<p>I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt.</p> / <p>In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.</p>

I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt. / In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.

The purpose of this study is to investigate whether the location of buying stocks in a Nordic cross-listed company matters in terms of 1) earning abnormal returns, or 2) gaining in optimizing the amount spent by buying the specific stock cheap. Nowadays, markets are becoming more integrated and if we believe in the efficient market hypothesis, prices of the same class of stocks paying the same dividend annually, of an MNC must be the same irrespective of the stock exchange it is listed upon. Though efficient market hypothesis exists in theory, market imperfection is a reality. All the Nordic (Swedish, Finnish, Norwegian, Danish and Icelandic) firms listed on foreign stock exchanges in addition to their home market have been included in the sample. In fact, this sample represents 100% of the population. The daily prices of cross-listed stocks have been analyzed and conclusions have been drawn based on the mean returns and mean prices along with Wilcoxon Signed-Rank test statistics. The data have been analyzed over the last ten years capturing the recent economic cycle. The whole period has also been divided into three sub-periods to establish comparisons with the whole period. This paper reports that even though returns on cross-listed stocks are statistically same over all periods, prices of the stocks vary according to the location of listing. That is, investors can buy from a stock exchange where the specific stock is underpriced thereby decreasing the amount invested in absolute term and optimizing the amount spent if not the return. The returns and prices have analyzed using the local currency of the MNC’s country of origin and Special Drawing Rights (SDRs). No considerable differences on the returns or pattern of price movements have been observed while using two currencies.

The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world.   By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency.   To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets.   The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.

Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.

PEREIRA, Maria de Fátima. As representações da pobreza sob a ótica dos pobres do Programa Bolsa Família. 2007. 134f. – Dissertação (Mestrado) – Universidade Federal do Ceará, Programa de Pós-graduação em Sociologia, Fortaleza (CE), 2007. / Submitted by Márcia Araújo (marcia_m_bezerra@yahoo.com.br) on 2014-03-21T12:26:51Z No. of bitstreams: 1 2007-DIS-MFPEREIRA.pdf: 701383 bytes, checksum: e46a2120b09ab68236dbaf1eb1eeb7b9 (MD5) / Approved for entry into archive by Márcia Araújo(marcia_m_bezerra@yahoo.com.br) on 2014-03-21T12:44:22Z (GMT) No. of bitstreams: 1 2007-DIS-MFPEREIRA.pdf: 701383 bytes, checksum: e46a2120b09ab68236dbaf1eb1eeb7b9 (MD5) / Made available in DSpace on 2014-03-21T12:44:22Z (GMT). No. of bitstreams: 1 2007-DIS-MFPEREIRA.pdf: 701383 bytes, checksum: e46a2120b09ab68236dbaf1eb1eeb7b9 (MD5) Previous issue date: 2007 / The present research has as objective the study of the poor considered representations of the poverty for inserted in the Program the Stock market Family. The focus of the work is to in the representations that the “poor person”, from its social experiences, makes of its condition of poverty, in view of the context of social transformations that, each time more, has taken thousand of individuals to “the social rubbish” condition. Ahead of this reality, the condition of “poor person” if configures in a recognized and socially incarnate condition in some representations related to the “poor being”. Such questions are the conducting wire of this research, in had as well as instigated them to the forms of representations of the poverty, as they reflect in the experiences of the “poor person”, in the way as such poor persons if they present to a come back program the poor persons, in the way to interact at last with the diverse situations and in the spaces for busy them from the social place that the society of the capital them reserve. / A presente pesquisa tem como objetivo o estudo das representações da pobreza para os considerados pobres inseridos no Programa Bolsa Família. O foco do trabalho é adentrar nas representações que o “pobre”, a partir de suas vivências sociais, faz da sua condição de pobreza, tendo em vista o contexto de transformações sociais que, cada vez mais, tem levado milhares de indivíduos à condição de “refugo” social. Diante dessa realidade, a condição de “pobre” se configura numa condição socialmente reconhecida e encarnada em várias representações relacionadas ao “ser pobre”. Tais questões são o fio condutor desta pesquisa, como também nos instigaram a dimensionar as formas de representações da pobreza, como elas refletem nas vivências do “pobre”, na maneira como tais pobres se apresentam a um programa voltado aos pobres, no modo de interagir com as diversas situações e enfim nos espaços por eles ocupados a partir do lugar social que a sociedade do capital lhes reserva.

Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.

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This paper investigates the impact of Basel III on the valuation of banks in the EEA through an event study of the stock market. It contributes to academic literature by enhancing the study by Bruno, Onali &amp; Schaeck (2018) with another event date after the conclusion of their study. This paper investigates two hypotheses: 1) Did the announcement by the Basel Committee on Banking Supervision on December 7th, 2017 (the event), affect the market capitalization of banks in the EEA; 2) Did domestic liquidity regulation prior to Basel III positively affect how those banks' market capitalization changed in response to the event. Using t-tests and a multivariate regression analysis, this study finds no statistical significance at a 10% level for either of the hypotheses. However, three findings appear to be found: 1) There was a small negative reaction to the event; 2) The negative reaction was larger for banks without prior regulation; and 3) The variance was larger for banks without prior regulation. These three findings all point towards both: 1) A negative effect from the event on banks’ market capitalization; and 2) A positive effect from prior domestic liquidity regulation. No statistically significant conclusions can be drawn from this study, however. This study's largest limitation is that it does not account for expectations prior to the event, and an effect may thus already have been priced into the market capitalization prior to the event.

In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means. The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.