A sinalização, formação e descoberta de preços agrícolas são adequadas se refletem rapidamente todas as informações recebidas pelos seus participantes. Então, quando o mercado é eficiente, possibilita eficiência alocativa, redução de imprecisão nas decisões dos agentes e dos custos informacionais. Entretanto, os agentes do agronegócio podem tomar decisões errôneas de produção, comercialização e estocagem, sujeitas ao conjunto de informações incompletas contidas nos preços passados, se os mercados forem não eficientes. Nesse contexto, o objetivo geral foi analisar a eficiência dos mercados futuros de commodities. Para atingi-lo, estruturou-se esta pesquisa em três ensaios. No primeiro, objetivou-se testar a hipótese de passeio aleatório a contratos futuros agropecuários negociados na BM&FBOVESPA. Refutá-la significa possível previsibilidade e, por conseguinte, os mercados não seriam fracamente eficientes. Correlações seriais e testes de razão de variância foram utilizados para verificá-las. Os resultados deram suporte à hipótese de passeio aleatório nos mercados futuros de café e da soja, eficientes na forma fraca, e evidências contrárias foram encontradas nos mercados do boi gordo, milho e etanol. No segundo, o objetivo foi investigar a eficiência e formações de clusters nos contratos futuros do complexo soja (soja, farelo de soja e óleo de soja) negociados nas bolsas de commodities: argentina, brasileira, chinesa, indiana, japonesa, norte-americana e sul-africana. Com base na métrica obtida por distância euclidiana de razões de variância, evidenciaram-se dependências similares dos mercados, as quais podem ser interpretadas como efeito espraiamento da eficiência informacional. Os agentes devem, portanto, manter percepções em relação aos diversos mercados devido às sinalizações interdependentes dos preços. No terceiro, objetivou-se analisar a eficiência dos mercados futuros agropecuários brasileiros, sob a hipótese adaptativa de mercado. Utilizando propostas recentes à não linearidade e razão de variância, encontrou-se que as elevadas rejeições à hipótese de diferença martingal se encontram nos mercados em que as intervenções governamentais se fazem presentes: milho e etanol. Nos mercados de café, boi gordo e soja ocorreram menores rejeições à hipótese martingal e, portanto, houve maior eficiência informacional. Essas evidências--consistentes com a hipótese adaptativa dos mercados--justificam operações de hedge dinâmicas, bem como a gerência de carteiras de investimentos de forma ativa. / Agricultural prices\' formation, discovery and signalling only are accurate when they can rapidly reflect all new information faced by its market agents. Thereby, when a given market is efficient, it allows for allocative efficiency, reducing inefficiencies both in decision-making process and in informational costs. On the other hand, when markets are said not to be efficient, agribusinesses\' agents can make mistaken production, marketing and storage decisions, once such decisions are due to incomplete information contained in past prices. In this context, the main purpose of this study is to analyze the efficiency in future markets of commodities. In order to achieve its final goal, the study has been structured in three essays. In the first essay, the random walk hypothesis has been tested for agricultural future contracts from Brazilian Securities, Commodities and Futures Exchange (BMF&BOVESPA). Refusing the hypothesis for a given commodity implies some degree of predictability, therefore inconsistent even with a weak notion of efficiency. These tests were carried out using serial correlations and variance ratios. The results show the presence of random walks in coffee and soybean future markets, and contrary evidences (absence of random walks) in live cattle, corn and ethanol future markets. In the second essay, it has been analyzed the efficiency and the presence of clusters in the soybean complex future contracts (soybean, soybean meal and soybean oil) traded in the following future markets: Argentina (MTB), Brazil (BVMF), China (DCE), India (NCD), Japan (TKT), US (CBT) and South-Africa (SAF). Based on the metrics obtained by Euclidian distances of variance ratios, similar dependencies have been found for all markets, which suggest informational efficiency spreading. Agents, therefore, shall maintain perceptions over several international markets, given the interdependence found for prices in distinct future markets. In the third one, the adaptive market hypothesis has been tested for agricultural future markets in Brazil. Applying more recent approaches to Nonlinearity and Variance Ratio tests, high rejections to martingale difference hypothesis took place in agricultural markets which governmental interference is highly persistent, i.e., corn and ethanol. In coffee, live cattle and soybeans markets, weaker rejections to the martingale hypothesis hint higher informational efficiency. These evidences, consistent with the adaptive market hypothesis, justify dynamic hedge operations, as well as an active management of investment portfolios in such markets.

A sinalização, formação e descoberta de preços agrícolas são adequadas se refletem rapidamente todas as informações recebidas pelos seus participantes. Então, quando o mercado é eficiente, possibilita eficiência alocativa, redução de imprecisão nas decisões dos agentes e dos custos informacionais. Entretanto, os agentes do agronegócio podem tomar decisões errôneas de produção, comercialização e estocagem, sujeitas ao conjunto de informações incompletas contidas nos preços passados, se os mercados forem não eficientes. Nesse contexto, o objetivo geral foi analisar a eficiência dos mercados futuros de commodities. Para atingi-lo, estruturou-se esta pesquisa em três ensaios. No primeiro, objetivou-se testar a hipótese de passeio aleatório a contratos futuros agropecuários negociados na BM&FBOVESPA. Refutá-la significa possível previsibilidade e, por conseguinte, os mercados não seriam fracamente eficientes. Correlações seriais e testes de razão de variância foram utilizados para verificá-las. Os resultados deram suporte à hipótese de passeio aleatório nos mercados futuros de café e da soja, eficientes na forma fraca, e evidências contrárias foram encontradas nos mercados do boi gordo, milho e etanol. No segundo, o objetivo foi investigar a eficiência e formações de clusters nos contratos futuros do complexo soja (soja, farelo de soja e óleo de soja) negociados nas bolsas de commodities: argentina, brasileira, chinesa, indiana, japonesa, norte-americana e sul-africana. Com base na métrica obtida por distância euclidiana de razões de variância, evidenciaram-se dependências similares dos mercados, as quais podem ser interpretadas como efeito espraiamento da eficiência informacional. Os agentes devem, portanto, manter percepções em relação aos diversos mercados devido às sinalizações interdependentes dos preços. No terceiro, objetivou-se analisar a eficiência dos mercados futuros agropecuários brasileiros, sob a hipótese adaptativa de mercado. Utilizando propostas recentes à não linearidade e razão de variância, encontrou-se que as elevadas rejeições à hipótese de diferença martingal se encontram nos mercados em que as intervenções governamentais se fazem presentes: milho e etanol. Nos mercados de café, boi gordo e soja ocorreram menores rejeições à hipótese martingal e, portanto, houve maior eficiência informacional. Essas evidências--consistentes com a hipótese adaptativa dos mercados--justificam operações de hedge dinâmicas, bem como a gerência de carteiras de investimentos de forma ativa. / Agricultural prices\' formation, discovery and signalling only are accurate when they can rapidly reflect all new information faced by its market agents. Thereby, when a given market is efficient, it allows for allocative efficiency, reducing inefficiencies both in decision-making process and in informational costs. On the other hand, when markets are said not to be efficient, agribusinesses\' agents can make mistaken production, marketing and storage decisions, once such decisions are due to incomplete information contained in past prices. In this context, the main purpose of this study is to analyze the efficiency in future markets of commodities. In order to achieve its final goal, the study has been structured in three essays. In the first essay, the random walk hypothesis has been tested for agricultural future contracts from Brazilian Securities, Commodities and Futures Exchange (BMF&BOVESPA). Refusing the hypothesis for a given commodity implies some degree of predictability, therefore inconsistent even with a weak notion of efficiency. These tests were carried out using serial correlations and variance ratios. The results show the presence of random walks in coffee and soybean future markets, and contrary evidences (absence of random walks) in live cattle, corn and ethanol future markets. In the second essay, it has been analyzed the efficiency and the presence of clusters in the soybean complex future contracts (soybean, soybean meal and soybean oil) traded in the following future markets: Argentina (MTB), Brazil (BVMF), China (DCE), India (NCD), Japan (TKT), US (CBT) and South-Africa (SAF). Based on the metrics obtained by Euclidian distances of variance ratios, similar dependencies have been found for all markets, which suggest informational efficiency spreading. Agents, therefore, shall maintain perceptions over several international markets, given the interdependence found for prices in distinct future markets. In the third one, the adaptive market hypothesis has been tested for agricultural future markets in Brazil. Applying more recent approaches to Nonlinearity and Variance Ratio tests, high rejections to martingale difference hypothesis took place in agricultural markets which governmental interference is highly persistent, i.e., corn and ethanol. In coffee, live cattle and soybeans markets, weaker rejections to the martingale hypothesis hint higher informational efficiency. These evidences, consistent with the adaptive market hypothesis, justify dynamic hedge operations, as well as an active management of investment portfolios in such markets.

The primary purpose of this paper is to analyse the effect of the market reaction to stock recommendations published by Swedish banks. The market price reactions will also be compared to the OMXSPI index to analyse if it is possible to earn higher returns by following the recommendations. Previous studies suggest that the effect of stock recommendations leads to higher trading volumes and returns. While previous studies suggest that there is an effect, the effect from stock recommendation is not long lasting. The data collected consist of 659 stock recommendations from the biggest banks in Sweden. The results of the paper are in line with previous studies on the subject. The results suggest that buy recommendations lead to increased trading volumes and returns on the publication day. We also find that the cumulative average return from the recommendations is slightly higher than the index on the publication date. / Huvudsakliga syftet med denna studie är att undersöka marknadsreaktioner på aktierekommendationer utgivna av svenska banker. Syftet är även att jämföra marknadens prisreaktioner med OMXSPI index för att undersöka huruvida avkastningen från rekommendationerna överträffar index. Tidigare forskning har visat att aktierekommendationer leder till högre avkastning och högre handelsvolym. Effekten är däremot inte bestående på längre sikt. Datainsamlingen innehåller 659 aktierekommendationer från storbankerna i Sverige. Resultatet av studien ligger i linje med tidigare forskning. Resultatet visar att köprekommendationer leder till att avkastningen och handelsvolymen ökar i genomsnitt på kort sikt. Studien finner även att den kumulativa avkastningen från rekommendationerna är något högre än index på publiceringsdagen.

Purpose: The purpose of this thesis is to study the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market over the period January 1st 1993 to December 31st 2011. The findings are analysed with the intention of developing investment strategies and to investigate if behavioural finance can help to explain the existence of seasonal anomalies.  Background: A number of previous studies have found evidence of seasonal anomalies in global stock markets, and by challenging the core assumptions of market efficiency, such anomalies may make it possible to predict the movement of stock prices at certain periods during the year. Consequently, there may be substantial profit-making opportunities that clever investors can benefit from, raising two important questions: (1) can such anomalies be strategically used to outperform the market and (2) why do such cyclical return patterns exist? Method: Daily closing prices from the Singapore Straits Times Index (STI) are used to compute average daily and monthly returns, which are further analysed through the use of statistical significance analysis and hypothesis testing to identify the possible existence of day-of-the-week effects and month-of-the-year effects in the Singapore stock market.  The results of the statistical investigation are used to develop investment strategies that are designed to take advantage of both positive and negative effects, and the theories of behavioural finance are applied to help explain why seasonalities occur at certain points in time. Conclusions: This study finds evidence of several seasonal anomalies in the Singapore stock market. Both day-of-the-week effects and month-of-the-year effects are present in the STI over the full sample period. Many of these effects can be explained by behavioural finance, and used to develop investment strategies that outperform the market.

The dissertation thesis deals with the problem efficiency of the spot currency market. The main aim of this thesis is to verify the Efficient-market hypothesis on the majo foreign exchange pairs, and especially in the short term. The author focuses on the effective functioning of foreign exchange markets. The behaiour of the five main spot foreign exchange pairs - EUR/USD, GBP/USD, USD/CHF, USD/JPY and USD/CAD was analyzed in the thesis. Due to the increasing rise of intraday trades and growing popularity of margin accounts among retail investors, spot rates have been investigated primarily through a high-frequency data, that were collected for a period equal to or shorter than one day. The hypothesis of the effective exchange rate behaviour was verified by both using statistical methods, such as through automated trading systems, which were designed to assess the economic importance of the theory and to exclude or confirm the possibility of achieving above-average profits of retail investors on the foreign exchange markets.

[pt] O presente trabalho busca analisar se um choque de notícia falsa que afetou os preços das ações da construtora europeia Vinci S.A., em novembro de 2016, teve algum componente de persistência na dissipação. Para tal, são construídos três modelos contrafactuais para traçar as trajetórias alternativas de preço que as ações da Vinci teriam percorrido na ausência do choque. A premissa básica do presente estudo é que os preços das ações são compostos por fundamento e por ruído (noise), sendo um choque de notícia falsa uma espécie de fenômeno natural em finanças, que torna possível separar o ruído dos fundamentos que definem o preço. Quando a informação falsa é absorvida como verdadeira, todos os agentes se tornam propagadores de ruído, ao passo que quando o ruído é revelado, o mercado deveria voltar a operar apenas com base nos fundamentos. Os resultados aqui encontrados apontam para uma rigidez temporária na trajetória de retorno do preço das ações ao seu preço fundamental após o choque, o que contraria a hipótese da incorporação imediata da informação ao preço proposta por algumas teorias de mercados eficientes. Os modelos aqui propostos mostraram-se bem especificados e as suas conclusões se corroboraram, conferindo robustez ao resultado. / [en] The present paper seeks to analyze if a fake news shock that affected the stock prices of the European construction company Vinci S.A., in November 2016, had any component of persistence in its dissipation. The paper constructs three contractual models to trace alternative trajectories for the price that Vinci stocks would have followed in the absence of the shock.The basic premise of this paper is that asset prices are composed both by noise and fundamental, and a fake news shock is a sort of natural phenomena in finance that makes it possible to identify the noise and the fundamental that compose prices. When false information is taken as true, all agents become temporally noise traders and when the noise is revealed, the market comes back to operate based on fundamental. The models point to a temporary stickiness of noise during the return of the prices to their fundamentals after the shock, contradicting the assumption of immediate incorporation of information to the price proposed by some Efficient Market Theories. The models have demonstrated to be well specified and they all have pointed to the same conclusions, conferring robustness to the results.

[pt] Neste trabalho, estudo o comportamento dos arbitradores ao se depararem com variações nos níveis de preços das ações, mais especificamente, analisando a forma como eles buscam informações sobre esses ativos. Para isso, testo e confirmo a hipótese de que os retornos anormais das ações levam os investidores a buscarem ativamente mais informações sobre essas empresas, usando dados de volume de buscas no Google. Adicionalmente, analiso de forma separada o impacto de retornos anormais negativos e de retornos anormais positivos sobre o volume de buscas do Google, chegando à conclusão de que os retornos negativos têm um efeito maior sobre o volume de buscas que os efeitos positivos. / [en] I study the behavior of arbitrageurs when they are faced with changes in stock price levels, more specifically analyzing the way they seek information about these assets. I test and confirm the hypothesis that abnormal stock returns prompt investors to seek actively information about these companies by using Google search volume data. Furthermore, I study the separate effects of negative abnormal returns and positive abnormal returns on Google search volumes, and conclude that negative returns cause a greater impact on the search volumes than positive returns.

The main aim of this presented diploma thesis is to help build a systematic understanding of the political and social foundations of global financial markets, their operations and impacts on the global power affairs. The thesis highlights the dynamic complexity of the post financial crisis state of the World with its itra- and inter-social features. It instrumentaly uses critique of a free market agenda and neo-classical economy which contrasts the Efficient Markets Hypothesis with Hyman Minsky's Financial Instability Hypothesis (FIH), taking into account the dynamic complexity of financial markets. This approach offers analytical tools that can account for crisis through processes endogenous to contemporary financial capitalism. I shall argue that a financially complex system is, according to the FIH, inherently flawed and unstable. After a theoretical and historical review, the thesis discusses various aspects of the process of austerity regime and its social consequences. This provides an opportunity for analyses of the ongoing existence of interstate competition, of militarised foreign policy, and of other international, at times violent conflicts. In an effort to make sense of some of these phenomena, I instrumentaly use the study of geoeconomics that builds on some fundamental assumptions...