This research would like to study the influence that US has on the global market by proving the global stock and commodity markets are correlated to the Fed's interest rate policy. Meanwhile, hope this research can help investors to evaluate the market trend and make appropriate investment decision. we look into detail by examining the correlation between the US stock market and different periods of rate hike, rate cut and neutral, respectively. The results are : (1) In rate hike period, normally, the US stock market performed well. It's the time with economy booming at high growth rate and strong domestic demand that the Fed needs to take action, hiking rate, to cool down the market. (2) In the rate cut period, the US stock market was not good. That is because the rate cut decision is normally adopted due to slowing down economy, weak domestic demand, and stock market underperformance. Thus, the accumulated performance won't be too exciting during the rate cut period. (3) In the neutral period, the stock market performed excellently. Especially at the time after Fed's rate cut period, the stock market is booming due to the high liquidity and low interest rate environment, stimulating consumers spending and enterprises investment. (4) In the rate hike period, the oil price and commodity index (comprised by Reuters by averaging19 different commodity future index) were at the best performance. Besides, it also benefited the energy related share price. However, in the rate cut or neutral period, they were up and down without clear trend. (5) At the last, we further study the unexpected rate cut will surprise the market in upside. Given the results of these examinations, it is a good timing to buy when it's approaching the end of rate cut period. If the rate cut is unexpected or the extent is over expectation, investors shouldn't be too pessimistic. Instead, they should believe the government will continuously introduce favorable policy to boost the economy and it is good timing to invest in stock market.

<p>The real estate market has been of great interest since the rise in home foreclosures in</p><p>US, which started in the late 2006. The purpose of this thesis is to examine a possible</p><p>relationship between the factors presented in DiPasquale and Wheaton’s (1996) model</p><p>which explains the market linkages between the property market and asset market, and</p><p>the Swedish real estate companies listed on the Swedish stock market OMX. The real</p><p>estate stock market is, divided in to groups of 3, which represented the dependent</p><p>variable. The repo rate, CPI, expected inflation, macro index, disposable income, GDP</p><p>and a real estate price index are the explanatory variables. Stockholm Stock Market All-</p><p>Share Index (OMXSPI) is also included as a possible explanatory variable.</p><p>The main findings in most of the estimations for the groups and years, is that the</p><p>OMXSPI is of significance at the 10 percent level. The other variables did not show any</p><p>significant result based on the 10 percent significance level,</p><p>According to the results it seems like the volatility has increased over time in the real</p><p>estate stock market with respect to the OMXSPI. That is; the risk has increased</p><p>significantly from the period 1996-1999 to the later periods.</p>

<p>According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selection. When the asymmetry is resolved there should be a corresponding increase in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.</p><p>The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed investors behave in information asymmetries on Stockholmsbörsen.</p><p>The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.</p><p>We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an increase before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.</p>

<p>Background: According to theory, trading volume decreases in information asymmetries, i.e. when there are differences in information. This is due to the fact that uninformed investors delay their trades when they are facing adverse selec-tion. When the asymmetry is resolved there should be a corresponding in-crease in trading volume. Around earnings announcements (scheduled an-nouncements) this asymmetry is greater than normal, hence one can expect a decrease in trading volume. Around unexpected announcements such as acquisition announcement (unscheduled announcements) a total increase is instead expected because of an increase in trading by informed investors. All these effects are likely to be greater for smaller stocks.</p><p>Purpose: The purpose of this thesis is to investigate the trading volume before- and after scheduled announcements and the trading volume before unscheduled announcements in order to investigate how informed- and uninformed in-vestors behave in information asymmetries on Stockholmsbörsen.</p><p>Method: The method is quantitative with secondary data from the Stockholm Stock exchange from 1998-2004. The method is the same as Chae (2005) uses with paired-samples t-tests. It tests whether the change in trading volume is different from a benchmark consisting of an average of the trading volume 30 days before the announcement.</p><p>Conclusion: We found a statistically significant decrease in trading volume in 6 of 10 days before a scheduled announcement and an increase also on 7 of 10 days after the announcement. For unscheduled announcements we found an in-crease before it was released but were not able to prove it statistically. We conclude that uninformed investors behave strategically before scheduled announcements in order to avoid adverse selection. We could not conclude that the effects are greater for smaller stocks.</p>

<p>In late summer 2006 we experienced historically high oil prices, and due to this event we found it appropriate to investigate what influence oil price changes has on the Swedish stock market. The purpose with our research was to see the affect that oil price changes has on the Swedish economy, and if the influence of the oil price is still as strong as it used to be. To help us draw conclusions we have applied the Arbitrage Pricing Theory. With use of statistical analysis we have been able to examine the relation between oil prices and other macroeconomic variables, and how these affect the Affärsvärlden Generalindex. Our results show that oil has a significant influence, our regression analysis show that a 1 unit increase in the oil price results in a 0.08 unit decrease in Affärsvärldens Generalindex. Our study has also given us indications that the oil price effect on the Swedish economy has decreased since the mid 1980´s. We can also draw conclusions that since the 1970´s, society has moved from heavy oil dependency towards a more diversified usage of energy sources. The results for Sweden are in line with the influence of oil has on other world economies.</p> / <p>Under sensommaren 2006 erfarde vi historiskt höga oljepriser. Med denna händelse som grund fann vi det relevant att undersöka oljans påverkan på den svenska ekonomin. Syftet med denna uppsats var att se hur skillnader i oljepriset påverkar Sveriges ekonomi och om oljan fortfarande har en lika stark påverkan som tidigare. Som verktyg för att påvisa detta har vi använt oss av ”Arbitrage Pricing Theory”. Med hjälp av statistisk analys har vi kunnat se påverkan av oljeprisfluktuationer och andra makroekonomiska variablers påverkan på ekonomin. Affärsvärldens Generalindex har använts som definition av ekonomin. Våra resultat visar att oljan har en signifikant påverkan på svensk ekonomi, en 1 enheters uppgång av oljepriset resulterar i en minskning med 0,08 enheter på Affärsvärldens Generalindex. Vår studie ger även indikationer att oljeprisets påverkan har minskat sedan mitten av 1980-talet. Vi kan också utläsa att samhället har skiftat från ett tungt oljeberoende i energiförbrukning mot mer diversifierade typer av energikällor, detta sedan 1970-talet. Resultaten visar även att Sveriges relation till olja är i linje med andra världsekonomier.</p>

This report presents a quantitative research and trading system (QUARTS) for US equities. After introduction of US stock market structure, it presents the quantitative model concept, specifically, its components and its interactions with different environments. Equipped with a software architecture design discipline that follows three steps -- define the problem; design the solution; and deploy to sites -- it designs the architecture of QUARTS. This is followed by a prototype implementation of research environment. Finally it gives two sample quantitative models to demonstrate the use of research environment. The report includes a detailed survey of Software Architecture and Design Methodologies to help readers to better understand the derivation of QUARTS architecture. / text

This Master’s Degree is a futurology that aims to analyse how the Chinese stock market might develop for a period of ten years, i.e. between the years 2005-2015. Since the future never with certainty can be predicted, scenarios will be presented displaying other possible outcomes. Naturally these scenarios are built upon given assumptions which otherwise could be as many as one’s imagination allows. The thought is to present the results as an index so the reader easily can see the possible development and scenarios. The methodology used to collect necessary data is through the classical Delphi method, by which one interviews the selected “experts” that have the knowledge needed of the Chinese stock market. Moreover, the authors have collected further information through literature, the Internet, articles, reports and other written sources needed to continue further investigation. Further, the forecast was measured by two steps. The first step was to calculate the value at the start point. The second step was to create tow types of scenarios, added as a frame of the forecast outcomes. To transform the analysis and the scenarios in to a numerical index, a technical measurement of Quasi Monte Carlo Simulation was applied. The theories applied when creating the index is foremost the Arbitrage Pricing Theory, which makes it possibly to measure several factors at the same time, including macro economical effects on the stock market. According to the result, four factors were identified as the driving forces when finding a balanced economy, which affect the stock exchange: the investment structure; equal standard of living; the state of the financial sector and increased transparency. The result also indicates that the Chinese stock market will not stay in parity with the earlier development. A healthier and more efficient market will occur, due to structural reforms and the expected improvements within the financial sector including the stock exchange. It is with great anticipation that the authors await a bright and successful future for the Chinese stock market. A new direction has been settled, although there are many difficult challenges.

The dividend payout policy is a very debated topic, in this thesis the differences between Sweden and Vietnam will be examined. By examine two different countries with more or less the same landmass, but regarding economic, culture and politics they differ highly.   The purpose of this study was to determine whether there were a difference between the countries in dividend payout ratios, to see if the countries payout a high or a low dividend during the years 2005 to 2012. The second purpose was to examine if there was a significant differences in the movements in the markets. The third purpose was to examine how the two countries acted during the financial crisis, if the dividend payout ratio changed. This may tell how the policies in the two countries differ and how long term or short term the firms within the countries were planning and which kind of investors they are attracting. The data being used is collected historical data from firms with in each of the countries. The thesis follows a quantitative research method based on a deductive and an inductive approach. The research design is comparative for examination of two the countries data samples and for the purposes descriptive and explanatory studies have been done. In order to determine whether there is a relationship between the countries dividend payout ratio, the normality of the data sample have been examined, showing that the data were not normal distributed. Therefor the data were examined with a Mann- Whitney test and by a Kruskal- Wallis test.   The result indicates that there is a difference between the countries in dividend payout ratios in the case of Vietnam and Sweden under the years 2005 to 2012. Comparing countries together between the years to determine possible differences, the dividend payout ratio was insignificant in 2005 to 2008, but significant in the years 2009 to 2012. The examination of Vietnam and Sweden separately with years as factors the dividend payouts in Vietnam showed a significant difference but an insignificant result in Sweden during the year 2005 to 2008. Further, the results showed that there is a difference between the years in Sweden between 2009 to 2012 but no differences in Vietnam under the same years.

The Chinese stimulus package of 2008 was a response by the government to rebound the second largest economy from the effects of the Global Financial Crisis. The package was one of the largest, and arguably one of the most successful, in boosting demand and spurring growth through targeting infrastructure projects and consumer spending. This paper investigates whether the package had any spillover effects on the US industrial and consumption companies with large markets in China through the time series multiple regression technique. This paper found that Chinese net exports had some explanatory power over the consumption companies, and the US industrial companies were hurt by the stimulus package. The findings also suggest that there are more macroeconomic variables that have more explanatory power over the returns of the companies than the ones included in the regressions.

In recent years, investors have become more concerned about where they invest their capital and how to spread the risk among different asset types. The interest in commercial real estates has increased as this market is seen as less volatile than the stock market. Previous research for other economies has found that the commercial real estate market and the stock market do not cointegrate. Therefore it is possible to invest in both asset classes to create diversified portfolios. This thesis examines if such cointegration relationship exist on the Swedish market. Furthermore, the thesis examines the correlation and the lead-lag relationship between the two asset classes. The observed data is quarterly between the years 1994-2013 and the indices used are OMX Stockholm, sold multi-dwelling and commercial buildings, and sold manufacturers industries. To examine if there exist any cointegration between the indices the Engle-Granger 2-step method is used and the lead-lag relationship is tested by using the Granger Causality test. The results from the different tests do not show any short- or long-term relationship between the Swedish stock market and the Swedish commercial real estate market, neither do the assets show any lead-lag relationship. This means that the portfolio risk decreases and it is therefore possible for investors to diversify their portfolios with both short- and long-term time horizons.