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Santos, Paulo Manuel B. R. "A.I. stock exchange." Master's thesis, Porto : [s. n.], 2007. http://hdl.handle.net/10216/64162.
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Santos, Paulo Manuel B. R. "A.I. stock exchange." Dissertação, Porto : [s. n.], 2007. http://catalogo.up.pt/F?func=find-b&local_base=FCB01&find_code=SYS&request=000101328.
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Altaf, Saadia, and Ghenadie Cospormac. "Demutualization of stock exchanges : A case study : London Stock Exchange and Hong Kong Stock Exchange." Thesis, University of Skövde, School of Technology and Society, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:his:diva-3129.
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The focus of this study is to evaluate the impact of corporate ownership structure on the overall performance of stock exchanges. This study distinguishes in particular mutual versus demutualized ownership. London Stock Exchange and Hong Kong Stock Exchange are chosen as study cases, because London Stock Exchange is one of the world leading stock exchanges and Hong Kong Stock Exchange is definitely one of the most important emerging market stock exchanges. That is why the results obtained by comparing these two stock exchanges could serve as good indicator in understanding the effects of demutualization process on the whole stock exchange sector and retain the subtle differences in micro-behavior of the stock exchanges undergone the same transformation.
In this paper the simple descriptive statistics is used as the method of analysis, in association to a profound review of the literature in this area. The data illuminate the fact that demutualized stock exchanges hold a stronger operating performance and a better performance in term of shareholder’s return than mutual exchanges. The result is generally in line with the basic theories in the area of corporate governance and empirical studies in this specific area like Aggarwal (2006), Mendiola and O’Hara (2003) and Hart and Moore (1996).
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Chen, Chi-Chih. "Virtual Sports Stock Exchange." CSUSB ScholarWorks, 2005. https://scholarworks.lib.csusb.edu/etd-project/2740.
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The goal of this project is to create a web application to help people learn about the stock market. The Virtual Sports Stock Exchange (VSSX) simulates market trading based on the world of sports. It allows users to experiment with different economic models. Virtual Sports Stock Exchange (VSSX) uses HTML and Java Server Page to generate the output and calculations and it uses Java Servlet to interact with the Oracle 9i database.
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Kroha, Petr, and Ricardo Baeza-Yates. "Classification of Stock Exchange News." Universitätsbibliothek Chemnitz, 2004. http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401576.
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In this report we investigate how much similarity good news and bad news may have in context of long-terms market trends. We discuss the relation between text mining, classification, and information retrieval. We present examples that use identical set of words but have a quite different meaning, we present examples that can be interpreted in both positive or negative sense so that the decision is difficult as before reading them. Our examples prove that methods of information retrieval are not strong enough to solve problems as specified above. For searching of common properties in groups of news we had used classifiers (e.g. naive Bayes classifier) after we found that the use of diagnostic methods did not deliver reasonable results. For our experiments we have used historical data concerning the German market index DAX 30In diesem Bericht untersuchen wir, wieviel Ähnlichkeit gute und schlechte Nachrichten im Kontext von Langzeitmarkttrends besitzen. Wir diskutieren die Verbindungen zwischen Text Mining, Klassifikation und Information Retrieval. Wir präsentieren Beispiele, die identische Wortmengen verwenden, aber trotzdem recht unterschiedliche Bedeutungen besitzen; Beispiele, die sowohl positiv als auch negativ interpretiert werden können. Sie zeigen Probleme auf, die mit Methoden des Information Retrieval nicht gelöst werden können. Um nach Gemeinsamkeiten in Nachrichtengruppen zu suchen, verwendeten wir Klassifikatoren (z.B. Naive Bayes), nachdem wir herausgefunden hatten, dass der Einsatz von diagnostizierenden Methoden keine vernünftigen Resultate erzielte. Für unsere Experimente nutzten wir historische Daten des Deutschen Aktienindex DAX 30
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Islam, Md Amirul, Biplob Chowdhury, and Md Amirul Islam. "The behavior of stock price on ex-dividend day : A study on New York Stock Exchange and London Stock Exchange." Thesis, Umeå universitet, Handelshögskolan vid Umeå universitet, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-44996.
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The main aim of this thesis is to analyze the behavior of stock price on ex-dividend day in London Stock Exchange and New York Stock Exchange and draw a conclusion about the market efficiency based. We collect 200 sample companies dividend, ex-dividend day and cum dividend day stock price to compare with NYSE composite index and FTSE 100 for London Stock Exchange. To answer the research question and specific purpose of our thesis we developed five null hypothesis based on raw price ratio (RPR), market-adjusted price ratio (MAPR), raw price drop ratio (RPD), market-adjusted price drop ratio (MAPD) and market-adjusted abnormal return (MAAR). We used t-statistic to find the mean differences between observed values and standard values. We also show multiple regression analysis to show the relationship between ex-dividend day stock price and dividend, cum-dividend day stock price. This thesis documented that same amount of stock price drop in 2008 New York Stock Exchange compare with dividend amount. In this case our null hypothesis accepted. On the other hand in London Stock Exchange shows higher drop of stock price than dividend amount in 2008 against the taxation rate rules of prior study. In 2007 both stock market shows the less drop of stock price than dividend amount. Therefore our null hypothesis rejected. We also documented that London Stock Exchange more volatile than New York Stock Exchange to consider the MAAR, tax rate and standard deviation. So we find significant evidence of market abnormal return which create an opportunity of market inefficiency and arbitrage opportunity for investors. So, our thesis output shows mixed evidence for London Stock Exchange and New York Stock Exchange.
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Yilmaz, Isil Sevilay. "An Analysis Of Stock Splits In The Istanbul Stock Exchange." Thesis, METU, 2003. http://etd.lib.metu.edu.tr/upload/1269380/index.pdf.
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The primary purpose of this study is to test the validity of the trading range hypothesis as a basis for stock split decisions of Turkish companies. In the first part, the liquidity effects of stock splits on Turkish stocks are examined. Second, the optimal trading ranges for different-sized firms and firms with different investor bases are determined. Finally, the main empirical question of the study is analyzed by testing whether or not Turkish firms whose share prices rise above their optimal trading ranges are more likely to split their stock compared to firms whose share prices are at or below their optimal trading ranges.
The empirical findings about the level of liquidity indicate that there is a slight decline in liquidity in the post-split periods. Analysis of the relationship
between firm characteristics and share prices shows that firm size has a positive effect on share prices. The effect of investor base on share prices could not be identified. Finally, the estimation of the logit model utilized in the study to determine the probability of firms to split does not reveal any statistically significant result.
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Ozdemir, Duygu. "Stock Market Liquidity Analysis: Evidence From The Istanbul Stock Exchange." Master's thesis, METU, 2011. http://etd.lib.metu.edu.tr/upload/12613789/index.pdf.
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The purpose of this thesis is to identify the factors playing a key role in the determination of the Turkish stock market liquidity in aggregate terms in a time series context and discuss the joint dynamics of the market-wide liquidity with its selected determinants and the trade volume. The main determinants tested are the level of return, the return volatility and the monetary stance of the Central Bank of the Republic of Turkey. The expected positive relationship between the liquidity and the return is confirmed, while the negative effect of the volatility on liquidity appears one-week later. The behavior of various liquidity variables are also examined around the macroeconomic data announcement dates, during the 2008 financial crisis, and after the tick size change in the Istanbul Stock Exchange (ISE). The time series dynamics between the trade volume, return, volatility and the liquidity are put forward within the Vector Autoregression analysis framework. The GARCH modeling of the return series, which is an input to the liquidity model estimations, is a byproduct of this thesis. It is observed that the return series exhibits volatility clustering, persistence, leverage effects and mean reversion. In addition, while the level of the ISE market return decreased, the volatility of the return increased during the 2008 crisis. Accordingly, EGARCH model assuming normally distributed error terms and allowing a shift in the variance during the crisis period is chosen as the best model.
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Haniff, Mohd Nizal. "Modelling intraday stock price dynamics on the Malaysian stock exchange." Thesis, Cardiff University, 2006. http://orca.cf.ac.uk/54319/.
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The introduction of the Autoregressive Conditional Heteroskedasticity (ARCH) model in 1982 by Engle revolutionized the econometric treatment of volatility. The Generalized ARCH (GARCH) model and its variants have proved to be useful in capturing stylised facts about financial markets, which include volatility clustering, leptokurtosis in the distribution of returns, mean reversion tendencies and leverage effects. The Periodic GARCH (PGARCH) variants proposed by Bollerslev and Ghysels (1996), in particular, made it possible to explicitly incorporate the effects of periodicity in financial time series into the parameters of the volatility models. An investigation of return volatility using high frequency Kuala Lumpur Composite Index (KLCI) returns data shows that the intraday volatility pattern follows the double U-shaped pattern, which is consistent with the findings of other studies on markets that are closed during the lunch hour. The study also investigates the best technique for modelling and forecasting the intraday periodicity on the Kuala Lumpur Stock Exchange (KLSE), using both the jointly estimated and the two-step filtration approaches with different PGARCH structures. The results indicate that the PGARCH models produce superior model fit, better forecasting performances and superior forecast quality than the standard GARCH equivalents. However, the results suggest that Value-at-Risk (VaR) models, constructed from the PGARCH forecasts, produce poor results. This study also investigates the integrated realized volatility measure introduced by Andersen and Bollerslev (1998a), which can be constructed by summing up intraday squared returns. The results suggest that the daily integrated realized volatilities constructed using different intraday return sampling frequencies, produce superior forecasting performances for the GARCH models when compared with the results of the same models using the daily squared returns. The VaR models constructed from the GARCH forecasts and the Autoregressive and Moving Average (ARMA) forecasts appear to satisfy the requirements of the framework for interval forecast evaluation.
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Karlsson, Christopher, and Renteln Alexander von. "Stock price volatility and dividend policy: The German stock exchange." Thesis, Jönköping University, IHH, Nationalekonomi, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-53018.
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The objective of this research is to analyse if there is a negative relationship between dividend policy and stock price volatility in the German stock market. The data that was collected for this research consists of the 30 biggest companies listed on the German stock exchange Deutscher Aktienindex known as DAX 30 for the period 2000-2020. Fixed effect model estimated by panel data was applied to find the results of this research. The findings showed that the main variables of dividend policy (dividend yield and payout ratio) were negatively significant correlated with stock price volatility which provides evidence for our hypothesis. The results showed that the control variable earnings volatility had a positive significant relationship with stock price volatility. However, asset growth resulted in an insignificant relationship but the rest of the control variables such as leverage, market value and free float percentage showed a significant negative relationship with stock price volatility.
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Best, Randall. "Embedding the New York Stock Exchange." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1999. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape9/PQDD_0001/MQ43637.pdf.
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Kayacetin, Volkan Nuri. "Cross-section Of Average Stock Returns On The Istanbul Stock Exchange." Thesis, METU, 2004. http://etd.lib.metu.edu.tr/upload/1088756/index.pdf.
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The aim of this master thesis is to examine the explanatory power of some popular company-specific factors for the cross-section of average stock returns in the Istanbul Stock Exchange (ISE) for a period from 1992 to 2001. Factors tested in this thesis are firm size (MVE), book-to-market value of equity (BMR), debt-to-equity ratio (DER), sales-to-price ratio (SPR), gross profit-price ratio (GPPR) and dividend yield (DY).
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Ohlson, Per. "Herd Behavior on the Swedish Stock Exchange ." Thesis, Jönköping University, JIBS, Accounting and Finance, 2010. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-12426.
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In this study the Stockholm Stock Exchange in Sweden is examined for herd behavior with a market wide approach. Three models, one created by Christie and Huang (1995) and the others created by Chang, Cheng and Khorana (1999), are applied to detect herd behavior from 1998 to 2009. Herd behavior is found in up-going market days, measuring on daily bases over the entire time frame. When breaking down the test period into annual sub-periods, herd behavior is evident in the bullish markets of 2005 and 2007. In days with the most extreme market movements herd behavior is found in large cap stocks but not in the small cap. The result indicates a tendency of an increasing level of herd behavior over the measured period, which can be attributed to the increased influence of institutional ownership. Moreover, the data was adjusted for thinly traded stocks and the result is contradictive to previous studies. The reduction of thinly traded stocks seems to have an increasing effect on the herd-measure, implying that the presence of thinly traded stocks puts a negative bias on the herd-measures.
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Höijer, Mattias, Martin Lejdelin, and Patrik Lindén. "Price Drift on the Stockholm Stock Exchange." Thesis, Jönköping University, Jönköping International Business School, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-635.
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This paper examines whether the phenomena of price drift around quarterly earnings re-leases exist among firms listed on the large cap. list at the Stockholm Stock Exchange for a time period ranging from the first quarter of 2003 to the second quarter of 2006. It fur-thermore examines the ability of the variables forecast error, relative to analyst’s estimates, and firms’ size to explain the variation in price drift among firms.
A sample of some 30 firms were drawn in the first three quarters of each year between 2003 and 2005, for the year of 2006 only the fist two quarters were included in the study. For each quarter all firms were classified into three different portfolios on the basis of earnings deviations relative to mean analyst’s estimates (forecast error). The returns for each firm in all portfolios were investigated during 20 days post- and pre quarterly earnings release date, resulting in an event window totaling 41 days. In order to clear out effects from general market movements the Capital Asset Pricing Model, CAPM, was used in which betas were estimated for all firms each quarter.
The findings from this study indicate that price drift, measured by cumulative abnormal re-turn, occur for firms with both negative forecast error as well as positive. For firms with positive error, statistically significant positive price drift was found for both the pre- and post period. As for the firms with earnings below analyst’s mean estimates, negative prean-nouncement drift was statistically supported.
The ability of firms size and forecast error to explain the variation in price drift on a stock level was very weak, R2 measures of below 5% was reported. However, forecast error was a strongly significant independent variable in the context of the regressions run for both pre- and post-announcement drift. The firms below the lower market cap. quartile in the sample show, on average, lower pre-announcement drift than the firms belonging in the largest quartile.
Concerning market efficiency among the large cap. firms the price drift found is an indica-tion of market inefficiency both it terms of the semi strong and the strong form. However, care should be taken before generalizing the results from this study but. Possible misspeci-fication of the equilibrium return model will skew the price drift measurement. Moreover, speculation is not explicitly controlled for in this test. Finally, this study is done within a li-mited time span; hence generalization over time is not possible
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Tekel, Onur. "Business Failure Predictions In Istanbul Stock Exchange." Thesis, METU, 2009. http://etd.lib.metu.edu.tr/upload/3/12610621/index.pdf.
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This study aims to develop business failure prediction models using the data of selected firms from ISE markets. The sample data comprise ten selected financial ratios for 27 non-going concerns (failed businesses) and paired 27 going concerns. Two non-parametric classification methods are used in the study: Artificial Neural Networks (ANN) and Decision Trees. The classification results show that there is equilibrium in the classification of the training samples by the models, but ANN model outperform the decision tree model in the classification of the testing samples. Further, the potential usefulness of ANN and Decision Tree type data mining techniques in the analysis of complex and non-linear relationships are observed.
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Tatikunta, Raju. "TraGent : a multi agent stock exchange model /." Available to subscribers only, 2006. http://proquest.umi.com/pqdweb?did=1240702281&sid=18&Fmt=2&clientId=1509&RQT=309&VName=PQD.
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Lee, Ruben. "Market-making on the UK Stock Exchange." Thesis, University of Oxford, 1989. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.256825.
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Tse, Wai-chun Quesifer, and 謝慧珍. "PRC enterprises listing in the stock exchange." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1994. http://hub.hku.hk/bib/B31266253.
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Cai, Xiaowu. "Market microstructure of the London Stock Exchange." Thesis, University of Leeds, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.403044.
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Al, Zoubi Tariq. "Corporate cash-holding decisions : Amman stock exchange." Thesis, Brunel University, 2013. http://bura.brunel.ac.uk/handle/2438/7360.
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Using a panel data analysis of a sample of 80 listed non-financial Jordanian firms during the period from 2000 to 2011, we investigated the corporate cash-holding decision. The firm’s decision to hold cash has come to the fore in last two or three years as a result of the recent global financial crisis, and the impact that this has had on the firms’ ability to raise funds from external sources. There is evidence in the US, for example, that firms have increased their holdings of cash as a result of increasing constraints from external sources. This current study therefore examines this issue from the point of view of a developing economy. We started by investigating the empirical determinants of corporate cash holdings; the results showed that firm size and growth opportunities have no significant effect on corporate cash-holding decisions, while firm’s cash flow, leverage, and liquid assets substitute have a significant negative effect on cash-holding decisions, and profitability and cash dividends have a positive effect on cash-holding decisions. Then we investigated empirically how cash-holding affects the value of corporate firms. Based on Fama and French’s (1998) valuation model and Faulkender and Wang’s (2006) model, the results showed that the marginal value of each Jordanian Dinar (JD) is valued at a discounted value of 0.41 JD; with higher leverage the marginal value of cash is declining, with a higher level of cash the marginal value of cash is increasing and, finally, cash dividends have no significant effect on shareholders’ value. We also investigated empirically how a group of explanatory variables affect a firm’s debt ratio by focusing on the liquidity variable. Results showed that the total debt ratio is positively affected by firm size and is negatively affected by growth opportunities, profitability, assets tangibility and total liquidity, cash, and non-cash liquidity. The long-term debt ratio is positively affected by firm size, non-debt tax shield, asset tangibility, total liquidity, cash, and non-cash liquidity, while the long-term debt ratio is negatively affected by growth opportunities and profitability. For the short-term debt models, the debt ratio is negatively affected by firm size, asset tangibility, and liquidity in its different forms. An investigation into the speed of adjustment showed that Jordanian firms quickly adjusted the total and long-term debt ratio, while they do not have an optimal or target short-term debt ratio.
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Snyman, Hendrik Andries. "Investigating momentum on the Johannesburg Stock Exchange." Thesis, Stellenbosch : University of Stellenbosch, 2011. http://hdl.handle.net/10019.1/6613.
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Thesis (MScEng (Industrial Engineering))--University of Stellenbosch, 2011.ENGLISH ABSTRACT: Applying the Industrial Engineering systems approach, this dissertation utilised the theories and propositions of previous studies to argue (model) the cause of financial herd behaviour and the subsequent momentum effect. From this, a hypothesis was postulated to test: whether momentum is a common attribute amongst top performing shares, whether technical analysis indicators can better identify the phenomenon, and whether the return from these shares would justify momentum as a viable investment strategy. A unique experiment derived from previous academic studies was adapted to explore the degree of the momentum phenomenon. This was done by ranking shares according to both technical analysis as well as pure price performance momentum criteria. Returns were translated as a rank in relation to the market as a whole, thereby minimising any effects that different market periods could have on a momentum return relationship. The degree of the relationship was evaluated by applying the alternative Spearman Rank Order Correlation Co-efficient in conjunction with a permutation test to determine the statistical significance of any trends. The viability of the phenomenon as an investment strategy was gauged by comparing annualised average returns against both the market capitalisation weighted JSE All Share Index as well as against an un-weighted representation of the market. The results revealed a seemingly unambiguous co-dependence between momentum and return with statistically significant trends being ever present. Applying the maximum taxes and trading costs revealed that the highest ranked momentum shares did indeed outperform both market benchmarks from the period of January 1990 to August 2009, suggesting the validity of the philosophy as an investment strategy. The outcome of the study in part rejected the null hypothesis, as technical indicators were unable to identify future top performing shares better, with price performance momentum measures delivering the superior returns. Future studies may include optimising the various technical indicators towards the JSE rather than using generic settings. Other interesting topics could include combining momentum with other investment strategies to investigate synergy and further pinpointing the source of the phenomenon. Over the past number of years, tighter controls and monitoring of investments has resulted in the documentation of the individual number of shareholders who are buying and selling shares. Utilising this data over the next number of years, an experiment could attempt to relate the number of individual investors trading in a particular share to herd behaviour and the subsequent momentum effect.
AFRIKAANSE OPSOMMING: Die verhandeling, binne die bedryfsingenieursstelsels benadering, gebruik teorieë en voorstelle van vorige studies om die gevolge van finansiële gedrag en die gevolglike momentum effek te bespreek. Uit die analise is ‘n voorstel saamgestel om die volgende te toets:Is momentum ‘n algemene verskynsel by aandele wat goed presteer, en kan tegniese analitiese indikatore die verskynsel beter verklaar, en dui die opbrengs van die aandele daarop dat momentum ‘n bruikbare beleggingsstrategie is. ‘n Unieke eksperiment uit vorige studies is aangepas om die aard van die momentum verskynsel te ondersoek. Dit was gedoen deur aandele volgens beide tegniese analise asook suiwer prestasie momentum kriteria te klassifiseer. Opbrengste is met die hele mark in konteks geplaas om sodoende enige impak van verskillende mark tye op die momentum opbrengs verhouding te elimineer. Die verband is opgestel deur die alternatiewe “Spearman Rank Order Correlation koëffisiënt” saam met permutasie toetse te gebruik om die statistiese belangrikheid van enige neigings uit te wys. Die geldigheid van die verskynsel as ‘n beleggingsstrategie is gemeet deur jaarlikse gemiddelde opbrengste teen beide die markkapitalisasie geweeg teen die JSE Alle Aandele Indeks sowel as ‘n ongeweegde verteenwoordiging van die mark te bepaal. Die resultate dui op ‘n interafhanklikheid tussen momentum en opbrengste met statistiese neigings altyd teenwoordig. Deur die maksimum belasting en verhandelingskoste toe te pas wys dit dat die hoogste momentum uitgewyste aandele die markriglyne uitpresteer het van Januarie 1990 tot Augustus 2009 wat die geldigheid van die benadering as ‘n beleggingsstrategie bevestig. Die studie verwerp die nul hipotese gedeeltelik in die sin dat dit nie toekomstige top presterende aandele kan uitwys nie, maar aan die ander kant gee prysprestasie momentum meting wel buitegewone opbrengs. Toekomstige studies mag die optimisering van verskeie tegniese indikatore van die JSE insluit, ‘n kombinasie van momentum met ander beleggingsstrategieë gebruik, en verder die bron van die verskynsel vas pen. Oor die afgelope aantal jare het beter beheer en die monitoring van beleggings die dokumentasie van individuele aandeelhouers moontlik gemaak. Hieride data sou kon gebruik word as ‘n toets om die korrelasie tussendie aantal aandeelhouers wat ‘n spesifieke aandeel verhandel en tropgedrag te bepaal en om dit te gebruik om die momentum effek beter te verklaar.
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Alvarez, Ana Catarina Silva Dias. "The social stock exchange: a quantitative exploration." Master's thesis, NSBE - UNL, 2010. http://hdl.handle.net/10362/10309.
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A Work Project, presented as part of the requirements for the Award of a Masters Degree in Economics from the NOVA – School of Business and EconomicsWe introduce the Social Stock Exchange (SSE), by presenting its work, structure and brief history. The main goal of the SSE is to promote accountability and transparency in the relationship between the donors (Social Investors) and NGOs, which allows for a privileged access to data and information about the projects listed. Hence, this study exploits all the information made available by the SSE and constructs two original models in order to measure the effectiveness of the projects listed in the SSE in a transparent, verified and mensurable manner. Furthermore, these two measures are a first attempt to overcome two main challenges concerning the study and the practice of NGO/NPO effectiveness: the ambiguity of the term “effectiveness” and the lack of empirical evidence.
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Moodley, Tashinee. "Fundamental momentum on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2012. http://hdl.handle.net/2263/22778.
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Financial market anomalies are constant subjects of debate because of their devotion form the foundational financial theories. Fama and French (2008) referred to the momentum effect as the premier anomaly. Thus, this study sought to apply the concept of momentum to examine three investment strategies. The first strategy was price momentum, an existing investment strategy but which was used as a comparison to the returns of the second and third strategies. The second strategy applied momentum to return on equity, operating cash flow and earnings before interest, tax, depreciation and amortisation, whilst the third strategy combined stocks with momentum in both stock price and respective fundamental variable.Using a non-probability sampling method, a total of 109 stock listed on the JSE over the period 1999-2010 were tested. Momentum in stock price and respective fundamentals was used to rank stocks into quintiles. The viability of each investment strategy was measured by comparing its average and risk adjusted returns to the market.The results revealed that fundamental momentum can beat market returns, with the highest amount of significant differences found using momentum in return on equity. The combination strategy also reported results of beating the market, with the higest amount of significant differences found using the 12 month fundamental momentum combined with 6 month price momentum.Dissertation (MBA)--University of Pretoria, 2012.
Gordon Institute of Business Science (GIBS)
unrestricted
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Kumi, Eric. "The Ghana Stock Exchange: Concentration, Diversification, Liquidity." Master's thesis, University of Cape Town, 2010. http://hdl.handle.net/11427/5809.
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Analysts have foiled that concentration of portfolio weights affects portfolio risk. This is a unique feature in small markets whore they tend to be concentrated in few stocks and the Charm Sunk Exchange (GSE ) falls in that category. As a result portfolios based on the Ghana All Share index are highly concentrated. The risk in a portfolio is mainly attributed to Covariance and weighting structure. Enough cannot be done about the covariance structure but the weighting structure can be controlled since it depends mainly on investment choices. The weighting structure determines the degree of concentration of a portfolio. The term concentration refers to the extent to which portfolio weights skew away from equally weighted distribution of portfolio weights. As at September 2009, the Ghana All Share index has about five (5) of the total of thirty-five (3.5) in the index accounting for about 82.25% of the index weight. Concentration can be measured using the Herfindahl-Hirsclanan index (HHI) or Richard Roll measure (RRC). Diversification is (nmfirned with generation of returns from different sources. The iraditional method of measuring diversification has fallen short of vital, is usually expected hence the introduction of the new measure, portfolio diversification index or PDT. Liquidity measures the effect the quantity of stocks traded has on the market price of stocks. Liquidity varies from time to time; hence its importance as a source of risk for investors. The primary of fjective of this protect is to determine the significance of concentration in portiailio risk, particularly from the Ghanaian perspective. Furthermore, we will pleasing diversification ming the new measure and finally eml withshort review on liquidity in stock markets.
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Bowler, W. Matthew. "Market timing on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2012. http://hdl.handle.net/11427/10268.
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Includes bibliographical references.The concept of market timing is hardly new. Theoretical work on the predictability of return stretches back for over a century, with substantial empirical work emerging from the 1960s onwards. This study aims to extend the literature by focusing on whether it is possible for an investor, utilising quantitative analytical techniques with available information, to utilise market timing to outperform the JSE ALSI.
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Standifird, Stephen Scott. "Establishing reputation on the Warsaw Stock Exchange /." view abstract or download file of text, 1999. http://wwwlib.umi.com/cr/uoregon/fullcit?p9948029.
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Thesis (Ph. D.)--University of Oregon, 1999.Typescript. Includes vita and abstract. Includes bibliographical references (leaves 117-123). Also available for download via the World Wide Web; free to University of Oregon users. Address: http://wwwlib.umi.com/cr/uoregon/fullcit?p9948029.
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Wu, Di. "The New York Stock Exchange/Euronext merge." CSUSB ScholarWorks, 2007. https://scholarworks.lib.csusb.edu/etd-project/3309.
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Yau, Louis. "Simulation analysis of learning and expectations in the stock exchange : a case study with the Warsaw Stock Exchange (WSE)." Thesis, University of Leicester, 1996. http://hdl.handle.net/2381/35527.
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Increasingly, it has become difficult to explain economic phenomena within the neo-classical framework in a period of changes when learning about the changes precedes any costly adaptation. The process of learning has been argued to be a missing element. It is defined as the continuous inference from observable data the unobservable state and structure of the market that are typically unknown. Learning is more detectable during rapid economic changes and when the gain- loss differential is critically enormous, like in the financial markets. Hence, an interactive learning model is formulated to study how learning and the interaction between market and traders can affect price. In particular, the noise trader approach which accounts for the excess volatility and the mean reversion phenomena in share prices, is used as a theoretical framework that allows learning to happen. A case study is done to four chosen shares in the Warsaw Stock Exchange (WSE), a newly-emerged market in a transitory economy. Analysis is done by means of simulation and detailed comparison between empirical and simulated data. The objectives are: (i) to understand the effect of learning and the interaction between market and agents and (ii) to search for the underlying conditions in the chosen markets so as to have a better understanding of them. The results suggest that the four chosen markets in WSE are not efficient. Self-fulfilling inefficient market beliefs of agents who are learning the state of the market with dynamically misspecified models may be a cause. Learning also leads to excess volatility and mean reversion in share prices. Moreover, free participation in the market can produce seemingly deceptive regression results against the objective process if agents are capable of influencing market realisation. This is best reflected in one of our controlled extreme cases with no learning in the market.
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Hsieh, Tsung-Han. "Essays on financial bubbles and stock liquidity on the London Stock Exchange." Thesis, Queen's University Belfast, 2017. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.727402.
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This thesis is a theoretical and empirical analysis of asset price movement including during periods characterised by financial bubbles. It can be argued that financial bubbles occur due to excessive optimism on the part of speculative investors. The positive expectations of investors encourage increases in both price and trading volume. When prices subsequently falter exodus from the market ensues resulting in both a price and trading volume crash. A key question is why do bubbles emerge and grow and subsequently burst? One answer to this question may be found through an analysis of how beliefs are formulated. In the theoretical component of this thesis (Chapter 2) by applying the feedback modelling approach with the coordination game of Ozcenoren and Yuan (2008) we model how investor beliefs are formulated. In Chapter 3 we use transaction-level data to investigate market illiquidity on the London Stock Exchange over the period 1996-2009. The time period under investigation encompasses the Internet (Dot-com) bubble (1997-2000) and house price bubble (2007-2008). Our dataset covers 1,600 stocks and more than 528 million trades. Chapter 4 present the second empirical investigation and considers whether spreads on the London Stock Exchange have become increasingly right skewed.
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Thammaraks, Angsu-apa. "Stock market anomalies and return predictability on the stock exchange of Thailand." Thesis, University of Exeter, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.312080.
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Kruger, Theunis Lodewicus. "Dividend stability, dividend yield and stock returns on the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/52241.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: This study investigates the relationship between dividends and stock returns on the Johannesburg Stock Exchange (JSE). In this mini study project a regression model is used to investigate the relationship between dividend yield portfolios and stock returns. Each of these dividend yield portfolios are further subdivided into dividend stability portfolios which together with a regression model are used to investigate the relationship between dividend stability and stock returns on the JSE. It follows from this study that there is a non-linear relationship between the risk-adjusted returns and dividend yields. A significant finding of this study is the fact that there is an inverse linear relationship between the dividend yield and average stock returns for dividend paying portfolios on the JSE. Investors on the JSE appear to place a premium on capital gains as opposed to dividends. It follows from this study that there is an inverse correlation between dividend stability and the risk-adjusted return with the beta coefficient increasing as dividend stability decreases. Within a particular yield portfolio, it is evident that higher systematic risk is associated with shares with unstable dividend yielding histories. It is clear from the results that this dividend signalling is not limited to high yielding stocks alone. As dividends are not entirely controlled by managers, a low stable dividend yield could signal a low exposure to systematic risk to outsiders.
AFRIKAANSE OPSOMMING: In hierdie studie word die verband tussen dividende en aandeelopbrengste op die Johannesburgse Effektebeurs ondersoek. 'n Regressiemodel is in hierdie mini werkstuk gebruik om die verwantskap tussen dividend opbrengsportfolios en aandeelopbrengs te ondersoek. Elk van hierdie opbrengsportfolios is vervolgens verder verdeel in dividendstabiliteitsportfolios wat tesame met 'n regressiemodel gebruik is om die verband tussen dividendstabiliteit en aandeelopbrengs te bepaal. Dit volg uit hierdie studie dat daar 'n nie-lineêre verband tussen risiko aangepaste aandeelopbrengs en dividendopbrengs bestaan. 'n Noemenswaardige bevinding is die inverse lineêre verwantskap tussen dividend en gemiddelde aandeelopbrengs vir dividend betalende aandele op die Johannesburgse Effektebeurs. Dit blyk asof beleggers op die Johannesburgse Effektebeurs 'n premie plaas op kapitaalgroei ten koste van dividendopbrengs. Dit volg ook uit hierdie studie dat daar 'n inverse korrelasie is tussen dividendstabiliteit en risiko aangepaste aandeelopbrengs met die beta koëffissiënte wat toeneem soos dividendstabiliteit afneem. Binne 'n spesifieke dividendopbrengsportfolio is dit duidelik dat hoër sistematiese risiko geassosieer word met onstabiele historiese dividendopbrengste. Dit volg uit die resultate dat hierdie inligtingoordrag deur middel van dividende, nie beperk is tot hoë dividendopbrengs aandele nie. Aangesien dividende nie uitsluitlik deur bestuurders beheer word nie, kan 'n aandeel met lae maar stabiele dividendopbrengs, 'n boodskap van lae blootstelling aan sistematiese risiko aan die mark oordra.
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Mu, Lin. "Stock price reactions to dividend changes : evidence from the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2006. http://hdl.handle.net/11427/11578.
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Includes bibliographical references.This research paper examines stock price reactions to the changes in cash dividend payments for mature companies listed on the Johannesburg Stock Exchange (JSE). Prior South African research studies have employed the Market Model and Mean-Adjusted Return Model of event study to estimate "normal return" of the companies listed on the JSE. This study has employed the Market-Adjusted Return Model and short event window (-5, +5) to test the effect of dividend changes. The empirical results are based on 48 samples of mature companies with regular half yearly cash dividend records during the 2000- 2004 period. Using 4741 dividend change observations, it was found that the stock price reactions to increase announcements were greater than those for decrease announcements over the entire event days. It was further found that the stronger positive market reactions were associated with those announcements of larger percentage increases in dividends. These results lead to support the existence of the Dividend Signalling Hypothesis.
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Rosén, Fredrik. "Correlation based clustering of the Stockholm Stock Exchange." Thesis, Stockholm University, School of Business, 2006. http://urn.kb.se/resolve?urn=urn:nbn:se:su:diva-6500.
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This thesis present a topological classification of stocks traded on the Stockholm Stock Exchange based solely on the co-movements between individual stocks. The working hypothesis is that an ultrametric space is an appropriate space for linking stocks together. The hierarchical structure is obtained from the matrix of correlation coefficient computed between all pairs of stocks included in the OMXS~30 portfolio by considering the daily logarithmic return. The dynamics of the system is investigated by studying the distribution and time dependence of the correlation coefficients. Average linkage clustering is proposed as an alternative to the conventional single linkage clustering. The empirical investigation show that the Minimum-Spanning Tree (the graphical representation of the clustering procedure) describe the reciprocal arrangement of the stocks included in the investigated portfolio in a way that also makes sense from an economical point of view. Average linkage clustering results in five main clusters, consisting of Machinery, Bank, Telecom, Paper & Forest and Security companies. Most groups are homogeneous with respect to their sector and also often with respect to their sub-industry, as specified by the GICS classification standard. E.g. the Bank cluster consists of the Commercial Bank companies FöreningsSparbanken, SEB, Handelsbanken and Nordea. However, there are also examples where companies form cluster without belonging to the same sector. One example of this is the Security cluster, consisting of ASSA (Building Products) and Securitas (Diversified Commercial \& Professional Services). Even if they belong to different industries, both are active in the security area. ASSA is a manufacturer and supplier of locking solutions and SECU focus on guarding solutions, security systems and cash handling. The empirical results show that it is possible to obtain a meaningful taxonomy based solely on the co-movements between individual stocks and the fundamental ultrametric assumption, without any presumptions of the companies business activity. The obtained clusters indicate that common economical factors can affect certain groups of stocks, irrespective of their GICS industry classification. The outcome of the investigation is of fundamental importance for e.g. asset classification and portfolio optimization, where the co-movement between assets is of vital importance.
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Menke, Susan Diane. "Metaphors of exchange and the Shanghai stock market." online access from Digital Dissertation Consortium access full-text, 2000. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?9971606.
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Yang, Dan. "Financial fraud in Chinese stock exchange listed companies." Thesis, University of Aberdeen, 2010. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=163152.
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This thesis develops an analysis of the prevalence and determinants of financial fraud as identified in the Chinese listed firms over the period 1996 to 2007. First, theoretical analysis on the determinants of financial fraud, from its subjective, objective and conditional aspects, provides an understanding of why financial fraud happened as it did. The conditional aspect (corporate governance mechanisms) is highlighted since it is controllable in reducing the probability of fraudulent reporting. Data from the Chinese stock market is accessed, organised, and analyzed to support the analysis. Second, the prevalence and nature of fraud uncovered in the supervision of listed companies in Chinese stock exchanges is identified. From data reported by the China Securities Regulatory Commission, the incidence and prevalence of cases of fraud identified through regulation is investigated. I show how fraudulent activity can be categorised, how its nature has evolved over time, how business sectors are differentially prone to fraud, and what modes of fraudulent activity have been recorded. Third, the key interest of this research lies in the investigation of the argument that companies are more, or less, prone to fraudulent reporting by reason of: Their ownership structure; Their corporate governance characteristics; and/or Their numerical characteristics in financial reporting. 82 fraudulent financial statements from 40 listed companies identified by the China Securities Regulatory Commission are selected as the study sample, and 82 control peers are selected, to correspond to the study sample as closely as possible, regarding the assets size and industries. Findings challenge the conventional arguments which have been supported based on data from western countries. Conventional arguments show financial fraud is associated with weakness of governance in western companies (e.g. Beasley et al., 2000) and with patterns of ownership that would indicate reduced agency control by shareholders. However, my finding reveals that in China ownership concentration is negatively associated with reported fraud; and as for some oft-discussed corporate governance characteristics (e.g. the supervisory board, audit committee, independent directors), the fraud firms and their non-fraud peers are not statistically distinct, suggesting that corporate governance mechanisms that are designed to reduce the probability of financial fraud fail to work in the Chinese market. The negative results in this research contribute by updating our understanding of the determinants of financial statement fraud; the supervision of China’s equity markets; and whether it can be considered effective in uncovering financial fraud.
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Orakcioglu, Ismail. "Efficiency and volatility on the Istanbul Stock Exchange." Thesis, City University London, 2000. http://openaccess.city.ac.uk/8109/.
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This thesis investigates characteristics of the prices of shares traded on the Istanbul Stock Exchange (ISE), an important and fast-growing market. We look at five issues: the shape of the distribution of daily returns the predictability of these returns the presence of day-of-the-week effects in the mean and variance of returns the behaviour of the mean and variance of returns around stock split and dividend dates and the predictability of variances, and in particular the performance of adaptive models relative to the GARCH models. Our main findings can be summarised as follows. First, the hypothesis of normality is rejected, mainly due to excess kurtosis. To explain excess kurtosis, we used an autoregressive conditional heteroskedastic (ARCH) model, and a GARCH(1,1) model is found to fit the ISE index data well. A significant further finding, based on a t-GARCH-M model is that in the early years of the exchange, mean returns were significantly influenced by the returns variance. Second, standard tests for serial correlation, and for runs of same-sign returns, show that the hypothesis of a random walk can be rejected, with index returns showing significant first and second order serial correlation. Again, these effects are stronger in the early years of the exchange. Third, using a GARCH model, we find no strong evidence of the day of the week effect in mean returns on the index or on the 20 actively traded companies. But there is evidence to suggest that the market is more volatile on Mondays and after holidays. Again, these effects are not stable over time. Taken together, these results point to the market becoming progressively more efficient and more integrated with the international capital market over the period of the study. Fourth, the results from the EV-GARCH model, a GARCH model with event dependent intercept terms, a technical novelty, show that there is no effect on mean returns from stock dividends. Surprisingly, cash dividends do cause returns to rise/fall after their payment. On the other hand, stock dividends do significantly increase the variance of returns around the event day, and for several weeks thereafter. Finally, although we have characterised the daily returns series by an autoregressive model with a GARCH process for volatility, it turns out that the GARCH model does not unambiguously dominate alternatives in forecasting and trading applications. In 5- to 20-day ahead forecasts, the GARCH model is slightly more accurate than four alternatives, including exponential smoothing models (RiskMetrics) and historic volatility. However, it is (inevitably) less accurate than a model which pools forecasts from all models. In a simulated options market - another technical innovation of the thesis - we find that traders using a GARCH model would on balance lose money to traders using other methods, in spite of the apparently greater accuracy of the GARCH forecasts. This confirms for volatility forecasts an important result which is already know to hold for mean forecasts - that in forecasting financial markets, there is little correlation between meansquare accuracy and trading profitability.
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Dube, Zenzo Lusaba. "The London Stock Exchange : a new institutionalist analysis." Thesis, University of South Wales, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.496063.
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This thesis addresses the historical reasons for how and why the London Stock. Exchange (LSE) has survived over 200 years as one of the world's leading exchange markets. The LSE has firmly ensconced itself in the United Kingdom's economy such that it is now synonymous with the City of London, the "very hub and engine of the UK's economy. Indeed, the study investigates why the LSE encapsulates a living history relating not only to the past bllt also the present and future. Why has it persisted with time? To answer these qllestions the thesis draws upon the three schools of new institutionalism, namely : rational choice; sociological and historical through the critical theory paradigm of inquiry and hermeneutics. All three schools of thought seek to explain how institutions behave, and to explain institutional change and how institutional actors behave. Hermeneutics forms a mutual synthesis for understanding and a bridge between past and present through an engaged dialectic (or fusion of horizons). The 1986 'Big Bang' brought forth the biggest reforms in the LSE's history. The reforms opened the doors to the public, of an institution that had been a private gentlemen's club for over one hundred and eighty-five years. Due to the boom that followed, the LSE lost control of its markets and numerous corporate scandals followed. Thee LSE has already lost most of its powers to the FSA. Furthermore the LSE's global dominance over international securities is now under threat from the NYSE-Euronext merger. NASDAQ has raised its stake in LSE to 28.75% to make it its biggest shareholder. A takeover or merger with NASDAQ seems inevitable. What then is the future for the LSE? This thesis argues that through a study of the LSI's past one can understand its present circumstances and to a certain extent its future. The LSE is after all a living history.
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Katin, Igor. "On Development and Investigation of Stock-Exchange Model." Doctoral thesis, Lithuanian Academic Libraries Network (LABT), 2014. http://vddb.library.lt/obj/LT-eLABa-0001:E.02~2014~D_20140602_082737-12589.
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A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks.Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus.
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Siganos, Antonios. "The momentum effect on the London Stock Exchange." Thesis, University of Stirling, 2004. http://hdl.handle.net/1893/2602.
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This study intends to investigate the momentum effect, which states that shares which performed the best (worst) over the previous three to twelve months continue to perform well (poorly) over the subsequent three to twelve months. Evidence suggests that a strategy that buys previous winner shares and sells short past loser stocks can generate abnormal profitability of about 1 per cent per month (Jegadeesh and Titman, 1993). Although momentum payoffs tend to persist when share returns in international markets are employed (e. g., Griffin et al., 2003, Rouwenhorst, 1998), a significant number of studies have debated the potential explanation of the momentum effect without reaching a consensus. Using data from the London Stock Exchange from January 1975 to October 2001, this thesis investigates some factors that influence the magnitude of continuation gains that have not been previously identified. I examine the relationship between momentum profitability and the stock market trading mechanism and is motivated by recent changes to the trading systems that have taken place on the London Stock Exchange. Since 1975 the London stock market has employed three different trading systems: a floor based system, a computerised dealer system called SEAQ and the automated auction system SETS. I find that after the introduction of the computerised dealer system SEAQ momentum profits are higher than when the floor based system operated. I also document that companies trading on the SETS auction system display greater momentum profitability than shares trading on SEAQ. Results are robust to the use of different samples and alternative risk adjustments. I investigate the role of volatility in influencing momentum profits. Shares with high volatility display wide spread out returns and therefore, potential higher magnitude momentum profitability. Given that shares displayed higher volatility traded on the post-Big Bang period (Tonks and Webb, 1991) and on the SETS system (Chelley-Steeley, 2003), I examine whether the different levels of momentum profitability achieved in alternative stock market structures arises from volatility. I find that momentum profits are strongly influenced by volatility, but the finding that the organisation of a stock market influences the momentum profits holds even after considering differences in volatility. I examine whether the magnitude of momentum profitability varies following bull and bear markets. Momentum profits stem from the winner shares in bull markets and from the loser stocks in bear markets. I report that momentum profits are stronger following bear markets, showing a sign of mean reversion in the UK stock market. Overall, this study contradicts the model of Hong and Stein (1999) that the momentum effect arises from the gradual expansion of information among investors and the model of Daniel et al, (1998) that the momentum effect stems from the investors' overconfidence that increases following the arrival of confirming news. This study also indicates that a significant portion of momentum profits stem from the magnitude of volatility.
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AZEVEDO, SERGIO CIGLIONE DE. "MASSES: MULTI-AGENT SYSTEM FOR STOCK EXCHANGE SIMULATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25789@1.
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PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIROCOORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR
PROGRAMA DE EXCELENCIA ACADEMICA
A partir do avanço tecnológico, o acesso à informação vem se tornando cada dia mais simples e mais rápido, facilitando consideravelmente o processo de tomada de decisões. Tais mudanças afetam o comportamento de empresas de todas as áreas e da sociedade em geral. No cenário econômico, o Mercado de Valores é um bom exemplo dessa transformação e, por esse motivo, foi escolhido como o domínio de aplicação a ser utilizado pelo simulador Multi-Agent System dor Stock Exchange Simulation (MASSES). Inspirado nos casos de sucesso de competições baseadas em Sistemas Multi-Agentes, trata-se de um simulador onde agentes de software desempenham o papel de investidores. Através do MASSES, podem ser realizados estudos comparativos entre diversas estratégias e análises de como elas se comportam em diferentes situações. A principal contribuição do MASSES é estimular pesquisadores a desenvolver as tecnologias de Engenharia de Software para Sistemas de Multi-Agentes (ESSMA) e inteligência artificial, estreitando ainda mais o relacionamento entre a tecnologia da informação e o mercado financeiro. Essa dissertação apresenta o simulador MASSES e os testes realizados a partir de estratégias de investimento utilizadas no mundo real.
Due to technological advancements in IT, access to information is becoming simpler and faster every day, thus facilitating the decision-making processes. These changes affect the behavior of all kinds of businesses and the society in general. In the economic scenario, Stock Exchange Market is a good example of this transformation and therefore was chosen as the application domain to be explored by a Multi-Agent System for Stock Exchange Simulation (MASSES). Inspired by success stories about Multi-Agent System applied to competitions. MASSES is a simulator where software agents play the role of investors. Through MASSES simulations, it is possible to perform studies among different situations. MASSES main contribution is to encourage researches to develop Software Engineering for Multi-Agents Systems using artificial intelligence techniques, thus strenghtening the relationship between information technology and the financial market. The present dissertation aims to explain MASSES, in addition to showing test results based on the investment strategies used in the real world.
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Wang, Andong. "Studies of liquidity in the London Stock Exchange." Thesis, University of Hull, 2017. http://hydra.hull.ac.uk/resources/hull:16467.
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The thesis studies liquidity related issues in the London Stock Exchange from 2001 to 2013 from different viewpoints. The first chapter introduces and motivates the study. The second chapter fully discusses the liquidity and liquidity measures from multiple dimensions and examines liquidity using five liquidity measures: relative spread, the Amihud ratio, the Rtotr ratio, zero trading volume days and zero return days. The time-series study shows that liquidity changes over time and largely depends on the financial environment. The analysis compares liquidity measures and finds that Rtotr may not be a reliable liquidity measure during a financial crisis due to the turnover anomaly. Moreover, the empirical results support the prior findings in the literature that relative spread is positively related to volatility, and negatively related to price and trading volume. The Amihud ratio, zero trading days and zero return days are better measures of explaining relative spread. All these findings give a better understanding of liquidity measures and enlighten the following deeper research. The third chapter continues to study liquidity and market characteristics from a panel viewpoint and the chapter extends the fixed effects model to solve the problem that some of the variables are not stationary. The panel results give more powerful explanations of liquidity. In particular, less liquid stocks are associated with higher volatility, lower price and lower trading volume. Market value has differing relationships with the various liquidity measures. The fourth chapter expands the liquidity research field and contains both theoretical and empirical work indicating that more liquid stocks have higher kurtosis and first lag autocorrelation due to higher transaction costs. In addition, the empirical results show skewness is also negatively related to liquidity. The final chapter presents the conclusions of the research.
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Mozumder, Nurul. "The relationship between exchange rates and stock prices." Thesis, Cardiff Metropolitan University, 2013. http://hdl.handle.net/10369/6512.
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The relationship between exchange rates and stock prices is examined in three independent but inter-connected studies. The original contribution of first study is the finding that interest rates have a significant non-liner explanatory power in the relationship between exchange rates and stock prices. The main contribution of the second study is the finding that there are asymmetric volatility spillover effects between exchange rates and stock prices in both developed and emerging countries, particularly during the financial crisis. The third study makes original contribution to knowledge by finding that there is no major deference between Eurozone and non-Eurozone, and between financial and non-financial firms in terms of exchange rate exposures after controlling for market effects. In study 1, the evidence from the M-TECM tests indicate that there is a uni-directional causality from stock prices to exchange rates in the Eurozone, a unidirectional causality in the opposite direction in Brazil, and a bi-directional causality between the variables in Russia. In study 2, the results of the EGARCH tests indicate that there is a uni-directional volatility spillover effect running from stock prices to exchange rates in developed countries and a volatility spillover in the opposite direction in emerging countries. In study 3, the results of the regression tests show that 18% of Eurozone firms and 16% of non-Eurozone firms, and 20% of financial firms and 16% of non-financial firms have significant exchange rate exposures. However, the exposure increases during the financial crisis. Overall, the thesis finds evidences supportive of long-run equilibrium and short-run causal relationships between exchange rates and stock prices in macro level. In micro level, however, the relationship between exchange rate movements and the market value of firms is relatively week.
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Ignatius, Roger. "The Bombay Stock Exchange: tests of market efficiency." Thesis, University of North Texas, 1991. https://digital.library.unt.edu/ark:/67531/metadc332561/.
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This dissertation analyzes the efficiency of the Bombay Stock Exchange (BSE) and the relationship of stock return patterns on the BSE with those of the New York Stock Exchange (NYSE). The data includes daily closing values of the BSE and S&P 500 Indexes for the period 1979-1990 and bi-weekly closing prices on 27 of the most active stocks on the BSE for the period 1980-1990.
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Mao, Wei. "The interaction between exchange rates and stock prices." Thesis, University of Birmingham, 2014. http://etheses.bham.ac.uk//id/eprint/5182/.
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This doctoral thesis aims to contribute to the interaction between exchange rates and stock prices at firm level, using a large unbalanced panel consisting UK non-financial companies over the period 1990—2011. There are six chapters. After the Introduction, Chapter 2 critically and comprehensively reviews previous theoretical and empirical studies of the relationship between exchange rates and stock prices, and then suggests several new research ideas. Chapter 3 derived a theoretical framework for the transmission channels through which changes in exchange rates pass-though into stock prices. The model is then calibrated to provide implications. Two main transmission channels are identified: the revenue-side channel and the cost side channel. The findings show that the effect through the revenue-side channel can explain more than 80% of currency exposures, while less than 20% can be explained by impact through the cost-side. Chapter 4 develops an empirical model to provide evidence for the theoretical framework in Chapter 3. Meanwhile, this chapter also examines how firms’ characteristics have an impact on identified transmission mechanism. Chapter 5 distinguishes the unanticipated parts of exchange rate variations from the anticipated ones, using more advanced return decomposition techniques and VAR specifications. To be specific, foreign exchange beta is decomposed into foreign exchange beta due to unanticipated changes in cash flows and discounted rates. The key findings, contributions and limitations are given in Chapter 6, as well as new research ideas for the future.
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Chandriotis, Cleanthis. "Initial Public Offerings in the Cyprus Stock Exchange." Thesis, Durham University, 2013. http://etheses.dur.ac.uk/9429/.
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The academic literature is quite rich in exploring Initial Public Offerings (IPOs) in developed markets and to a lesser degree in emerging markets. However, seldom one can find research on IPOs in start-up stock exchanges. Such is the case of the Cyprus Stock Exchange which was inaugurated in March 1996 and this thesis looks at IPOs that took place over a period of six years (1997-2002). Therefore, the first motivation is to explore this setting for IPOs. Moreover, the Cyprus Stock Exchange is probably the least researched stock exchange in the European Union. Out of the 12 countries that joined the European Union between 2004 and today, only Polish, Bulgarian and Hungarian IPOs are researched. Due to the comparatively young age of the Cyprus Stock Exchange and the Capital Markets in Cyprus in general at the time of the sample, the various players (underwriters, auditors, regulators, investors) were relatively inexperienced vis-à-vis the IPO process and outcomes of their actions (or rather their lack of action) affected the development of the primary market. Therefore, the second motivation stems from the specific institutional and regulatory characteristics of the CSE at the time of the sample. Cyprus, a start-up stock exchange with a relatively new but comparably densely populated market for listed companies (150 listed companies), poses an interesting research case. In particular, the institutional characteristics that existed in the Cypriot capital market over the period 1997 to 2002 (a novice stock exchange, inexperienced market participants, lack of investment options available and restrictions in capital flows, a weak legal and institutional framework) combined with a number of socioeconomic and political factors at the time make IPOs in the CSE an interesting subject for empirical research. This ‘cocktail’ of inexperience, inadequate regulation, and limited equity culture provided the platform for the formation of a large IPO ‘bubble’ which eventually imploded. Therefore, the motivation for the study develops the following research questions: 1. What is the level of first-day returns for Cypriot IPOs and how does that compare with the available literature? 2. What are the explanations for the level of short-run underpricing recorded? 3. What is the long-run (12-, 24- and 36-months) aftermarket performance of these IPOs and how does that compare with the available literature? 4. What are the explanations for the documented long-run aftermarket performance? 5. Did CSE IPO firms employ income increasing accruals prior to the IPO? 6. What is the level of understanding of Cypriot Managers of the IPO process in relation to the extant literature? This thesis consists of three inter-related empirical studies on companies that were listed on the Cyprus Stock Exchange during the period 1997 to 2002. In particular, this thesis investigates the short- and long-run IPO performance of these companies (chapter 1). The variables employed are grouped into four categories namely advisor/certifier-, market/institutional-, issuer-, and IPO-specific. It is observed that CSE IPOs over the sample period offered investors the highest returns in a European market and one of the highest in the world. Following the establishment of these ultra-high returns, and the independent variables that are related to this spectacular performance, the thesis investigates whether these CSE IPO companies engaged in income increasing accruals before their IPOs (chapter 2). In Chapter 2, both univariate as well as multivariate tests are employed to test the hypothesis that these firms actually employed earnings management pre-IPO using income increasing accruals which reversed after the 1st year of listing. In order to establish also the relationship between the short- and long-run performance of IPO firms, the latter are regressed with the earnings management variable which takes the form of discretionary accruals, total accruals or the components of accruals which are creditors, debtors, inventory, depreciation and cash flow from operations. The results show that both the short- as well as the long-run performance are also affected by the earnings management variable together with the other variables that are found to affect IPO performance in chapter 1. Having examined the two aspects of CSE IPOs, i.e., short, long performance and earnings management, the thesis presents also the results from a questionnaire survey which aims at revealing managers of CSE listed IPO companies level of understanding of the IPO process and IPO ‘anomalies’ (chapter 3) and comparing this with the extant academic literature and also with the responses of managers in the US. Great effort, both theoretical and empirical, has been made to understand managerial decision-making in the initial public offering (IPO) process. Most empirical IPO research relies on publicly available stock return data. However, there is a need to extend the literature by examining how well managers’ motivations for conducting IPOs and understanding of the IPO process correlate with existing academic theories. By surveying managers in an emerging market to obtain a real-world perspective on the IPO process, their beliefs and experiences can be compared to both academic theory and the findings from empirical research. Cypriot managers’ responses in an emerging/novice market such as the Cyprus Stock Exchange can also be compared with those of managers in a highly-developed market such as the US. The combination/integration of the above elements makes this study, the first of its kind for Initial Public Offerings in the Cyprus Stock Exchange. The results from the first study indicate the following: a. The existence of ultra-high first-day returns. b. The existence of a hot issue period. c. Long-run under-performance of IPOs over a three-year period. d. Significant institutional deficiencies. Specifically, it is observed that IPOs in the CSE offered investors initial (first day) returns that are among the higher in the world even after adjusting for the hot issue period of 1999. IPOs ‘younger’ in age, offered higher short-run returns than ‘older’ ones. Furthermore, smaller IPOs as measured by the size of gross proceeds perform better in the short-run than larger IPOs. Moreover, IPOs in certain industrial sectors offered investors the highest initial returns. It is observed that gross proceeds, the time from application to listing, the capital structure of the IPO firm (leverage), the standard deviation of market returns 21 days after the listing, and return on shareholders’ equity provide a highly explanatory model of raw initial returns. It is also found that Cypriot IPOs underperform in the long-run as the majority of IPOs in academic studies do. Cumulative Abnormal Returns (CARs) are negative for all years in the sample period during the 24-, and 36-month periods. In contrast, the 12-month period average CARs over the sample period are all positive. Moreover, IPOs in the ‘hot’ issue period have worse performance than the rest of the pack which confirms that findings of many researchers that IPOs in ‘hot’ periods have a worse performance than the rest in the long-run. The standard deviation of returns 21 days after the listing of the IPO, the capital structure of the IPO firm (leverage), the return on equity of the IPO firm prior to listing and its sales growth prior to listing offer a satisfactory explanatory model of 36-month cumulative average returns. Cypriot firms exploited a ‘window of opportunity’ that was opened in the market for listing. However, the high inefficiencies that existed and continuous changes that took place in the regulatory and institutional framework of the market as reflected predominantly by the large time span between application and listing (probably the longest in the World), had as a result huge delays in listing.
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Van, der Bijl Wouter Jan. "Special dividends on Johannesburg Stock Exchange : 1999-2011." Thesis, Stellenbosch : Stellenbosch University, 2012. http://hdl.handle.net/10019.1/95682.
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Thesis (MBA)--Stellenbosch University, 2012.Ever since listed companies have been allowed to buy back shares (since the Companies Amendment Act was introduced in 1999), a major question has been whether companies with extra cash should pay out dividends or buy back shares. The larger research project for the University of Stellenbosch Business School (USB) will evaluate this question by comparing the rand value of dividends paid to shareholders to the rand value of share buybacks and comparing the rand value of special dividends to the rand value of share buybacks. The research described in this report was conducted as part of the bigger research project on dividends and aimed to produce a provisional list of special dividends paid from 1999 to 2011 for all companies listed on the Johannesburg Stock Exchange. The list comprises only special dividends paid from earnings, hence the term „provisional list‟. The bigger research project to produce a comprehensive list of special dividends will include the following additional steps: 1. Determining payments from earnings and share premium. 2. Determining payments from earnings, share premium and special designated dividends (SDD). 3. Determining payments from earnings, share premium, SDD and statistically evaluated dividends. The present research showed that using databases alone would not yield viable data for research purposes. The researcher started to gather data from two databases and afterwards had to evaluate the Stock Exchange News Service (SENS) announcements to eliminate the discrepancies. Furthermore, the physical financial statements gave valuable information to produce the provisional list. The correct method to determine the true rand amounts for dividends is firstly to consult the annual financial reports and secondly to retrieve the SENS announcements. Then the entry can be verified by multiplying the dividend per share by the number of shares on the record date. This rand value can be found in the financial statements in the statement of changes in equity. The dividends paid out of share premium are easy to identify, as the entry will be specifically stated in the statement of changes in equity. The determination of special dividends is rather difficult, because the rand amount of special dividends are hardly ever published as such in the statement of changes in equity. The conclusion reached by the researcher is that the only method to obtain the correct entries for any financial evaluation is to consult the audited financial statements. Databases can be useful in obtaining some information; however, the only reliable resource to retrieve the final information is from financial statements.
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Eloff, F. N. "Momentum trading strategy on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2014. http://hdl.handle.net/11427/8557.
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Includes bibliographical references.This research report documents an example of evidence of investor overreaction in the marketplace, with overreaction to short-term information found to be exploitable via price corrections in order to generate market-beating returns. An efficient market should render any consistent abnormal returns unattainable. Hence any technical analysis allowing an investor to obtain such returns would indicate a degree of market inefficiency. Three signal generation strategies are employed to test for momentum and price corrections in the market, namely using a stock's price and moving average, ranking stocks based on prior returns, and allocating stocks as overbought and oversold. The strategies are employed on data comprising the top 60 stocks on the JSE as at August 2012. The period tested runs from January 1998 to August 2012. Signal generation by means of price and moving average encompasses trade signals being generated by a stock's price moving above or below a variable moving average. Returns to this strategy tend to be maximized when employing a short-term (20-day) moving average, with an annualised above market return of 14,9 achievable. Using the returns of a stock in an immediately preceding formation period as a ranking criterion to classify stocks into a portfolio is found to be a superior method to generate trading signals. A portfolio of the best performing stocks in a preceding period ("the winner portfolio") is found to be able to outperform the market. Given a minimum formation period of 50 days, price continuation is achieved after holding the portfolio for at least 30 days, with annualized market excess returns greater than 10 achieved at longer formation and holding periods. A portfolio of the worst performing stocks in the same period ("the loser portfolio") is able to outperform the winner portfolio, and is capable of achieving returns of 20 in excess of the market, given a formation period as low as 10 days, while closing the investment position after no more than 10 days.
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Ncube, Geoffrey Shima. "The descriptive analysis of the Botswana stock exchange." Master's thesis, University of Cape Town, 1999. http://hdl.handle.net/11427/9942.
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Bibliography: leaves 53-55.The thesis has the modest objective of supplying a descriptive analysis of the Botswana Stock Exchange (BSE). The motivation is that little work has been done and relatively little is known about it. It is felt therefore that basic knowledge of BSE is important. This knowledge could be of interest to an investor who is uninformed about the BSE.
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Nash, Peter. "The weekend effect on the Johannesburg stock exchange." Master's thesis, University of Cape Town, 1994. http://hdl.handle.net/11427/8474.
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Bibliography: leaves 97-100.The study of intraweek share return patterns has received considerable attention in the field of international research. This research has shown that share returns tend to be higher than average on the last trading day of the week and lower than average on the first. This anomaly has come to be known as the Weekend Effect. Explanations proffered for this phenomenon have failed adequately to justify the pattern of returns across the weekdays. These explanations include settlement period delays, dividend effects, measurement error in share prices, institutional features and the tendency for firms to release unfavourable information over the weekend. This study investigates day of the week effects on returns of the All Share Index, Industrial Index and Gold Index on the Johannesburg Stock Exchange.
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Uppiah, Krishnaveni. "Portfolio management issues in Mauritius." Thesis, 2002. http://hdl.handle.net/10413/2451.
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This dissertation relates to the study of the financial market of Mauritius, which is categorised as "Emerging". Its performance as an exchange system has been assessed with a view to find whether it is operationally efficient. Consequently, two issues in portfolio management have been analysed. In the first instance, the risk reduction effect of increasing portfolio size, based on the simple diversification strategy has been experienced. Secondly, the hypothesis that investment in low
P/BV shares on average yields higher returns than investment in high P/BV shares has been tested.Thesis (MBA)-University of Natal, 2002.