efficiency in Nordic stock markets during and after the financial crisis of 2008. By applying various statistical methods, such as unitroot tests, autocorrelation tests and runs test on the returns from each country’s leading market index, the study tries to find evidence for or against the weak form of market efficiency. The study finds evidence both for and against weak form market efficiency but concludes that there is no distinct difference in market efficiency during and after the financial crisis.
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Karvonen, Fanny, and Emelie Johansson. "Cross Border M&A - Friskt vågat, något vunnet? : En eventstudie om 85 stycken företag på Stockholmsbörsen-Mid Cap." Thesis, Södertörns högskola, Institutionen för samhällsvetenskaper, 2020. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-41085.
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Förvärv av företag sker till höger och vänster, i alla länder, branscher och kategorier. Motiven till förvärv må vara av varierande art, men det som är av betydelse för ett företag är vilket värde ett förvärv kan generera. Denna studie undersöker marknadsreaktioner vid olika typer och kombinationer av förvärv; däribland horisontella, vertikala och branschspecifika förvärv, med huvudsaklig inriktning på värdet som skapas vid gränsöverskridande och nationella förvärv. Detta görs i syfte att kartlägga eventuella överlägsna typer av förvärv. Klassiska teorier i form av effektiva marknadshypotesen och “random walk”-teorin i kombination med insiderhandel utgör den vetenskapliga utgångspunkten i studien. Metoden är en eventstudie, där den abnormala avkastningen vid dessa förvärv beräknas, för att kunna analyseras i förhållande till tidigare forskning. Vidare testas studiens hypoteser med hypotesprövning och samband analyseras med hjälp av enkla linjära regressioner som sedan tolkas. Resultatet visar på att gränsöverskridande förvärv ger den högsta genomsnittliga kumulativa abnormala avkastningen (CAAR), och vidare är horisontella förvärv att föredra över vertikala av samma anledning. Offentliga sektorn och tjänstesektorn ger de högsta CAAR sett till branscher.Merger and acquisitions is happening everywhere; in all countries, industries and in all categories. The motives of acquiring other companies may differ, but what is truly meaningful is the value an acquisition can bring. This study deals with different types and combinations of acquisitions; amongst horizontal, vertical and industry specific acquisitions, with main focus on the value created in Cross Border and national acquisitions. The aim of the study is thereby to plot superior types of acquisitions. Classic theories like the Efficient market hypothesis and the Random walk theory will be used as a theoretical framework, along with the idea of Insider trading. The method used is an Event study, where the abnormal return is calculated at the announcement day of acquisition and is later analyzed in association to prior studies. Deduced hypothesis are then processed in hypothesis testing and correlations are being studied through simple linear regressions. The result show that Cross Border acquisitions give the highest value (CAAR) to acquirer and the horizontal acquisitions are superior to vertical ones for the same reason. The public sector and the service sector yield the highest CAAR when industries are being studied.
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Mattsson, Henrik, and Jonas Vikström. "Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?" Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-45940.
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This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies? The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. The research was conducted with a positivistic philosophy in conjunction with a realistic approach. Since the research question has been deducted from the theoretical framework the research has a deductive approach, a quantitative technique was adapted when the data at hand was mainly future and spot rate data. Data on 13 currencies ranging from 2005 to 2010 was used. The prices were available in weekly intervals for all currencies except for the Brazilian real, Swiss frank and the Mexican peso. The statistical test that was used is the Augmented Dickey-Fuller test and the Phillips-Ouliaris cointegration test. The test was conducted on the whole timeframe. After that, the data was divided into three sub periods to show if the efficiency where different in the period before the crises (2005-2007), during the crises (2008-2009) and after the crises (2010). The test has also been done on annual and quarterly data to show if the length of the time period tested has an effect on efficiency. The PO test has been conducted on all data and the ADF test has been conducted on the whole timeframe and the sub periods. The results show that, ten of the currencies which we had weakly data, the future is a good predictor of the future spot exchange rate. This is true when the tests are done on an interval of one year and more. For the three currencies that we had monthly data, the results showed cointegration on the whole timeframe. When shorter time periods were tested the currencies that consisted of monthly data showed no cointegration sooner than the weakly data. When test is done on quarterly data, only one test is cointegrated. It cannot concluded that, the future was not a good predictor for the future spot exchange rate during this time, merely that this particular test might be the true one and that the tests where not able to capture it. Several reasons for this are presented in the analysis chapter, where the statistical tests and their design are mentioned among other reasons.
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Moya, Juan, and Johannes Östlund. "Finansmarknadens reaktioner på naturkatastrofer förorsakade av enskilda bolag : En eventstudie av katastrofen i den Mexikanska golfen 2010." Thesis, Södertörns högskola, Institutionen för ekonomi och företagande, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:sh:diva-5787.
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Bakgrund: Den 20:e april 2010 inträffade en explosion på BP:s oljeplattform Deepwater Horizon i Mexikanska Golfen. Explosionen uppstod på grund av metangas som under högt tryck expanderade på plattformen och sedan antändes. Detta ledde senare till att oljeplattformen sjönk och ett stort okontrollerat oljeläckage uppstod på cirka 1500 meters djup. Att explosionen i den mexikanska golfen har påverkat BP negativt och varit mycket kostsamt för företaget är uppenbart, börskursen hade som mest sjunkit med cirka 60 procent. Det kan vara intressant att undersöka huruvida denna katastrof, utlöst av en enskild aktör, också har spridit sig över till andra aktörer i Olja & Gas sektorn. Syfte: Syftet med denna C-uppsats är att undersöka huruvida BP:s katastrof i den Mexikanska golfen har påverkat andra aktörer i samma sektor (Olja & Gas sektorn). Metod: Sekundärdata presenteras som en kvantitativ ansats i form av siffror och för att kunna dra slutsatserna använder vi oss av en deduktiv ansats.I denna studie tillämpas en metodikteknik i form av en eventstudie, där beräkningar av den abnorma och förväntade avkastningen baseras på marknadsmodellen. Vidare har två hypoteser testats, där syftet med Hypotes I är att pröva huruvida information om händelsen i den Mexikanska Golfen påverkar andra företag i samma sektor som BP. Syftet med Hypotes II är att testa samma företag under samma period som Hypotes I, men undersöker förändring i tradingvolymerna istället för i aktiekurserna. Teori: Effektiva Marknadshypotesen, Random Walk och Flockbeteende Slutsatser: Dessa båda undersökningar d.v.s. Hypotes I och Hypotes II pekar starkt på slutsatsen att eventet har haft inverkat på övriga bolag i sektorn. Vi kunde vid en jämförelse med tidigare studier som genomförts på andra katastrofer, konstatera att skeendet har både likheter och skillnader.Background: On the 20th April 2010, the BP oil platform Deepwater Horizon, situated in the Mexican Gulf, exploded. The explosion was caused by methanol gas that, under high pressure expanded and thereafter ignited. The platform submerged and caused a severe and uncontrollable oil leakage at 1500 meters depth.It is obvious that the explosion in the Mexican Gulf has impacted BP in a negative manner and cause BP large financial loss, the company shares had at its worst point depreciated by 60 percent. It may be of interest to investigate whether this catastrophe, caused by one independent party, also have affected other companies within the Oil and Gas industry. Purpose: The aim of this assignment is to investigate whether BP’s catastrophe in the Mexican Gulf has affected other companies within the same industry. (Oil and Gas) Methodology: Secondary data is presented as a quantitative approach in the shape of values and we use a deductive approach in order to draw the conclusions.The methodology used in this study is event study, in which calculation of the abnormal and expected revenue are based on the market model. We will test two types of hypothesis, where the aim of Hypothesis I is to test in which way information about the event in the Mexican Gulf affects other companies in the same industry as BP. The aim of Hypothesis II is to test the same companies during the same period as Hypothesis I, but with a focus on analyzing trading volume instead of the stock market value. Theory: Efficient Market Hypothesis, Random Walk and Herd Behavior Conclusion: Both investigations, i.e. Hypothesis I and Hypothesis II indicate that the event has had an impact on other companies in the same industry. We could, in a comparative analysis with earlier studies, based on other catastrophes, conclude that the event demonstrates similarities as well as differences.
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Sales, Ludmilla Oliveira Ambrosi. "Testando a hipótese de passeio aleatório no mercado de ações brasileiro." reponame:Repositório Institucional do FGV, 2017. http://hdl.handle.net/10438/17960.
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This paper revisits the theory of market efficiency and analyzes the Brazilian capital market for a more recent period in order to verify if the improvement pointed out in the study by Bonomo (2002) persists, that is, if the reduction of inefficiency in the course of the Time is robust. The existence of autocorrelation may be an indication of abnormal returns if the strategies adopted exploit this correlation and generate an abnormal return. The autocorrelation tests adopted in the random walk literature, for the most part, do not take into account the Heteroscedasticity characteristic of financial assets and, therefore, this work seeks to apply Bartlett’s formula for non-linear processes in order to verify if existence Of autocorrelation between the Brazilian papers analyzed and if this is enough to generate an extraordinary return. Traditional statistical and correlation tests were applied together with random walk tests to verify if the Brazilian capital market is efficient in its weak form.
Este trabalho revisita a teoria de eficiência de mercado e analisa o mercado de capitais brasileiros para um período mais recente a fim de verificar se a melhora apontada no estudo feito por Bonomo (2002) persiste, ou seja, se a redução da ineficiência no decorrer do tempo é robusta. Foram selecionadas 15 ações brasileiras que compunham o IBOVESPA de Maio 2016 e o período de análise compreende Janeiro de 2000 a Maio 2016. A existência de autocorrelação pode ser um indício de retornos anormais caso as estratégias adotadas explorem essa correlação e consigam gerar um retorno anormal. Os testes de autocorrelação adotados na literatura de passeio aleatório, em sua maioria, não levam em conta a característica de Heterocedasticidade dos ativos financeiros e, por isso, este trabalho busca aplicar a fórmula de Bartlett para processos não lineares a fim de verificar se a existência de autocorrelação entre os papéis brasileiros analisados e se esta é suficiente para gerar um retorno extraordinário. Testes estatísticos tradicionais e de correlação foram aplicados juntamente a testes de random walk para verificar se o mercado de capitais brasileiro é eficiente na sua forma fraca.
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Kuklik, Robert G. "Capital Asset Prices Modelling - Concept VAPM." Doctoral thesis, Vysoká škola ekonomická v Praze, 2008. http://www.nusl.cz/ntk/nusl-196945.
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The key objective of this thesis is the outline of an alternative capital market modeling framework, the Volatility Asset Pricing Model, VAPM, inspired by the innovative dual approach of Mandelbrot and Hudson using the method based on synthesis of two seemingly antagonistic factors -- the volatility of market prices and their serial dependence determining the capital markets' dynamics. The pilot tests of this model in various periods using the market index as well as a portfolio of selected securities delivered generally satisfactory results. Firstly, the work delivers a brief recapitulation regarding the concepts of a consumer/investor choice under general conditions of hypothetical certainty. Secondly, this outline is then followed by a description of the "classical" methodologies in the risky environment of uncertainty, with assessment of their corresponding key models, i.e. the CAPM, SIM, MIM, APTM, etc., notwithstanding results of the related testing approaches. Thirdly, this assessment is based on evaluation of the underlying doctrine of Efficient Market Hypothesis in relation to the so called Random Walk Model. Fourthly, in this context the work also offers a brief exposure to a few selected tests of these contraversial concepts. Fifthly, the main points of conteporary approaches such as the Fractal Dimension and the Hurst Exponent in the dynamic framework of information entropy are subsequently described as the theoretical tools leading to development of the abovementioned model VAPM. The major contribution of this thesis is considered its attempt to apply the abovementioned concepts in practice, with the intention to possibly inspire a further analytical research.
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Sousa, José Raimundo Pereira. "Análise de estratégias long-short trading com rácios de variâncias." Master's thesis, Instituto Superior de Economia e Gestão, 2013. http://hdl.handle.net/10400.5/6341.
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Mestrado em FinançasNeste trabalho são aplicados os testes de rácios de variâncias aos spreads de índices accionistas. Os spreads utilizados foram construídos com base no S&P 500 e uma série de outros índices de mercados accionistas mundiais. De forma a avaliar a eficiência dos mercados, foram utilizadas estratégias de negociação, baseadas na informação passada dos preços para gerar decisões de investimento. As estratégias de negociação são aplicadas tentando explorar a reversão para a média dos spreads. A hipótese de passeio aleatório dos spreads é rejeitada pelos testes de rácios de variâncias, e o sucesso das estratégias está dependente dos parâmetros utilizados. As estatísticas do desempenho das estratégias produzem resultados muito díspares, não permitindo tirar uma conclusão acerca da eficiência dos mercados.
In this paper we apply the variance ratio tests to equity indices spreads. The spreads used were constructed based on the S&P 500 and a number of other indices of global equity markets. In order to assess the efficiency of markets, we used a number of trading strategies based on past information in prices to generate investment decisions. The trading rules are applied in order to explore the mean reversion of spreads. The random walk hypothesis of spreads is rejected by the variance ratio tests, and the success of the strategies is dependent on the parameters used. The performance statistics of the trading rules produce highly disparate results, not allowing to draw a conclusion about the markets efficiency.
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Ludwig, Christian. "Überprüfung der Random-Walk-Hypothese am österreichischen Aktienmarkt unter besonderer Berücksichtigung der Verteilungshypothese /." Wien : Service-Fachverl, 1992. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=003574468&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Itaka, Jose Kumu. "Test of the overreaction hypothesis in the South African stock market." University of the Western Cape, 2014. http://hdl.handle.net/11394/4679.
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>Magister Scientiae - MScThis research undertakes to investigate both long-term and short-term investor overreaction on the JSE Limited (JSE) over the period from 1 January 2002 to 31 December 2009. The period covers the restructuring and reform of the JSE in the early 2000s to the end of global financial market crisis in late 2008/2009, which can be regarded as a complete economic cycle. The performances of the winner and loser portfolios are evaluated by assessing their cumulative abnormal returns (CAR) over a 24-month holding period. The test results show no evidence of mean reversion for winner and loser portfolios formed based on prior returns of 12 months or less. However, test results show evidence of significant mean reversion for the winner and loser portfolios constructed based on their prior 24 months and 36 months returns. In addition, the study reveals that the mean reversion is more significant for longer-formation-period portfolios as well as for longer holding periods. The examination of the cumulative loser-winner spreads obtained from the contrarian portfolios based on the constituents’ prior 24 month and 36 month returns indicates that the contrarian returns increase for portfolios formed between 2004 and 2006, and declines thereafter towards the end of the examination period. The deterioration of contrarian returns coincides with the subprime mortgage crisis in 2007 and the subsequent global financial crisis in 2008. This evidence suggests that the degree of mean reversion on the JSE is positively correlated to the South African business cycle.
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Santos, Alessandra Gazzoli. "Estrutura fractal em séries temporais: uma investigação quanto à hipótese de passeio aleatório no mercado à vista de commodities agrícolas brasileiro." reponame:Repositório Institucional do FGV, 2013. http://hdl.handle.net/10438/11121.
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Economic variables are often governed by dynamic and non-linear processes that can originate long-term relationship and non-periodic and non-cyclical patterns with abrupt trend changes. Commodity prices exhibit this type of behavior and the peculiarities of those markets could generate fractionally integrated time series, whose singularities could not be properly captured by the traditional analytic models based on the efficient market hypothesis and random walk processes. Therefore, this study has investigated the presence of fractal structures on some very important Brazilian commodity spot markets such as coffee, cattle, sugar, soybean and calf. Some traditional techniques were used as well as other specific for fractal time series analysis, such as rescaled range (R/S) analysis, different fractal hypothesis tests and ARFIMA and FIGARCH models. The results showed that the drift component has not shown fractal behavior, except for the calf series, however, volatility has demonstrated fractal behavior for all the commodities that were analyzed.
As variáveis econômicas são frequentemente governadas por processos dinâmicos e não-lineares que podem gerar relações de dependência de longo prazo e padrões cíclicos não-periódicos com mudanças abruptas de tendências. Para o caso dos preços agrícolas este comportamento não é diferente e as peculiaridades destes mercados podem gerar séries temporais fracionalmente integradas, cujas singularidades não seriam adequadamente capturadas pelos tradicionais modelos analíticos fundamentados na hipótese dos mercados eficientes e de passeio aleatório. Sendo assim, o presente estudo buscou investigar a presença de estruturas fractais no mercado à vista de algumas das principais commodities agrícolas brasileiras: café, boi gordo, açúcar, milho, soja e bezerro. Foram empregadas técnicas tradicionais e específicas para a análise de séries temporais fractais como a análise de R/S e a aplicação de modelos das famílias ARFIMA e FIGARCH. Os resultados indicaram que, com exceção do bezerro, o componente de drift destas séries não apresentou comportamento fractal, ao contrário do observado para o componente da volatilidade, que apresentou aspecto de estrutura fractal para todas as commodities analisadas.
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盧信銘. "Random Walk Hypothesis in Exchange Rate Reconsidered." Thesis, 2002. http://ndltd.ncl.edu.tw/handle/58680877566811509603.
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碩士國立臺灣大學
經濟學研究所
90
The Capital Movement Intensity(CMI) index is constructed from hypothetical optimal investment decisions via the mean-variance analysis. An empirical nominal exchange rate model that includes CMI index as an additional regressor delivers better forecast performance than the random walk. The predicting power of the CMI index is confirmed through Diebold and Mariano''s test and White''s reality check, in three out of four foreign exchange markets using bilateral model and one out of two exchange markets using trilateral model.
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Ting, Kuo Hsuan, and 丁國玄. "Random walk hypothesis and Mean reversion phenomenon on Taiwan''s stock market." Thesis, 1996. http://ndltd.ncl.edu.tw/handle/57606740455155616588.
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Kabaye, Taniya. "An analysis of the random walk hypothesis: Evidence from the Lusaka stock exchange." Thesis, 2014. http://hdl.handle.net/10539/15060.
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The paper evaluates whether the Lusaka Stock Exchange (LuSE) is weak form efficient, and whether stock price movements conform to the random walk hypothesis of non-predictability in future price movements based on past price information. The methods employed are the parametric and non-parametric individual as well as multiple variance ratio tests. In addition, the study incorporates the Runs Test. The study further examines seasonality in Zambian stock returns of the day of the week effect as well as monthly related effects. The period of analysis is from 3rd January, 2006 to 17th February, 2014. The study incorporates daily data as well as monthly data of the LuSE All share Index in order to investigate the random walk hypothesis as well as seasonality effects of the Zambian market. The period of analysis is broken down into two sub periods after accounting for multiple structural breaks in the data.
The results of the study are mixed, the results of the Runs test finds the Zambian stock market price series to be mutually independent and conform to a random sequence, and are as such unpredictable. While the variance ratio tests reject the random walk hypothesis for the Zambian market, and as such, support the view of the use of technical trading strategies in order to outperform buy-and-hold strategies. The study finds no evidence of any seasonality in the data, either for daily data as well as monthly data. As such there is evidence that investors may acquire returns greater than those of the market, however, transaction costs and commissions would have to be minimal in order to exploit any patterns in the stock price series of the Lusaka stock exchange.
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SU, SHIN-I., and 蘇信一. "A study of properties and investment strategies in stock market under random walk hypothesis." Thesis, 1992. http://ndltd.ncl.edu.tw/handle/47840455520480760476.
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Chu, Yi-Chieh, and 朱奕潔. "Testing Random Walk Hypothesis on Taiwan Index Futures Market by Discovering Knowledge in Opening Period." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/53922738494599483765.
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碩士國立交通大學
資訊管理研究所
101
The market opening provides an excellent opportunity to observe and evaluate the market’s underlying directional conviction. With understanding of market conviction in opening period is helpful for investors to make decision for the day. For this reason, this research is based on market profile and traditional opening patterns to construct indicators applying neural network technically trying to find out the relation between the opening period on Taiwan Index Futures Market and trend of the day. Moreover, this research tests random walk hypothesis on TAIEX Futures market and constructs a model to help investor make decision by finding out the underlying knowledge and behavior in opening period. The results of this research show that the indicators by integrating market profile and tradition opening patterns have ability to forecast the trend of the day, and have better performance than merely constructing by traditional opening patterns. Besides, this result indicates that TAIEX Futures market is not random walk. The performance of indicators constructing by market profile is better than by traditional opening patterns. The ability of forecasting and profitability is not significant but compared to the random trading, traditional opening patterns is still able to slightly improve forecasting and profitability. In conclusion, through understanding the underlying knowledge and behavior in market can effectively improve the accuracy rate of investment transactions and profitability.
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Kuei, Liu Wen, and 劉文貴. "Test of Random Walk Hypothesis in Taiwan Stock Index, Group Indexes, and Individual Stock Prices of Electronic Industry." Thesis, 1999. http://ndltd.ncl.edu.tw/handle/43163320398559899995.
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Liu, Ing-Shin, and 劉映興. "Is the Taiwan Stock Market based on the Random Walk hypothesis ? -- test the Taiwan Stock Exchange by multi-technical analysis and Statistical testing." Thesis, 1995. http://ndltd.ncl.edu.tw/handle/15845794647251288199.
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Пластун, Олексій Леонідович, Алексей Леонидович Пластун, Oleksii Leonidovych Plastun, and В. Л. Пластун. "Поведінка біржових ринків: погляд з позиції гіпотези ефективного ринку." Thesis, 2013. http://essuir.sumdu.edu.ua/handle/123456789/64134.
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Розглядаються основні положення гіпотези ефективного ринку, її сильні та слабкі сторони. Наводяться приклади практичних обмежень та невідповідностей даної теорії. В результаті авторами було сформовано перелік типових аномалій гіпотези ефективного ринку.The article discusses the basic propositions of the efficient market hypothesis, its strengths and weaknesses. The examples of the practical limitations and inconsistencies of this theory are provided. As a result, the authors generated a list of typical anomalies of efficient market hypothesis.
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KOPTIŠ, Daniel. "Efektivita finančního trhu." Master's thesis, 2018. http://www.nusl.cz/ntk/nusl-375960.
Full textAbstract:
This diploma thesis analyses the market efficiency hypothesis of chosen currency pairs EUR/USD, EUR/CZK and USD/CZK. The aim of this study is to describe the price behaviour of chosen financial assets and verify the random walk hypothesis on the foreign exchange market. Model of random walk says there is no relationship between historical and future prices, so price changes are random and cannot be predicted. Random walk hypothesis was tested by chosen statistic tests runs test, test of auto-correlation, variance ratio test and unit root test (Augmented Dickey-Fuller Test). Data were collected through the online trading platform and tested in EViews. Period of testing for daily changes (D1) was chosen from 31.12.2009 to 29.12.2017 and for weekly changes (T1) from 2.1.2005 to 29.12.2017. This thesis proved weak-form efficiency of EUR/USD and USD/CZK for both daily changes and weekly changes in a chosen period. Inefficient behaviour of daily changes of EUR/CZK (D1) was indicated by runs test, test of autocorrelation and variance ratio test. There is a question what the cause of inefficiency is. The most likely explanation is currency intervention of the Czech National Bank which took place from April 2013 to April 2017 in order to achieve the inflation target and prevent deflation. Traders could also achieve profits by speculating on appreciation of Czech Crown below 27,-crowns/euro which is not in harmony with efficient-market hypothesis. Moreover, currency pair EUR/CZK is not liquid as major currency pairs and there are bigger transaction costs because of bid-offer spread. This work can contribute to next research in connection with results of this study. To verify if the cause of inefficient behaviour of daily price changes of EUR/USD are currency interventions of the Czech National Bank, I would suggest testing efficient-market hypothesis exactly at the time of interventions. It would be also suitable to compare results of different methodologies including testing in short-time intervals of price changes.
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Mendes, Helena do Sameiro Fernandes. "A hipótese de eficiência de mercado na forma fraca: o caso da Bolsa de Londres." Master's thesis, 2017. http://hdl.handle.net/1822/49493.
Full textAbstract:
Dissertação de mestrado em FinançasNeste estudo, a Eficiência de Mercado na Forma Fraca é investigada testando a Hipótese de Passeio Aleatório para um conjunto de ações cotadas na Bolsa de Valores de Londres. Para além de Testes Paramétricos (Testes de Raíz Unitária de Dickey-Fuller Aumentado e Testes de Rácio da Variância: Individual de Lo & MacKinlay (1988) e Múltiplo de Chow & Denning (1993)) também são implementados Testes Não-Paramétricos (Teste Runs e Teste de Rácio da Variância Múltiplo baseado em Signs de Kim & Shamsuddin (2008a)). O período analisado inclui 36 anos, de 30 de setembro de 1980 até 30 de setembro de 2016, e são analisadas três frequências diferentes: diária, semanal e mensal. Os resultados empíricos são mistos. Para o caso dos Testes Paramétricos verifica-se uma evidência, para a maioria da amostra, a favor da Hipótese de Eficiência de Mercado na Forma Fraca, ao passo que para os Testes Não Paramétricos, verifica-se o contrário: na sua maioria, a amostra rejeita a Hipótese de Eficiência de Mercado na Forma Fraca. Os resultados, para o caso específico da Bolsa de Valores de Londres, acabam por se revelar sensíveis ao tipo de testes implementados para investigar a Hipótese de Eficiência de Mercado na Forma Fraca.
In this study, the market efficiency in the weak form is researched under the random walk hypothesis for a set of stocks listed in the London Stock Exchange. In addition to use parametric tests (Augmented Dickey-Fuller Unit Root Tests and Variance Ratio Tests: Individual of Lo & MacKinlay (1988) and Multiple of Chow & Denning (1993)) it will be also use non-parametric tests (Runs Tests and the Variance Ratio Test based in Signs from Kim & Shamsuddin (2008a)). The period analysed includes 36 years, going from September 30th 1980 to September 30th 2016 and it is observed in three different frequencies: daily, weekly and monthly. The empiric analysis showed mixed results. For the parametric tests, the sample shows a large propensity to validate the hypothesis of weak form market efficiency, but for the nonparametric tests, it is observed the opposite: the sample reveals a tendency to rejected the hypothesis of weak form market efficiency. The results, for the specific case of the London Stock Exchange, end up displaying a sensitivity towards the type of tests applied.