- / In an efficient market, prices adjust instantaneously toward their fundamental values; as a consequence prices should always reflect all available information. Here we consider market efficiency for new emerging markets in the Middle East region. Emerging markets are typically characterized by illiquidity, thin trading, and possibly non-linearity in returns generating process. Firstly, we adjust observed daily indices for nine Arab stock markets for infrequent trading, while the logistic map has been used to determine whether non-linearity exists in returns generating process. Next we used several econometric models to test for market efficiency. The results of runs test, variance ratio, serial correlation, BDS, and regression analysis indicate that we can reject the hypothesis that lagged price information cannot predict future prices. In other words, prices do not follow random walk properties; even after correction for thin trading. We next analyze volatility structure using GARCH models. The results of GARCH (1,1) model indicate that volatility clustering still seems to characterize some markets. While in three markets (Egypt, Kuwait, and Palestine) volatility seems to be persistent. Moreover, the results of EGARCH (1,1) model show that four markets (Bahrain, Dubai, Kuwait, and Oman) exhibit signs of leverage effect and asymmetric shocks to volatility. Compared with other emerging and international markets; Arab stock markets display relatively low rate of excessive volatility as indicated by Schwert model. Furthermore, the dependence in the second moment found to be quite enough to characterize the non-linear structure in the time series. Finally, we find that seasonality and calendar effects exist in Arab markets with three forms; day-of-the-week effect, month-of-the-year effect and the Halloween indicator. We conclude that Arab stock markets under examination are not efficient in the week form sense of efficient market hypothesis. There is a large body of empirical evidence that financial markets become highly integrated. According to modern portfolio theory, gains from international portfolio diversification are related inversely to the correlation of equity returns. The results of multivariate cointegration techniques, structural vector autoregression (SVAR) and vector autoregression (VAR) models indicate that, there is no cointegrating relation between Arab and international stock markets. The results of SVAR show that the linkage between international and Arab markets is very weak. Next we investigate the dynamic relationships among Arab markets them selves, and how do other factors; such as oil prices, affect the performance of these markets especially for Gulf Cooperation Council (GCC) stock markets. To do that, Arab markets have been divided into two sub-groups: oil production countries (GCC countries) and non-oil production countries (Jordan, Egypt, and Palestine). The results indicate the existence of long-run relation between markets, however, the short-run linkages still very weak. Non-oil countries’ markets can offer diversification benefits for rich GCC investors. Moreover, oil prices found to have a significant effect on GCC markets and dominate the long-run equilibrium. Oil prices play a significant role in affecting GCC markets’ volatility. While after the raise in oil prices; especially during the last two years, linkages between oil prices and GCC markets increased. Four GCC markets have predictive power on oil prices, with two markets to be predicted by oil prices. We conclude that Arab stock markets can offer diversification potentials for regional and international investors. Oil prices have a significant effect on GCC markets. Finally, we suggest a strategic plan to improve these markets based on two main broad goals, improving market efficiency and increasing market liberalization. To achieve these goals we identify specific targets and strategies that could be realized through tactical programs and activities.

This paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This "war risk factor" accounted for a considerable portion of the variance of these financial variables over the ten weeks leading up to the onset of war with Iraq.

Diss. Växjö : Växjö universitet, 2009.

[pt] O CAPM (Capital Asset Pricing Model) padrão, proposto por Sharpe, Lintner e Mossin, é um dos principais paradigmas da teoria de finanças. Especifica que o retorno médio esperado de um ativo é função linear apenas do seu risco não diversificável ou risco sistemático. O prêmio de risco esperado do mercado é a inclinação desta função, e o retorno esperado do ativo livre de risco é o intercepto. Possui como uma de suas premissas básicas a de que os investidores podem emprestar e tomar emprestado à taxa livre de risco. O modelo CAPM ZERO-BETA, proposto por Black, Jensen e Scholes (1972), considera que o investidor não pode emprestar nem tomar emprestado à taxa livre de risco. Nesse modelo o retorno esperado do ativo livre de risco é substituído pelo retorno esperado de uma carteira (carteira zero-beta) que possui mínima variância e covariância zero com o retorno esperado da carteira de mercado. É também conhecido como CAPM de dois parâmetros, pois tanto o beta do ativo como o retorno da carteira zero-beta necessitam ser estimados, já que não podem ser diretamente observados. Este trabalho testa o CAPM zero- beta no mercado de capitais brasileiro. Utiliza a metodologia de regressão multivariada (MVRM), proposta por Gibbons (1982). Esta metodologia executa uma SUR (Seemingly Unrelated Regression) e estima conjuntamente o beta dos ativos e o retorno da carteira zero-beta. Além de dispensar a escolha do ativo livre de risco, a MVRM evita o erro de variáveis que ocorre na metodologia de regressão cross- section. Utilizando os ativos negociados na Bolsa de Valores do Estado de São Paulo (BOVESPA) no período de 1986 a 2001, o teste não rejeita o CAPM zero-beta para os períodos de 1991 a 1996 e 1996 a 2001. Os resultados indicam um aumento recente na eficiência do mercado de capitais brasileiro. / [en] The standard CAPM (Capital Asset Pricing Model), proposed by Sharpe, Lintner and Mossin, is one of the most important paradigms of finance theory. It states that the expected mean return on an asset is a linear function of its non- diversifiable risk or systematic risk. The expected market risk premium is the slope of this function, and the risk- free return is the intercept. One of its main assumptions is that investors can lend and borrow at the risk-free rate.The Zero-Beta CAPM, proposed by Black, Jensen and Scholes (1972), states that investors cannot lend nor borrow at the risk-free rate. In this model, the expected return of the risk-free asset is substituted by the expected mean return on a portfolio with minimum variance and no covariance with the market portfolio. This model is also known as the two-parameter CAPM, as both the beta and the zero-beta expected mean return need to be estimated. This work tests the Zero-Beta CAPM in the Brazilian stock market. It uses a >multivariate regression methodology (MVRM), proposed by Gibbons (1982). This methodology runs a SUR (Seemingly Unrelated Regression), proposed by Zellner (1962) and both the beta and the zero-beta mean return are estimated jointly. This methodology doesn`t need a risk- free asset, and eliminates the errors-in-variables problem present in the cross-section regression model. By using the stocks negociated at the São Paulo Stock Exchange (BOVESPA), in the period from 1986 to 2001, it doesn`t reject the zero-beta CAPM in the period from 1996 to 2001.

In this thesis, we analyse financial contagion between Southern European (Greek, Italian, Portuguese and Spanish) and Central Eastern European (Czech, Polish and Hungarian) stock markets respectively sovereign bond markets in the period from January 2001 to June 2016. A quantile regression framework is applied to analyse contagion based on measuring of occurrences and degrees of co-exceedances. We use conditional variance (volatility) of analysed markets to find direction of the contagion. Our results show that during the analysed period contagion between stock markets exists. Contagion between stock markets is stronger during the financial and sovereign debt crisis. Direction of contagion is from Southern European to Central Eastern European Countries. We do not find evidence of contagion between Sothern European and Central Eastern European sovereign bond markets. Our results show "flight to quality", but not "flight from quality".

Práce se zabývá různými alternativami investování na kapitálových trzích a jejich zhodnocení. V práci je na příkladech demonstrována a zhodnocena možnost individuálního a kolektivního investování.

Yes / Our paper examines the distress anomaly on the Chinese stock markets. We show that the anomaly disappears after controlling for institutional ownership. We propose two hypotheses. The growing scale of institutional investors and changes in institutional preferences can generate greater demand shocks for stocks with low distress risk than those with high distress risk, causing the former to outperform the latter. Consistent with our hypotheses, the growth of institutions explains the anomaly when the institutional market share increases rapidly. We also show that institutional preferences for stocks with low distress risk have significantly increased over time and changes in preferences also explain the anomaly. Finally, momentum trading and gradual incorporation of distress information cannot account for the anomaly.

Four research projects have been carried out with the objective of providing insights into some of the popular Asian investment myths and beliefs. The studies also throw some light on the efficiency of one Asian stock market. At the same time, the results reported in these research papers provide pragmatic investment guidelines for Asian emerging stock market investors. These research efforts add depth and breath (sic) to the existing emerging stock market investment literature, especially on Asian emerging stock markets. The Four Research Papers were : Research Paper I : Stock Selection Criteria During the Bull Run in the Malaysian Stock Market; Research Paper II : How Important Were Political Factors for Asian Stock Market Investors Throughout the Recent Financial Crisis?; Research Paper III : Active Equity Management versus Passive Equity Management - The Case of Malaysia from the Perspective of Foreign Investors; Research Paper IV : Stock Selection Criteria during the Bear Phase of the Malaysian Stock Market. Four popular myths/beliefs (myliefs) were selected for in-depth study with the conviction that the findings from these four studies could provide an insight into the emerging Malaysia stock market. The selection of the myliefs is mainly based on the popularity of the mylief as well as the applicability of the research results in the view of a foreigner investor / Doctor of Business Administration

The thesis deals with electoral and partisan cycles in stock returns of nine CEE countries and checks consistency of observed cycles with efficient market hypothesis. The evidence mostly supports possibility of political influence on stock markets, but the effects often have opposite sign than hypothesized. Electoral cycle has been found in Estonia and Hungary, while returns in four other countries are significantly lower before elections. Markets more often exhibit left-wing premium, it is significant in the Czech Republic, Lithuania and Romania. The results are similar between nominal and real returns. Both cycles are also considered significant for the panel of countries. Moreover, cycles are hardly explainable by macroeconomic conditions, which indicates market inefficiency. This is confirmed by analysis of volatility, which reveals that risk does not correspond to changes in returns induced by the cycles.

This thesis deals with the behaviour of stock markets during the period of election process. We focus on the influence of elections to the German Bundestag on stock market performance of the countries allied in Visegrad Group during the reference period 1994-2013 covering six Bundestag elections. Germany is a major export partner for all members of Visegrad Group - the Czech Republic, Hungary, Poland and Slovakia. We examine whether there are abnormal returns on stock markets in Visegrad Group countries around the date of German Bundestag elections. We thus examine if the fact that performance of German economy is important for performance of economies of countries allied in Visegrad Group means that Bundestag elections influences their stock markets. We also analyze the influence of elections to German Bundestag on domestic stock market during the reference period 1961-2013. To measure the effect of elections we employ event study methodology using the mean-adjusted return model to measure normal returns. Our event window consists of 65 trading days around the election day (-15,50). We use the estimation window of 100 days (-150,-51). We assess our main hypothesis for each country around every Bundestag elections in our reference period separately over three event windows and also over eight event...