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1
Tian, Lijun. "Modeling risk and return in China's stock market." Diss., Restricted to subscribing institutions, 2007. http://proquest.umi.com/pqdweb?did=1417810931&sid=1&Fmt=2&clientId=1564&RQT=309&VName=PQD.
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Hao, Jia. "Essays on the importance of market rules." online access from Digital Dissertation Consortium, 2007. http://libweb.cityu.edu.hk/cgi-bin/er/db/ddcdiss.pl?3258572.
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3
Argyros, Robert. "The power of investor sentiment: an analysis of the impact of investor confidence on South African financial markets." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1004169.
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Whether investor sentiment has any authority over financial markets has long been a topic of discussion in the field of finance. This study investigates the relationship between investor sentiment and share returns in South Africa. Determining this relationship will add to the existing work which has documented important determinants of share returns on the stock exchange in South Africa, as well adding to the inconclusive link between sentiment and the South African financial markets. Does sentiment influence share returns or do share returns influence sentiment? Using quarterly data for the period 1996-2010, the study makes use of the FNB/BER Consumer Confidence Index as a proxy for investor sentiment, and the FTSE/JSE All Share Index to represent the South African financial markets. A regression analysis was conducted along with granger-causality tests, impulse response functions and variance decompositions in order to determine the nature of this relationship. The results showed that investor sentiment has a statistically significant relationship with share returns in South Africa. However, sentiment is only able to account for a very small portion of the variation in returns, with returns able to account for a larger portion of the variation in sentiment. Therefore investor sentiment is not a suitable predictor of share returns in South Africa. In addition, granger-causality tests indicate that returns are actually the leading indicator, suggesting that changes in South African investors’ confidence levels occur following changes in the state of the JSE. The limitations of the study include the infrequent nature of the sentiment measure used, thereby failing to capture important changes in sentiment and their immediate impact on financial markets. In addition, the sentiment of foreign investors must be taken into account due to the large foreign investment in the JSE.
4
Poon, Hing Chuen. "The performance of non-index individual stocks and stock portfolios relative to the index." HKBU Institutional Repository, 2020. https://repository.hkbu.edu.hk/etd_oa/891.
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Extensive empirical evidence shows that passively managed index-tracking mutual funds and exchange-traded funds (ETFs) outperform actively managed portfolios. On the other hand, there are abundant findings that stocks admitted to an index outperform those deleted from the index. This study tests an issue that has been largely ignored in academic studies but is highly related to the above two seemingly disparate areas of researches. The paper examines the long-term performance of non-index individual stocks and stock portfolios relative to the index. The study proposes that the inclusion and maintenance criteria for index component stocks are long-term performance indicators. Therefore, an index can be regarded as a passively managed and highly diversified portfolio of expected outperformers. Using a complete set of H-shares listed on HKEx for the period 2001 to 2017, the study finds that 44.25% (55.75%) of individual stocks have positive alphas (negative alphas) relative to the index. The average alpha for the family of all non-index stock is negative but statistically insignificant, i.e., 77 positive alphas and 97 negative alphas. Most alphas are statistically insignificant, but only 5 are positive, and 2 are negative at 5% significance level. From the risk and return perspective, the index dominates two-third of the non-index H-shares. Regression analyses show that H-index outperforms non-index H-shares in general and the market capitalization and turnover ratio play an important role in determining the long-term performance of H-shares, which are the major factors for the admission and maintenance criteria of H-index. The findings strongly support our conjecture that the index admission and maintenance criteria are the quality assurance of individual constituent stocks of an index. The paper provides incremental evidence on the widely documented result that index trackers outperform actively managed portfolios. Nevertheless, the study extends the recent literature on the long-term performance of stocks that are admitted to (or excluded from) an index. The findings of the study have significant implications for securities markets participants, including index providers and ETF issuers
5
Lui, Man Chee Ian. "The myths and beliefs of foreign investors in Asian emerging stock markets : the case of Malaysia /." View thesis View thesis, 2001. http://library.uws.edu.au/adt-NUWS/public/adt-NUWS20030506.132049/index.html.
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Thesis (D.B.A.) -- University of Western Sydney, Nepean, 2001.Thesis submitted for the degree of Doctor of Business Administration, University of Western Sydney, Nepean, 2001. Includes bibliographical references.
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Wu, Zhiguo, and 吴志国. "Two essays on China's stock markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2012. http://hub.hku.hk/bib/B48079765.
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China’s stock markets have become the second largest in the world after that
of the United States. Both the Chinese institutional setting and the behaviors of
the populous Chinese investors and listed firms provide novel opportunities to
explore the classical theories in the field of economics and finance. Using two
natural experiments, this thesis attempts to shed new light on these theories.
The local bias puzzle was originally proposed from the analysis of investors’
investment portfolios. In the first essay, I test and confirm the hypothesis that
local bias has already existed in investor attention subconsciously regardless of
their investment. In contrast to literature which focuses on investment accounts, I
examine local bias in investor attention by analyzing investor messages posted on
China’s Internet stock message boards. I find that individual investors pay more
attention to the stocks of local companies. This finding is strong and robust to
local-bias proxy variables. By examining factors that affect investor attention
local bias, I find that local bias is particularly strong in underdeveloped regions,
for SOEs, for small-investor base and low-turnover stocks, and for stocks with
name indicating locality. Furthermore, distance plays a significant role: the
marginal effect of local bias is much stronger for distances within 500 kilometers.
All these results are consistent with my explanation that local bias is affected by
factors which can attract investors’ attention. Thus, investment local bias is the
natural consequence of investor attention local bias, and I attribute the local bias
puzzle to limited investor attention.
Chinese stock market has plunged into an unlocking flood of non-tradable
shares since June 2006. This radical transition provides a unique natural
experimental setting to ascertain earnings management incentives. In the second
essay, I explore whether earnings management behavior exists in listed Chinese
firms during the unlocking process. I find that non-tradable shareholders
opportunistically manipulate earnings upward to offset price pressures for
subsequent selling. Firms have higher levels of accruals when unlocking incentive
is higher. Furthermore, actual selling incentive is higher in firms which have
higher levels of accruals. The results document a novel case that equity incentives
give rise to the incidence of earnings management.published_or_final_version
Economics and Finance
Doctoral
Doctor of Philosophy
7
Al-hussieni, Sami. "Exchange listing and shareholder wealth: Canadian evidence." Ottawa, 1998.
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8
Lepori, Gabriele M. "Three essays on behavioral finance." Diss., Connect to online resource - MSU authorized users, 2008.
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9
Ozgen, Tolga. "Market efficiency and hedging foreign exchange risk : evidence from Turkey." Thesis, University of Aberdeen, 2014. http://digitool.abdn.ac.uk:80/webclient/DeliveryManager?pid=210802.
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Cen, Ling. "Information, market sentiment and corporate finance : the role of investors' attention /." View abstract or full-text, 2008. http://library.ust.hk/cgi/db/thesis.pl?FINA%202008%20CEN.
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Han, Kyoung Ho. "FDI and economic growth the role of stock market liberalization and trade liberalization /." Diss., Columbia, Mo. : University of Missouri-Columbia, 2008. http://hdl.handle.net/10355/6052.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2008.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on June 22, 2009) Includes bibliographical references.
12
Padmanabhan, Prasad. "Three essays in international asset pricing." Thesis, McGill University, 1988. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=75875.
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This dissertation consists of three essays in international asset pricing. The first essay develops a model where investors face barriers to foreign portfolio investment. Using the standard mean-variance framework, risk return relationships for all securities are developed. It is also shown that: (1) previous models adopting this approach are special cases of this model, and (2) all investors generally prefer complete removal of barriers over other market structures. Essay #2 empirically explores the issue of the degree of segmentation of the international capital market for risky securities. Using the 'emerging market' (EM) data base, it is shown that the international capital market is neither completely segmented nor completely integrated. Finally, the third essay investigates the relationship between stock returns and inflation for the EM securities. It is shown that stock returns are positively (negatively) related to inflation, for the group of high (low) inflation countries in the sample.
13
Ko, Man Ching. "Emerging stock markets in Europe, the Middle East, and Asia." CSUSB ScholarWorks, 2005. https://scholarworks.lib.csusb.edu/etd-project/2894.
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The purpose of this research is to evaluate the performance of the emerging stock markets in three regions. The regions chosen as our testing targets are Europe, The Middle East, and Asia. Performance for 2002 to 2004 will be compared to the U.S. stock market.
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Msimanga, Nkululeko Lwazi. "Cointegration, causality and international portfolio diversification : investigating potential benefits to a South African investor." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002696.
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Research studies on portfolio diversification have tended to focus on developed markets and paid less attention to emerging markets. Traditionally, correlation analysis has been used to determine potential benefits from diversification but current studies have shifted focus from correlation analysis to exploring cointegration analysis and other forms of tests such as the Vector Error Correction Methodology. The research seeks to find if it is beneficial for a South African investor to diversify their portfolio of emerging market equities over a long-term period. Daily weighted share indices for the period of January 1996 to November 2008 were collected and analysed through the application of the Johansen cointegration technique and Vector Error Correction Methodology. Granger Causality tests were also performed to established whether one variable can be useful in forecasting another variable. The study found that there was at least one statistically significant long-run relationship between the emerging markets. After testing for unit roots for all the share indices and their first difference using the Augmented Dickey-Fuller test (ADF), Philips-Perron and Kwiatkowski, Phillips, Schmidt, and Shin (KPSS) unit root tests, similar conclusions were m~de. All the unit root tests and their levels could not be rejected for all the series. However, unit root tests on the first differences were rejected, meaning that all series are of order 1(1) - evidence of cointegration. Simply put, emerging markets tend not to drift apart over time. This suggests that emerging markets offer limited benefits to investors who are looking to add some risk to their portfolios. In addition, the study also found evidence of both unidirectional and bidirectional causality (Granger-Cause tests) between markets. This implies that the conditions for a particular market are exogenous of the other market. The study concludes that emerging markets are gradually adopting the same profile as developed markets.
15
Shafie, Abdul Ghani. "The structural relationship between stock market returns and macroeconomic variables in international equity markets." Thesis, University of Stirling, 1991. http://hdl.handle.net/1893/2251.
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This study is concerned with investigating the structural relationship between stock markets and economic variables in different countries. In investigating the relationships, the following six questions are posed:- Are stock markets in the United States, the United Kingdom, West Germany, France, Norway, Japan, Singapore, Malaysia, Australia and South Africa related to each other and do they influence each other? Does the level of any relationship change over time? Are variables representing economic activity in each country related to similar variables in the other countries? Does the level of any economic relationship change over time? Are the comovements of both equity markets and economic indicators consistent? and Are stock markets examined in this study influenced by similar common underlying factors? The empirical results suggest positive answers to these questions. The main findings from the study suggest that equity returns are related and although some markets have a higher degree of similarity, the covariance between international equity returns remain stable over the short period but tend to change in the long run. It is also found that economic variables of different countries are related in a consistent way to the equity markets. Finally it is shown that stock prices in each country are systematically affected by similar economic factors.
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Taylor, John (John Francis). "Country risk and contagion : an investigation into Argentina, Malaysia, Poland and South Africa." Thesis, Stellenbosch : Stellenbosch University, 2004. http://hdl.handle.net/10019.1/49897.
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Thesis (MBA)--Stellenbosch University, 2004ENGLISH ABSTRACT: This paper investigates the vulnerability of four key emerging markets to crises originating in Asia in 1997; Russia in 1998; Brazil in 1999 and Argentina in 2001. The emerging markets examined, Argentina, Malaysia, Poland and South Africa have been chosen to represent different geographic continents. Stock market data is used to measure for changes in unconditional correlation coefficients during and after the crisis periods. This is to establish whether the volatility shocks generated by the crises are what would reasonably be expected. Results suggest that there is evidence of contagion during the Asian crisis but there is little support of significant cross-market correlations transmitted during the Russian, Brazilian or Argentinean crises. Granger Causality tests are calculated to identify the existence of a relationship between stock market returns of countries in crisis and each of the four emerging markets. There is no evidence of causality emanating from the Thai stock market during the Asian crisis or from the Argentinean index during the Argentinean.crisis. Findings show that there is Granger causality from the Russian index during the Russian crisis to the Argentinean stock market but there was no impact on the markets in Malaysia, Poland or South Africa. Interestingly, there is no evidence that the Polish stock market returns were affected by the Russian crisis, the Argentinean returns by the Brazilian crisis or the Malaysian market by the Asian crisis. The paper further examines whether there is a relationship between stock market returns and country credit ratings and if credit risk can explain stock market returns. Significantly for active investment management, past values of country credit ratings can help predict stock market returns in Argentina, Malaysia and South Africa. Therefore, country credit risk contains information about expected stock market returns and potential investors would benefit by devising an asset allocation strategy that incorporates the explanatory powers of credit risk.
AFRIKAANSE OPSOMMING: Hierdie verslag ondersoek die kwesbaarheid van vier sleutelontwikkelende markte ten opsigte van krisisse wat onstaan het in Asië in 1997; Rusland in 1998; Brasilië in 1999 en in Argentinië in 2001. Die Argentynse, Maleisiese, Poolse en Suid Afrikaanse markte is gekies om verskillende geografiese kontinente te verteenwoordig. Effektebeurs data is gebruik om die verandering in onkondisionele korrelasie koeffisiente gedurende en na die krisis tydperk te meet. Dit is gedoen om vas te stel of die wisselvalligheid-skokke wat veroorsaak is deur die krisis ooreenstem met wat wesenlik verwag sal word. Resultate dui daarop dat daar getuienis is van besmetting ("contagion") gedurende die Asiatiese krisis, maar dat daar min ondersteuning gebied word vir die oordraging van beduidende kruis-mark korrelasie gedurende die Russiese, Brasiliaanse of Argentynse krisisse. Granger "causality" toetse is uitgevoer om die bestaan van 'n verwantskap tussen die effektemark opbrengste van die lande in krisis en elkeen van die vier opkomende markte te identifiseer. Daar is geen bewyse van enige veroorsakende verband voortgebring vanuit die Thai effektebeurs gedurende die Asiatiese krisis, of van die Argentynse indeks gedurende die Argentynse krisis nie. Die bevindinge toon dat daar Granger veroorsaking is vanaf die Russiese indeks na die Argentynse effektebeurs gedurende die Russiese krisis, maar dat daar geen impak was op die markte in Maleisië, Pole of Suid Afrika nie. Dit is interessant dat daar geen bewyse is dat die Poolse effektebeurs opbrengste beïnvloed is deur die Russiese krisis, die Argentynse opbrengste deur die Braziliaanse krisis, of die Maleisiese mark deur die Asiatiese krisis nie. Die verslag ondersoek verder of daar 'n verwantskap bestaan tussen effektebeurs opbrengste en die land se kredietgraderings asook of krediet-risiko effektebeurs opbrengste kan verduidelik. Betekenisvol vir aktiewe beleggingsbestuur is dat die historiese kredietgraderings kan help met die vooruitskatting van effektebeurs opbrengste in Argentinië, Maleisië en Suid Afrika. Dus bevat land kredietgraderings informasie rakende verwagte effektebeurs opbrengste. Potensiële beleggers sal dus baat vind in die ontwikkeling van 'n bate-allokasie strategie wat die verduidelikende kragte van krediet risiko inkorporeer.
17
Yung, Chung-hing, and 翁宗興. "A study of the portfolio risk within the Pacific Basin." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 1991. http://hub.hku.hk/bib/B31265145.
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Zhang, Jianhua. "Essays on emerging market finance /." Göteborg, Sweden : Nationalekonomiska institutionen, Göteborgs universitet, 1999. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=008790109&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.
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Attachot, Weerapat. "Determinants of Corporate Governance Choices: Evidence from Listed Foreign Firms on U.S. Stock Exchanges." Thesis, University of North Texas, 2017. https://digital.library.unt.edu/ark:/67531/metadc984209/.
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This study analyzes corporate governance practices of foreign (non-U.S.) issuers listed on the New York Stock Exchange (NYSE) and Nasdaq. Specifically, I examine the extent to which these foreign issuers voluntarily comply with U.S. stock exchange corporate governance requirements applicable to domestic issuers. My sample consists of 201 foreign companies primarily domiciled in Brazil, China, Israel, and the United Kingdom. I find that 151 (75 per cent) of the sample firms do not elect to comply with any of the U.S. corporate governance requirements. Logistic regression analysis generally supports the hypotheses that conformance with U.S. GAAP and percentage of managerial ownership are positively associated, and that percentage ownership by major shareholders is negatively associated with foreign firms electing to comply with U.S. corporate governance rules. This evidence is relevant for regulators and investors.
20
Kim, Young Do. "Return distributions and applications." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2007. http://wwwlib.umi.com/cr/ucsd/fullcit?p3266772.
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Thesis (Ph. D.)--University of California, San Diego, 2007.Title from first page of PDF file (viewed August 7, 2007). Available via ProQuest Digital Dissertations. Vita. Includes bibliographical references.
21
Mhlanga, Godfrey. "The covariation of South African and foreign equity returns during bull and bear runs : implications for portfolio diversification." Thesis, Rhodes University, 2009. http://hdl.handle.net/10962/d1002678.
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This study examines the pattern of covariation of the industrial index returns of South Africa and foreign industrial sectors. This follows recent increase in national equity correlations and increases in the influence of industry effects in portfolio diversification. The covariation pattern in returns across industries and countries during both bull and bear runs is examined using correlation analysis to determine if there is a difference between the two epochs. The study presents preliminary evidence of the covariation between sectors during a bear and a bull run. Return covariation among sectors is impelled to a greater extent by country-specific factors than by industry-specific factors, implying the segmentation of industrial sectors. Thus, South African investors can in general gain more if a portfolio comprising shares across industries and countries is held, even if these investors buy shares from similar industries.
22
Simon, Marta. "The two bears : how down markets get you down." University of Western Australia. Financial Studies Discipline Group, 2004. http://theses.library.uwa.edu.au/adt-WU2005.0022.
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In this study, we address two research questions: 1) Can we identify bear market episodes in Australia in the past 20 years? 2) How do investors’ moods change as stock market conditions enter into a bear phase. To address the first question, we use a pattern recognition algorithm, called the penalised LSE approach. By defining bear markets as those stock market regimes where the average returns are statistically significantly negative or below the risk free rate, we are able to detect two bear market periods in Australia in the past 20 years. These are the November 1987 to February 1988 and the April 2000 to May 2000 periods. To address the second question, we study the change in investors’ attitudes to varieties of systematic risk and the aggregate number and dollar value of shares traded in portfolios as a result of the regime switch from pre-bear to bear period. Out of the 7 categories of risk considered in this study, the transition from pre-bear to bear regime in both sample periods had a significant impact mainly on investors’ attitude toward the size risk factor. Investors systematically became more sensitive to firm size as stock market conditions entered into the 1987⁄1988 bear market. In the later sample period, investors’ reaction to firm size was more selective as it depended on the characteristics of the stocks that made up their portfolios. We also find that the regime switches resulted in lower portfolio trading volumes. Based on these results we infer that the November 1987-February 1988 bear market evoked a general sad mood, while the April 2000-May 2000 bear market stirred up both angry and sad feelings in market participants depending on the composition of stocks in their portfolios.
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Visser, Retief. "An analysis of the systems requirements of the Africa Centre for Investment Analysis." Thesis, Stellenbosch : Stellenbosch University, 2001. http://hdl.handle.net/10019.1/49686.
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Thesis (MBA)--Stellenbosch University, 2001.ENGLISH ABSTRACT: The lack of easy access to consistent, timely and reliable information is perceived to be one of the major barriers to investment on the African continent and the aim of this study is to provide the Africa Centre for Investment Analysis with a systems analysis, to enable it to populate their African Capital Markets Database with sufficient data to address this issue. The study aims to provide: • Program expertise to facilitate the automation of share price data capturing into a central database at the Centre • Systems analysis expertise to develop the necessary systems to capture and report the published company financial results of all listed companies in the African stock markets (excluding South Africa's JSE) • An evaluation of the existing products that ACIA offers, and an analysis of the effectiveness of the existing product mix • Recommendations on possible future changes and additions to the product portfolio to increase ACIA's profile in the market place • An analysis of the marketing environment that ACIA operates in, with recommendations about different marketing strategies that should be considered During this study, conversion programs has been written in the Visual Basic programming language to extract and update several years worth of share price data for the following countries. • Namibia • Swaziland • Zimbabwe • Botswana • Zambia • Nigeria • Malawi • Mauritius Kenya • Ghana • Tunisia • Egypt A total of 90000+ data points were created via this conversion process. It is envisaged that the data that has been loaded into the African Capital Markets Database will become one of the best research resources on African investment opportunities, and that the results of this study will have a wide impact on the continent in terms of attracting foreign capital investments, when researchers globally start to use this information.
AFRIKAANSE OPSOMMING: Die gebrek aan genoegsame, akkurate en vinning bekombare inligting word gesien as een van die hoof redes waarom daar 'n gebrek aan buitelandse investering in Afrika plaasvind. Die doel van hierdie studie is om 'n ontleding te maak van die stelsel behoeftes wat bestaan by die Afrika Sentrum vir Beleggings Ontleding, en om tergelykertyd ook die sentrum se Afrika Kapitaalmark Databasis met data te populeer, sodat die gebrek aan deursigtige en akurate inligtings probleem geadreseer kan word. Die studie beoog om die volgende kennis daar te stel: • Verskaffing van rekenaar programmerings kennis om die opdatering van aandeel prys data in die databasis te outomatiseer. • Om stelselontledings kennis te verskaf om die databasis verder uit te brei sodat die gepubliseerde state van genoteerded Afrika maatskappye ook in die stelsel gestoor kan word. (Suid Afrikaanse maatskappye word uitgesluit uit die databasis, omdat daar alreeds voldoende inligting oor die Johannesburgse Aandele beurs beskikbaar is) • Die evaluering van die bestaande produkte en dienste wat deur ACIA verskaf word, tesame met 'n analise om te bepaal of die bestaande reeks produkte en dienste aan die mark behoeftes van alle moontlike geinteresseerde partye voldoen. • Aanbevelings aangaande moontlike toekomstige veranderings en toevoegings tot die bestaande produkte en dienste om ACIA se dienste meer bekend te maak in die internasionale kapitaal markte. • 'n Ontleding van die marksegment waarin ACIA kompeteer, asook aanbevelings rondom moontlike bemarkings strategieë wat oorweeg behoort te word. Gedurende hierdie studie is verskeie data omskeppings programme geskryf om 'n groot hoeveelheid data punte in die databasis te laai. Die Visual Basic programmerings taal is vir hierdie doeleindes gebruik. Aandeel prys data van die volgende lande word databasis oorgeplaas. • Namibië • Swaziland • Zimbabwe • Botswana • Zambië • Nigerië • Malawi • Mauritius • Kenya • Ghana • Tunisië • Egipte Meer as 90 000 data punte is deur middel van hierdie proses in die Oracle databasis opgedateer. Die verwagting is dat die Afrika Kapitaalmark Databasis een van die toonaangewendste bronne van Afrika markaanwysers sal word. Hierdie studie het 'n geweldige groot bydrae gelewer om die databasis van 'n moontlikheid na 'n werklikheid te omskep. Die geloof, hoop en vertroue bestaan dat hierdie studie 'n wesentlike bydrae sal maak om meer direkte buitelandse belegging na Afrika aan te trek, sodra finansieële navorsers die data uit hierdie nuwe bron begin ontgin.
24
Yin, Pei. "Volatility estimation and price prediction using a hidden Markov model with empirical study." Diss., Columbia, Mo. : University of Missouri-Columbia, 2007. http://hdl.handle.net/10355/4795.
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Thesis (Ph. D.)--University of Missouri-Columbia, 2007.The entire dissertation/thesis text is included in the research.pdf file; the official abstract appears in the short.pdf file (which also appears in the research.pdf); a non-technical general description, or public abstract, appears in the public.pdf file. Title from title screen of research.pdf file (viewed on December 18, 2007) Vita. Includes bibliographical references.
25
Bolster, Paul J. "Differential information, divergence of opinion, and security returns in an efficient market." Diss., Virginia Polytechnic Institute and State University, 1985. http://hdl.handle.net/10919/54738.
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Although there is ample evidence of the heterogeneity of investors' expectations of security returns (Cragg and Malkiel, 1982), few studies have attempted to relate this divergence of investor opinion directly to security returns. Barry and Brown (1984) argue that divergence of investor opinion results from differing levels of estimation risk across securities. Furthermore, their model shows that the OLS estimate of beta, used in most empirical studies requiring excess returns, underadjusts for a security's systematic risk when investors' expectations are highly dispersed and overadjusts when such divergence of opinion is low. This hypothesis is tested in the present study using various measures of divergence of analysts‘ forecasts of earnings per share for individual firms. The results of exhaustive data analysis strongly reject the notion of such a bias in the OLS derived excess returns or in actual returns.
Market reaction to revisions in the mean and standard deviation of analysts' firm-specific forecasts of earnings per share is also examined. Security prices do not appear to react in a systematic manner to revisions in the standard deviation of analysts' forecasts. However, there is evidence of a reaction to revisions in the mean of such forecasts both before and after the publication of this information suggesting that new information is contained in consensus forecasts of earnings per share when released to subscribers.Ph. D.
26
Mlambo, Courage. "Effects of exchange rate volatility on the stock market: a case study of South Africa." Thesis, University of Fort Hare, 2013. http://hdl.handle.net/10353/d1007125.
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This study assessed the effects of currency volatility on the Johannesburg Stock Exchange. An evaluation of literature on exchange rate volatility and stock markets was conducted resulting into specification of an empirical model.The Generalised Autoregressive Conditional Heteroskedascity (1.1) (GARCH) model was used in establishing the relationship between exchange rate volatility and stock market performance. The study employed monthly South African data for the period 2000 – 2010. The data frequency selected ensured an adequate number of observations. A very weak relationship between currency volatility and the stock market was confirmed. The research finding is supported by previous studies. Prime overdraft rate and total mining production were found to have a negative impact on Market capitalisation. Surprisingly, US interest rates were found to have a positive impact on Market capitalisation. This study recommended that, since the South African stock market is not really exposed to the negative effects of currency volatility, government can use exchange rate as a policy tool to attract foreign portfolio investment. The weak relationship between currency volatility and the stock market suggests that the JSE can be marketed as a safe market for foreign investors. However, investors, bankers and portfolio managers still need to be vigilant in regard to the spillovers from the foreign exchange rate into the stock market. Although there is a weak relationship between rand volatility and the stock market in South Africa, this does not necessarily mean that investors and portfolio managers need not monitor the developments between these two variables.
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Barnard, Kevin John. "Value and size investment strategies: evidence from the cross-section of returns in the South African equity market." Thesis, Rhodes University, 2013. http://hdl.handle.net/10962/d1001606.
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Value and size related equity investment strategies are supported by a large body of empirical research that shows a persistent premium, both longitudinally and crosssectionally. However, the competing rational and behavioural finance explanations for the success of these strategies are a subject of debate. The rational explanation is that the premium earned on value shares or shares of small companies can be attributed to higher risk. Behaviouralists argue that such shares are not riskier and attribute the premium to cognitive errors and biases in human decision making. The purpose of this study is to determine, firstly, whether the value and size premium exist in South Africa during the period July 2006 to June 2012, which includes one of the worst equity market crises in history. Secondly, this study sets out to determine whether the premium earned on value and size strategies are adequately explained by the principles of rational finance theory. To provide evidence regarding the existence of the value premium and size effect, returns are analysed, cross-sectionally, on portfolios of shares sorted by value and size. For evidence of a rational explanation, returns are regressed on value and size variables, and the relative riskiness of value and small companies is analysed. The results show evidence of a value premium in portfolios of small companies, but not big companies. The size effect is found not to be statistically significant. While regressions do show significant relationships between value and size variables and returns, these variables are found not to be associated with higher levels of risk. The conclusion is that the evidence does not support a rational, risk based explanation of the returns
28
Loh, Elaine. "A comparative study of technical trading rules, time-series trading rules and combined technical and time-series trading strategies in the Australian Stock Exchange /." Connect to this title, 2005. http://theses.library.uwa.edu.au/adt-WU2006.0001.
Full text
29
Srivastava, Shubhi. "The potage of Chinese stocks: Strengths and weaknesses for United States investors." CSUSB ScholarWorks, 2007. https://scholarworks.lib.csusb.edu/etd-project/3089.
Full textAbstract:
The thesis examined the differences between the Chinese market, a fast-growing emerging market, and that of the United States, a well-known developed market. In order to understand the overall performance of the Chinese stock market, the research compared the risk and returns characteristics of Chinese stock markets using the S & P 500 Index for the 2000-2005 period. Findings show that significant differences exist between the Chinese and the U.S. markets. The thesis also attempted to identify the characteristics of the Chinese markets that hinder their efficiency.
30
Ma, Jun. "Financial anomalies evidence from Chinese stock markets : a dissertation submitted to Auckland University of Technology in fulfilment of the requirements for the degree of Master of Business (MBus), 2007." Abstract. Full dissertation, 2007.
Find full text
31
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.
Full textAbstract:
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.
32
Panday, Akshay Kumar. "Time diversification and holding periods on the Johannesburg Stock Exchange." Master's thesis, University of Cape Town, 2017. http://hdl.handle.net/11427/25434.
Full textAbstract:
This dissertation investigates the existence of time diversification on the Johannesburg Stock Exchange (JSE), with the goal of providing investor guidance toward their optimal investment horizon on the JSE Focusing on the Random Walk and Mean Reversion Models, a variety of tests were employed to identify serial correlation within the JSE logarithmic total returns. By assessing the possibility of mean reversion or trending behavior in returns, this study aims to determine if short-term variance (as a risk measure) calculation intervals accurately describe the long-term risk on the JSE when scaled. Additionally, the skewness of the logarithmic and arithmetic return distributions on the JSE, as the return interval lengthens, was investigated. The focus was on a composite JSE All Share Index (ALSI) resulting from the merger of the FTSE/JSE All Share Total Return Index (J203T), the JSE Actuaries Index (adjusted for dividends (AJ203)) and early JSE total return data (Firer & McLeod, 1999). The JSE All Bond Index (ALBI) was used in this study as an alternate asset class to JSE Equities. The dataset is comprised of 117 years (01/01/1900 to 31/12/2016) of ALSI and 18 years (31/12/1998 to 31/12/2016) of ALBI price and return series. The frequency of returns analyzed range from monthly to twenty-year total returns. The dataset was further analyzed, into a period before and after 1987 to observe the long and short-term serial correlation dynamics of the JSE, and to investigate how these change over time. This breakpoint (1987) was chosen due to the belief that structural change occurred on the JSE after 1986. Data analysis included; descriptive statistics and tests for normality, the Augmented Dickey Fuller and Phillips-Perron tests for stationarity, the Autocorrelation Function tests for serial correlation, the Quandt-Andrews and Bai-Perron tests for structural breaks, the Variance Ratio Test, and the Runs Test. These parametric and nonparametric methods were performed on both the nominal and real total returns of the ALSI and ALBI. This investigation uncovered significant short-term trending behavior in the ALSI returns, combined with evidence of medium-term mean reversion in this indexes returns. A lack of mean reversion and limited evidence of trending behavior in the ALBI returns were uncovered. ALSI returns have rejected the Random Walk Model over the short and medium-term, while ALBI returns have for the most part, failed to significantly reject the Random Walk Model. The short-term trending behavior in ALSI returns was observed at the monthly, quarterly and semi-annual return frequencies. This behavior suggests that if variances (as risk measures) calculated over these shorter trending periods, are scaled to represent the risk of longer periods, they will underestimate the true period risk on the JSE. Furthermore, the implications of the mean reversion evidence in three yearly returns, suggest that if the variances (as risk measures) are calculated over these three-year periods, and were to be scaled to represent the variance of longer periods, then these longer periods would have their period risk overstated. This paper has documented the change in the logarithmic return distribution of the ALSI, that exhibited negative skewness as the return holding period lengthens. Paradoxically positive skewness is observed as the return holding period increased was observed for the arithmetic distribution of ALSI returns. In the presence of autocorrelation in ALSI returns, portfolio and fund managers should employ the Lo and MacKinlay (1988) variance adjustment to unbias their risk estimates - if they scale short or medium term variances. The existence of Mean Reversion at the three-year frequency in South African Equities, provides evidence to support Time Diversification. As a direct result of this, this study proposes that a five to six-year holding period is optimal to take advantage of these mean reverting returns.
33
Garg, Vivek, University of Western Sydney, and School of Economics and Finance. "The Capital Asset Pricing Model : a test on the Stock Exchange of Singapore." THESIS_XXX_EFI_Garg_V.xml, 1999. http://handle.uws.edu.au:8081/1959.7/459.
Full textAbstract:
Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the most widely recognised and applied measure of risk in the investment community. The model has been extensively tested in the developed capital markets, mainly in the United States of America. But the model has not been extensively tested in other developed and developing countries, often due to the size of the capital market and the lack of the data in these countries. This study attempts to fill this vacuum and tries to update the earlier tests done on the Stock Exchange of Singapore. On addition, a review of the validity of the CAPM over time, as proxied by the stationarity of the beta, is performed. Also, tests regarding heteroskedasticity and its implications have been undertaken.Master of Commerce (Hons)
34
Larlar, Selim. "Portfolio optimization analysis of federation of Euro-Asian stock exchances (FEAS)." CSUSB ScholarWorks, 2003. https://scholarworks.lib.csusb.edu/etd-project/2365.
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The results of this thesis suggest that investors should invest in portfolios consisting of the Standard and Poor's 500, the Ten Composite Index and the ten founding stock exchanges, rather than only invest in either the ten founding stock exchanges or Standard and Poor's 500.
35
Wang, Chaoyan. "Securities trading in multiple markets : the Chinese perspective." Thesis, University of Stirling, 2009. http://hdl.handle.net/1893/2278.
Full textAbstract:
This thesis studies the trading of the Chinese American Depositories Receipts (ADRs) and their respective underlying H shares issued in Hong Kong. The primary intention of this work is to investigate the arbitrage opportunity between the Chinese ADRs and their underlying H shares. This intention is motivated by the market observation that hedge funds are often in the top 10 shareholders of these Chinese ADRs. We start our study from the origin place of the Chinese ADRs, China’s stock market. We pay particular attention to the ownership structure of the Chinese listed firms, because part of the Chinese ADRs also listed A shares (exclusively owned by the Chinese citizens) in Shanghai. We also pay attention to the market microstructures and trading costs of the three China-related stock exchanges. We then proceed to empirical study on the Chinese ADRs arbitrage possibility by comparing the return distribution of two securities; we find these two securities are different in their return distributions, and which is due to the inequality in the higher moments, such as skewness, and kurtosis. Based on the law of one price and the weak-form efficient markets, the prices of identical securities that are traded in different markets should be similar, as any deviation in their prices will be arbitraged away. Given the intrinsic property of the ADRs that a convenient transferable mechanism exists between the ADRs and their underlying shares which makes arbitrage easy; the different return distributions of the ADRs and the underlying shares address the question that if arbitrage is costly that the equilibrium price of the security achieved in each market is affected mainly by its local market where the Chinese ADRs/the underlying Hong Kong shares are traded, such as the demand for and the supply of the stock in each market, the different market microstructures and market mechanisms which produce different trading costs in each market, and different noise trading arose from asymmetric information across multi-markets. And because of these trading costs, noise trading risk, and liquidity risk, the arbitrage opportunity between the two markets would not be exploited promptly. This concern then leads to the second intention of this work that how noise trading and trading cost comes into playing the role of determining asset prices, which makes us to empirically investigate the comovement effect, as well as liquidity risk. With regards to these issues, we progress into two strands, firstly, we test the relationship between the price differentials of the Chinese ADRs and the market return of the US and Hong Kong market. This test is to examine the comovement effect which is caused by asynchronous noise trading. We find the US market impact dominant over Hong Kong market impact, though both markets display significant impact on the ADRs’ price differentials. Secondly, we analyze the liquidity effect on the Chinese ADRs and their underlying Hong Kong shares by using two proxies to measure illiquidity cost and liquidity risk. We find significant positive relation between return and trading volume which is used to capture liquidity risk. This finding leads to a deeper study on the relationship between trading volume and return volatility from market microstructure perspective. In order to verify a proper model to describe return volatility, we carry out test to examine the heteroscedasticity condition, and proceed to use two asymmetric GARCH models to capture leverage effect. We find the Chinese ADRs and their underlying Hong Kong shares have different patterns in the leverage effect as modeled by these two asymmetric GARCH models, and this finding from another angle explains why these two securities are unequal in the higher moments of their return distribution. We then test two opposite hypotheses about volume-volatility relation. The Mixture of Distributions Hypothesis suggests a positive relation between contemporaneous volume and volatility, while the Sequential Information Arrival Hypothesis indicates a causality relationship between lead-lag volume and volatility. We find supportive evidence for the Sequential Information Arrival Hypothesis but not for the Mixture of Distributions Hypothesis.
36
Vespro, Cristina. "Essays on understanding financial architecture." Doctoral thesis, Universite Libre de Bruxelles, 2008. http://hdl.handle.net/2013/ULB-DIPOT:oai:dipot.ulb.ac.be:2013/210588.
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This dissertation is composed of three essays related to Financial Architecture. The first essay, analysed in the first chapter of the thesis, contributes to the literature on Efficient Market Hypothesis and in particular in understanding several issues associated with how prices are determined for individual stocks. The chapter, in particular, provides further evidence of price and volume effects associated with index compositional changes by analysing the inclusions (exclusions) from the French CAC40 and SBF120 indices, as well as the FTSE100. I find evidence supporting the price pressure hypothesis associated with index fund rebalancing, but weak or no evidence for the imperfect substitution, liquidity and information hypotheses. The results improve on recent evidence from the S&P500 index. The evidence for the FTSE100 additions shows, in particular, that markets learn about an imminent inclusion and incorporate this information into prices, even before the announcement date.
The other two essays of this thesis relate to Corporate Governance issues. Chapters 2 and 3, in particular, analyze some aspects of two corporate governance mechanisms: ownership concentration and managerial labour market.
Chapter 2 provides an overview of the evolution of control in listed Slovenian corporations and evaluates the impact of the current changes in ownership on firm performance. Ownership and control has been concentrating in most transition countries. This consolidation of control introduces changes in the power distribution within privatised firms and, most importantly, redirects the corporate governance problem to a conflict between large and small shareholders. The chapter evaluate the ownership changes in Slovenian privatised firms through an analysis of stock price reactions to the entrance of a new blockholder (the shared benefits of control) and through an estimation of the premiums paid for large blocks (the private benefits of control). It provides evidence and discuss the reasons for the failures of the privatization investment funds in implementing control over firm managers and in promoting the restructuring of firms in the first post-privatization years.
Chapter 3 concentrates on one specific aspect of the managerial labour market: monetary remuneration schemes. The purpose of this chapter is to examine the interconnection between pay and corporate governance approaches with respect to the different rules found across European legal systems. The research data on reported pay practices for 2001 among FTSE Eurotop300 companies reveal a reliance on performance-based pay generally and a somewhat variable adoption of share options programs and other equity-based incentive contracts, which generate difficulties in dispersed ownership systems. Furthermore, on the basis of the regulation on executive remuneration disclosure discussed in this chapter and on the basis of the disclosure practices resulting from the data collected for the FTSE Eurotop300 constituents, I construct some disclosure indicators and analyse empirically how country and firm characteristics affect remuneration disclosure.
Doctorat en sciences économiques, Orientation économie
info:eu-repo/semantics/nonPublished
37
Loh, Elaine Y. L. "A comparative study of technical trading rules, time-series trading rules and combined technical and time-series trading strategies in the Australian Stock Exchange." University of Western Australia. Dept. of Economics, 2005. http://theses.library.uwa.edu.au/adt-WU2006.0001.
Full textAbstract:
[Truncated abstract] This thesis examines and compares the performance of three classes of stock trading strategies in the Australian stock market from 1980 to 2002. ... The first segment of this thesis examines some simple technical trading rules with a twostep methodology ... Our standard test results show that technical trading rules generate excess returns higher than that of the buy-and-hold portfolio equivalent prior to 1991, but generate lower returns in the period post-1991. Bootstrap test results also show that addressing nonnormality, time-dependence and conditional heteroskedasticity in the data reverses the standard test outcome of predictability ... In addition, our sub-sample results also show technical trading rules becoming less profitable over time ... The second segment of this thesis examines trading rules based on the forecasts of four time-series models: the AR(1), AR(1)-GARCH(1,1), AR(1)-GARCH(1,1)-M and AR(1)- EGARCH(1,1) models. These time-series trading rules were examined with standard t-tests and found to be significantly less profitable compared to technical trading rules. Subsample results also show the time-series trading rules losing profitability over time, which supports the conjecture that the Australian stock market became increasingly efficient over time. The third segment of this thesis examines trading strategies based on various combinations of technical trading rules and time-series models ... Due to the weak performance of the time-series trading rules, our results show that combining technical rules with time-series models do not lead to improved forecast accuracy. Sub-sample results again show a strong decline in profitability post-1991, suggesting that technological advancements in the ASX since 1991 enhance market efficiency such that the above simple stock trading strategies are no longer profitable.
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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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Sultanov, Rustam. "An Analysis Of The Performance Of Investment Companies: Evidence From The Istanbul Stock Exchange." Thesis, METU, 2010. http://etd.lib.metu.edu.tr/upload/2/12612088/index.pdf.
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The purpose of this master&rsquos thesis is to evaluate the performance of investment companies, namely Real Estate Investment Trusts (REITs) and Closed-End Funds (CEFs) in Turkey. In this study, three different models are used to evaluate the risk adjusted performances of Turkish investment companies. These models are: 1) the single-factor CAPM
2) the Fama-French three-factor model
and 3) the Carhart&rsquo
s four factor model. The results of this study indicate that for the sample period from January 1997 to December 2009, Turkish REITs and Turkish CEFs neither overperform nor underperform the overall market. Intercepts in almost all models are statistically significantly not different from zero, implying that both REITs and CEFs are earning their expected returns. The results are robust to different models used in this study. Among employed models, the Fama-French three-factor model is the best in explaining the returns on both REITs and CEFs. In general, coefficients of the size and the book-to-market equity risk factors are significant and positive. The explanatory power of the regressions does not improve with the Carhart&rsquo
s four-factor model, since momentum factors have statistically insignificant coefficients in all regressions. Findings of this study have an important implication for the efficiency of the Istanbul Stock Exchange. The inability of professional money managers to beat the overall market could be taken as an evidence in favor of the ISE being either semi-strong or strong form efficient. On the other hand, lack of skills on the part of Turkish fund managers might be another explanation for their inability to surpass the performance of the overall market.
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Webb, Arnold. "Fourier transform based investment styles on the Johannesburg Stock Exchange." Diss., University of Pretoria, 2013. http://hdl.handle.net/2263/39956.
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Share price periodicity and calendar effects have been well documented for stock exchanges. If these market anomalies are persistent and of sufficiently high amplitudes, the use of frequency analysis will allow investors to earn abnormal returns.
This research study examined the use of the discrete Fourier transform combined with prior exponential growth and momentum periodicity as an investment style. A graphical time series approach was used to evaluate performance of the examined styles. The time series consisted of the JSE top 160 shares from December 1985 to October 2013.
A momentum-Fourier transform investment style is identified that outperforms most if not all documented univariate ranked investment styles on the JSE for the analysed timeframe. Returns of 27.6% per annum are achieved. It is found that both examined momentum styles are enhanced by using the Fourier transform as a noise filter. Combining prior exponential growth rate and the Fourier transform failed to produce favourable results.Dissertation (MBA)--University of Pretoria, 2013.
mngibs2014
Gordon Institute of Business Science (GIBS)
MBA
Unrestricted
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Al-Hajieh, H. "Market efficiency and volatility in an Islamic financial market interpreted from a behavioural finance perspective : a case study of the Amman Stock Exchange." Thesis, Coventry University, 2011. http://curve.coventry.ac.uk/open/items/cfff00ca-c72c-49d7-a818-03e03ea3bcb5/1.
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The research undertaken aims to contribute to the debate about market efficiency and market volatility in an Islamic context. The research relates to the Amman Stock Exchange (ASE) and covers the period 1992 to 2007. It undertakes quantitative analysis involving two key elements: first, testing for random walk and calendar anomaly effects in market returns and, second, modelling volatility in market returns. The thesis applies a series of standard econometric and statistical techniques to this issue. The key ‘novel’ contributions of this study relate to the focus on Islamic religious holiday effects and also the application of behavioural finance theoretical models to explain the findings in terms of the influence of social mood (mood misattribution) effects. These are approaches that have not been previously applied in the literature within an Islamic context. The author argues that the econometric and statistical techniques applied are ‘fit for purpose’. Standard methods are applied; however, these are applied in ‘novel’ ways in parts of the thesis. For example, moving-date calendar effects are modelled for the first time and the modelling of volatility makes use of interaction effects to explore the impact of interactions between different mood-influencing variables. The study begins by identifying that the ASE index returns do not follow a Random Walk. It then goes on to identify day-of-the-week effects. First trading day of the week effects found in relation to the first trading day that follows the Muslim holy day of Friday. Monthly calendar effects were also found. January or turn-of-the-year effects were found in the ASE similar to those found previously in some Western markets. However, the largest monthly effects were found in relation to the holy month of Ramadan. Most significantly, Ramadan was found to be the only month where the average daily returns were both statistically different from the other months in the year and also positive. This, it is argued in the thesis, is due to social mood (or mood misattribution) effects. The research looks beyond informational efficiency and develops a number of ‘novel’ contributions to research in this area in terms of both the empirical findings and the behavioural finance-related interpretation of these findings, as well as the influence of Islamic ethics in Amman’s stock market returns. The thesis also examines the relationship between seven behavioural mood-proxy variables and stock market returns. Fama (1991) argues that efficiency and volatility are unrelated. In this thesis, however, evidence is uncovered which suggests that this may not be the case. High levels of volatility were found at the start and at the end of the Ramadan holy festival; this volatility, it is argued, is related to social mood. This issue is examined further by exploring previously unstudied interactions between mood-related Ramadan effects and mood-related weather and biorhythmic effects. The results of this thesis, the author believes, provide strong evidence for the existence of Muslim religion investment decision biases associated with social mood effects (mood misattribution). It is argued that these social mood effects in the case of Jordan relate mainly to Islamic ethics and cultural issues, as they are found predominantly during the Ramadan religious holiday. Despite the existence of decision biases within the ASE, no profitable trading anomaly opportunities were identified. This may be due, in part, to Jordan having high trading transaction costs. It is possible, however, that profitable trading opportunities related to Islamic holidays may exist in countries that follow stricter religious observance. The author believes that there is an opportunity to extend this research to countries such as Bahrain.
42
Beukes, Anna. "The existence of the value premium on the Johannesburg Stock Exchange from 1972 to 2001 and extrapolation as explanation." Thesis, Rhodes University, 2011. http://hdl.handle.net/10962/d1002711.
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This study investigates the existence of the value premium in South Africa’s equity market, and tests extrapolation as a possible explanation for it. The value premium refers to the widely reported superior performance of share price returns of value companies compared to growth companies. The value premium represents an anomaly in mainstream rational finance theory, because it should not persist, unless it could be explained as the result of some composite form of risk. What is highly vexing is the fact that the value premium not only persists in most financial markets over a long period, but that the risk explanation cannot be upheld convincingly. This contributed to the rise of behavioral finance, an approach which introduces psychological factors to provide new explanations for financial phenomena. The behavioral finance explanation for the value premium observation is extrapolation (the tendency to project recent experience too far into the future). This study applies propositions and methods from behavioral finance to investigate the South African equity market. The existence of a value premium in South Africa was investigated by using twenty-nine years’ worth of accounting and share price data. The study employed one- and two-dimensional tests for portfolio formation, and tracked share price returns for up to five years after portfolio formation. The results indicated that a statistically and economically significant value premium existed in South Africa for the period between 1972 and 2001. Extrapolation as a potential explanation for the value premium observation was investigated by applying internationally used methods. Extrapolation was found to provide a robust explanation for the South African value premium.
43
Saar, Helen. "Analysis of trade dependence and correlation of market returns between the United States and Nordic countries." CSUSB ScholarWorks, 2007. https://scholarworks.lib.csusb.edu/etd-project/3269.
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The purpose of the present research paper was three fold. First, determine if there is a trade interdependence between the United States and Nordic countries (Denmark, Finland, Sweden, and Baltic States). Second, determine if there is correlation between the respective equity markets. Third, determine if the changes in the trade relations lead to the changes in stock market correlations. The hypothesis of the project was that weaker trade relations between two countries would lead to lower correlation between their stock markets, providing beneficial opportunities for portfolio diversification. The overall objective is to ascertain if Nordic markets are good targets to hedge portfolio risk for U.S. investors, and if the risks of investing in these markets would be rewarded by the higher returns.
44
Theart, Lomari. "Liquidity as an investment style : evidence from the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2014. http://hdl.handle.net/10019.1/86258.
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Thesis (MComm)--Stellenbosch University, 2014.ENGLISH ABSTRACT: Individual and institutional investors alike are continuously searching for investment styles and strategies that can yield enhanced risk-adjusted portfolio returns. In this regard, a number of investment styles have emerged in empirical analysis as explanatory factors of portfolio return. These include size (the rationale that small stocks outperform large stocks), value (high book-to-market ratio stocks outperform low book-to-market ratio stocks) and momentum (stocks currently outperforming will continue to do so). During the mid-eighties it has been proposed that liquidity (investing in low liquidity stocks relative to high liquidity stocks) is a missing investment style that can further enhance the risk-adjusted performance in the United States equity market. In the South African equity market this so-called liquidity effect, however, has remained largely unexplored. The focus of this study was therefore to determine whether the liquidity effect is prevalent in the South African equity market and whether by employing a liquidity strategy an investor could enhance risk-adjusted returns. This study was conducted over a period of 17 years, from 1996 to 2012. As a primary objective, this study analysed liquidity as a risk factor affecting portfolio returns, first as a residual purged from the influence of the market premium, size and book-to-market (value/growth) factors, and then in the presence of these explanatory factors affecting stock returns. Next, as a secondary objective, this study explored whether incorporating a liquidity style into passive portfolio strategies yielded enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. The results from this study indicated that liquidity is not a statistically significant risk factor affecting broad market returns in the South African equity market. Instead the effect of liquidity is significant in small and low liquidity portfolios only. However, the study indicated that including liquidity as a risk factor improved the Fama-French three-factor model in capturing shared variation in stock returns. Lastly, incorporating a liquidity style into passive portfolio strategies yielded weak evidence of enhanced risk-adjusted performance relative to other pure-liquidity and liquidity-neutral passive ‘style index’ strategies. This research ultimately provided a better understanding of the return generating process of the South African equity market. It analysed previously omitted variables and gave an indication of how these factors influence returns. Furthermore, in analysing the risk- adjusted performance of liquidity-biased portfolio strategies, light was shed upon how a liquidity bias could influence portfolio returns.
AFRIKAANSE OPSOMMING: Individuele en institusionele beleggers is voortdurend op soek na beleggingstyle en strategieë wat verhoogde risiko-aangepaste portefeulje-opbrengste kan lewer. In hierdie verband is ’n aantal beleggingstyle deur empiriese analise geïdentifiseer as verklarende faktore van portefeulje-opbrengs. Hierdie style sluit in: grootte (die rasionaal dat klein aandele beter presteer as groot aandele), waarde (hoë boek-tot-mark verhouding aandele presteer beter as lae boek-tot-mark verhouding aandele) en momentum (aandele wat tans oorpresteer sal daarmee voortduur). Gedurende die midtagtigs is dit aangevoer dat likiditeit (die belegging in lae likiditeit aandele relatief tot hoë likiditeit aandele) ’n ontbrekende beleggingstyl is wat die risiko- aangepaste prestasie in die Verenigde State van Amerika (VSA) aandelemark verder kan verhoog. In die Suid-Afrikaanse aandelemark bly hierdie sogenaamde likiditeit-effek egter grootliks onverken. Die fokus van hierdie studie was dus om te bepaal of die likiditeit-effek teenwoordig is in die Suid-Afrikaanse aandelemark en of dit vir ’n belegger moontlik is om risiko-aangepaste opbrengste te verbeter deur ’n likiditeit-strategie te volg. Die studie is uitgevoer oor ’n tydperk van 17 jaar, vanaf 1996 tot 2012. As ’n primêre doelwit het hierdie studie likiditeit ontleed as ’n risiko faktor van portefeulje-opbrengste, eers as ’n residu-effek vry van die invloed van die markpremie, grootte en boek-tot-mark (waarde/groei) faktore, en daarna in die teenwoordigheid van hierdie verklarende faktore van aandeel opbrengste. As ’n sekondêre doelwit, het hierdie studie ondersoek of die insluiting van ’n likiditeit-styl in passiewe portefeulje-strategieë verbeterde risiko- aangepaste prestasie kan lewer relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Die resultate van hierdie studie het aangedui dat likiditeit nie ’n statisties beduidende risiko faktor is wat die breë markopbrengs in die Suid-Afrikaanse aandelemark beïnvloed nie. In plaas daarvan is die effek van likiditeit beperk tot slegs klein en lae likiditeit portefeuljes. Die studie het wel aangedui dat die insluiting van likiditeit as ’n risiko faktor die Fama- French drie-faktor model verbeter in sy vermoë om die gedeelde variasie in aandeel opbrengste te verduidelik. Laastens lewer passiewe portefeulje strategieë, geïnkorporeer met ’n likiditeit-styl, swak bewyse van verbeterde risiko-aangepaste opbrengs relatief tot ander suiwer-likiditeit en likiditeit-neutrale passiewe ‘styl indeks’ strategieë. Hierdie navorsing verskaf ’n beter begrip van die opbrengs-genererende proses van die Suid-Afrikaanse aandelemark. Dit ontleed voorheen weggelate veranderlikes en gee ’n aanduiding van hoe hierdie faktore opbrengste beïnvloed. Daarbenewens word lig gewerp op die invloed van ’n likiditeit vooroordeel op portefeulje-opbrengste deur die risiko- aangepaste opbrengs van likiditeit-bevooroordeelde strategieë te analiseer.
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Chavda, Manoj. "Evaluation of a hybrid investment model on the Johannesburg Stock Exchange." Thesis, Stellenbosch : Stellenbosch University, 2013. http://hdl.handle.net/10019.1/95622.
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Thesis (MBA)--Stellenbosch University, 2012.The study determined whether an investment model on the Johannesburg Stock Exchange (JSE) incorporating risk, simple rules and simulating a realistic environment could yield statistically significant returns. Further, the study assessed the success of individual trades and profitability compared to a buy-and-hold strategy where funds were switched between shares and a riskless asset. JSE data from 1997 to 2011 were studied using popular technical rules and fundamental indicators integrated into a hybrid investment model. Investments on individual shares were simulated over time and results were analysed by profitability of individual trades and the interaction of technical rules and fundamental data. Parameters were identified that outperformed the All Share Index (ALSI) by 18.6% and exposed the investor to lower risk than the ALSI. Other parameters were also identified that earned a return 137% higher than an ALSI buy-and-hold strategy. However, the identification of a single set of parameters that yielded statistically significant returns at a lower risk than the ALSI, met a priori expectations of outperforming the ALSI and outperformed a buy-and-hold strategy was not identified. Areas of future research included expanding on the technical analysis implemented such as introducing stop-loss rules, and adopting a finer-grained approach to the sectors of companies. Areas to detect further patterns of market inefficiencies were also identified.
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Leisher, Thomas Kai. "Exchange-Traded Funds: The Unknown Investment Opportunity." Wittenberg University Honors Theses / OhioLINK, 2019. http://rave.ohiolink.edu/etdc/view?acc_num=wuhonors1617280855446967.
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Usta, Murat. "The Role Of Foreign Investors In The Istanbul Stock Exchange." Thesis, METU, 2003. http://etd.lib.metu.edu.tr/upload/1089465/index.pdf.
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This master thesis examines the role of foreign investors in the Istanbul Stock
Exchange in three dimensions: differences among sectors and subsectors in terms
of foreign trading activity, the effect of November 2000 –
February 2001 crisis on returns and foreign trading activity, and the relationship between return and foreign trading activity. Data used in this thesis covers 72 months between January 1997 and December 2002. Significant differences among sectors and subsectors in terms of foreign trading activity is found. On the other hand, there is no statistically significant difference in the mean values and variances of returns on the overall market, national sector and most subsector indices before and after the crisis period of November 2000 &
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February 2001. However, foreign trading activity has decreased in interest-sensitive and cyclical industries and increased in defensive industries during the recession that follows the crisis. The relationship between return and net foreign trading volume relative to the total trading volume is statistically significant for the overall market and national sectors. Furthermore, we find that the effect of net foreign trading volume relative to the total trading volume on return is larger for stocks included in the ISE-30 index. The mean returns on stocks associated with negative NFV and positive NFV are statistically significantly different from each other. We further find that it is more likely to observe positive (negative) return on a stock when net foreign trading volume in that stock is positive (negative).
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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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Ambalal, Ritesh Girishkumar. "An Investigation of the Impact of the 2008 Financial Crisis and Stock Market Automation on Market Efficiency: A Case for the Botswana Stock Exchange." Master's thesis, University of Cape Town, 2018. http://hdl.handle.net/11427/29251.
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This study investigates the effects of the 2008 financial crisis and stock market automation on the efficiency of the Botswana Stock Exchange (BSE). It makes use of the BSE All Share Index (ALSI) logged returns covering the time period 2005 – 2017. In addition, four distinct tests are employed to test for the change in market efficiency over time: runs test, unit root test, serial correlations test and variance ratio test. The study found resounding evidence to conclude that the 2008 financial crisis and stock market automation had a significant positive effect on the efficiency of the BSE. In addition, the BSE went from being inefficient to weak-form efficient due to the policies implemented by the government of Botswana and financial regulators as a direct reaction to the 2008 financial crisis, plus the continuous improvement of the Automated Trading System (ATS). To the author’s knowledge, this study is the first of its kind to test the impact of the 2008 financial crisis and automation of the trading system on the weak-form market efficiency of the BSE. As a result, this study provides an original and unique testimony on the effects of the 2008 financial crisis and the ATS on the efficiency of the Botswana Stock Exchange. Moreover, it offers an updated position of the BSE’s efficiency status following the recent developments to ensure that relevant legislation and effective and efficient trading systems are in place.
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Kang, Li. "Study on some problems in the development of Asian emerging stock markets." 2005. http://catalog.hathitrust.org/api/volumes/oclc/144685099.html.
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