This study tests for the market efficiency of the Nairobi Securities Exchange (NSE) after the year 2000 to determine the effect of technological advancements on market efficiency. Data that is used is the NSE 20 share index over the period 2001 to 2015; and the NSE All Share Index (NSE ASI) from its initiation during 2008 to 2015. We cannot accept the Efficient Market Hypothesis (EMH) for the NSE using the serial correlation test, the unit root tests and the runs test. However, we can accept the EMH for the more robust variance ratio test. Overall, the results of the market efficiency are mixed. The most significant finding is that the efficiency of the NSE has increased since the year 2000 which suggests that advancements in technology have contributed to the increase in the market efficiency of the NSE. / Business Management / M. Com. (Business Management)

Submitted by Alessandra Gazzoli (alessandra.gazzoli-santos@itau-unibanco.com.br) on 2013-09-13T18:41:48Z No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-09-13T18:44:12Z (GMT) No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) / Made available in DSpace on 2013-09-13T18:45:22Z (GMT). No. of bitstreams: 1 AlessandraGazzoli_EstruturaFractal.pdf: 2516271 bytes, checksum: 6f74e2f1266b906cb221034fae87335f (MD5) Previous issue date: 2013-08-14 / Economic variables are often governed by dynamic and non-linear processes that can originate long-term relationship and non-periodic and non-cyclical patterns with abrupt trend changes. Commodity prices exhibit this type of behavior and the peculiarities of those markets could generate fractionally integrated time series, whose singularities could not be properly captured by the traditional analytic models based on the efficient market hypothesis and random walk processes. Therefore, this study has investigated the presence of fractal structures on some very important Brazilian commodity spot markets such as coffee, cattle, sugar, soybean and calf. Some traditional techniques were used as well as other specific for fractal time series analysis, such as rescaled range (R/S) analysis, different fractal hypothesis tests and ARFIMA and FIGARCH models. The results showed that the drift component has not shown fractal behavior, except for the calf series, however, volatility has demonstrated fractal behavior for all the commodities that were analyzed. / As variáveis econômicas são frequentemente governadas por processos dinâmicos e não-lineares que podem gerar relações de dependência de longo prazo e padrões cíclicos não-periódicos com mudanças abruptas de tendências. Para o caso dos preços agrícolas este comportamento não é diferente e as peculiaridades destes mercados podem gerar séries temporais fracionalmente integradas, cujas singularidades não seriam adequadamente capturadas pelos tradicionais modelos analíticos fundamentados na hipótese dos mercados eficientes e de passeio aleatório. Sendo assim, o presente estudo buscou investigar a presença de estruturas fractais no mercado à vista de algumas das principais commodities agrícolas brasileiras: café, boi gordo, açúcar, milho, soja e bezerro. Foram empregadas técnicas tradicionais e específicas para a análise de séries temporais fractais como a análise de R/S e a aplicação de modelos das famílias ARFIMA e FIGARCH. Os resultados indicaram que, com exceção do bezerro, o componente de drift destas séries não apresentou comportamento fractal, ao contrário do observado para o componente da volatilidade, que apresentou aspecto de estrutura fractal para todas as commodities analisadas.

Department of Statistics / MSc (Statistics) / The ripple e ect of a stock market crash due to extremal dependence is a global issue with key attention and it is at the core of all modelling e orts in risk management. Two methods of extreme value theory (EVT) were used in this study to model equity risk and extremal dependence in the tails of stock market indices from four African emerging markets: South Africa, Nigeria, Kenya and Egypt. The rst is the \bivariate-threshold-excess model" and the second is the \point process approach". With regards to the univariate analysis, the rst nding in the study shows in descending hierarchy that volatility with persistence is highest in the South African market, followed by Egyptian market, then Nigerian market and lastly, the Kenyan equity market. In terms of risk hierarchy, the Egyptian EGX 30 market is the most risk-prone, followed by the South African JSE-ALSI market, then the Nigerian NIGALSH market and the least risky is the Kenyan NSE 20 market. It is therefore concluded that risk is not a brainchild of volatility in these markets. For the bivariate modelling, the extremal dependence ndings indicate that the African continent regional equity markets present a huge investment platform for investors and traders, and o er tremendous opportunity for portfolio diversi cation and investment synergies between markets. These synergistic opportunities are due to the markets being asymptotic (extremal) independent or (very) weak asymptotic dependent and negatively dependent. This outcome is consistent with the ndings of Alagidede (2008) who analysed these same markets using co-integration analysis. The bivariate-threshold-excess and point process models are appropriate for modelling the markets' risks. For modelling the extremal dependence however, given the same marginal threshold quantile, the point process has more access to the extreme observations due to its wider sphere of coverage than the bivariate-threshold-excess model. / NRF

We examine the effect of merger announcements on the stock performance of acquirers' industry rivals in the context of Chinese and US deals between 1994 and 2017. Our analysis reveals that investors of rivals are able to earn abnormal returns during days around merger announcement, meaning that markets are not fully efficient as implied by the Efficient market hypothesis. We conclude that in a reaction to the announcement, US rivals achieve generally negative abnormal returns with higher magnitude and volatility compared to Chinese rivals. Additionally, we observe that Chinese investors' perception of mergers turned out to be more conservative after the Global financial crisis. During days around the merger announcement, signs of rivals' abnormal returns also differ on whether the target is public or private in both countries. Rivals operating in industries that are substantially supported by Chinese government such as real estate, pharmaceuticals, and chemicals experience positive reaction on mergers of their competitors. Furthermore, we find that industries with increasing im- portance in Chinese developing economy such as banking, telecommunications, and cyclical consumer products show a positive reaction of rivals' returns on merger announcements while in the developed US economy, a negative...

Background: The Swedish fund savings have developed strongly over the past two decades. Together with this development, the knowledge that the earth's population is facing an extensive climate challenge has also increased. For many people today, living sustainably has become a central aspect of everyday life, and when it comes to investing their savings, the majority of Sweden's fund savers state that sustainability is something that is taken into account when choosing an investment. Investments in funds that based on measuring tools, show a high degree of sustainability have thus increased. This raises the question of whether these sustainable funds can generate a higher alpha and thus a better risk-adjusted return than the less sustainable alternatives available on the market. Previous studies have shown differences of opinion, which means that it is relevant to examine how these different types of funds perform against each other in the Swedish market.   Purpose: The aim of this study is to analyze whether fund savers that are investing in sustainable funds can generate a higher alpha and thereby a better risk adjusted return than fund savers that invests in less sustainable alternatives.   Methodology: The study was conducted with a quantitative method and a deductive approach. Sustainability ratings have been collected for 253 funds from a measuring institute. For these 253 funds, data in the form of net asset value have been collected between the period 2016 - 2020 monthly. These funds have then been evaluated based on risk-adjusted returns where regression analysis has been the groundwork for finding answers to whether alpha has been achieved compared to the market or not. Results obtained have then been statistically examined through various tests.   Conclusion: After completed study, there were no signs that studied sustainable funds have given rise to a better risk-adjusted return than the less sustainable alternatives available on the market. Of the 253 funds included in the study, only five funds showed a risk-adjusted return statistically different from zero, where three had a negative return and two a positive return. When the 253 funds were divided into four different quartiles based on sustainability ratings, it appeared that the funds with a positive risk-adjusted return were placed in quartile four, which was the one with the highest sustainability rating. However, this may be based on chance and a result of two in a sample of 253 gives clear indications that efficiency prevails in the market.

Bakgrund: Kapital på börsen förflyttas fram och tillbaka mellan olika tillgångar, vilket ären naturlig del av diversifieringen i portföljer. När osäkerheten ökar i marknaden väljerinvesterare normalt att förflytta kapital från aktier till säkrare tillgångar som exempelvisobligationer, vilket beskrivs som Flight to Quality (FTQ). Däremot har räntorna efter denglobala finanskrisen 2008 varit historiskt låga och under vissa perioder negativa, vilket i sintur försvagar förflyttningen. Sverige har här utmärkt sig, genom att till skillnad från USA,fortsatt att sänka räntan och legat på låga nivåer under en väldigt lång tid. Därmed uppstårfunderingar kring hur förflyttningar av kapital har sett ut i Sverige de senaste 30 åren, samthur det senaste lågränteklimatet påverkar. Syfte: Syftet med studien är att undersöka förhållandet mellan avkastningen på noteradeobligationer och aktier i Sverige från 1993 till 2022. Studien ska även undersöka hur enlågräntemiljö påverkar förhållandet. Metod: OMXSPI samt BMSD10Y har använts för att beräkna avkastningen på aktierrespektive obligationer från databaserna Refinitiv Eikon samt Refinitiv Datastream. Urvaleti studien uppgick till 7271 respektive 1526 observationer. Genom en kvantitativ metod ochdeduktiv ansats har studien utgått från teorin gällande FTQ för att undersöka hurkorrelationen förändrats. Vidare har regressioner använts för att säkerställa påverkan pånivån av korrelationen samt hur ett lågränteklimat påverkar styrkan i FTQ. Slutsats: Studiens resultat påvisar att korrelationen mellan aktier och obligationer undertidsperioden har varit svagt negativ med fyra olika strukturella förändringar under perioden.Vidare visar studiens resultat att ett lågränteklimat under perioden har försvagat styrkan iFTQ:er som inträffat i Sverige mellan 1993 och 2022. Studien bidrar till litteraturen inomområdet korrelation mellan aktier och obligationers avkastningar, samt litteraturen kringlågränteklimats påverkan på finansiella marknader. / Background: Capital on the stock exchange is moved back and forth between differentassets, which is a natural part of the diversification of portfolios. When uncertainty increasesin the market, investors normally choose to move capital from equities to safer assets such asbonds, which is described as Flight to Quality (FTQ). On the other hand, interest rates afterthe global financial crisis in 2008 have been historically low and in some cases negative,which in turn weakens the capital movement. Sweden has distinguished itself, in that unlikethe United States, it has continued to lower its interest rates and have kept them at low levelsfor a very long time. This raises concerns about how capital movements over the past 30 yearshave developed in Sweden, and how the recent low interest rate climate is affecting. Purpose: The purpose of the study is to investigate the relationship between returns onstocks and bonds in Sweden from 1993 to 2022. The study will also investigate how a lowyield environment effects the relationship. Method: OMXSPI and BMSD10Y have been used to calculate the return on stocks andbonds from the databases Refinitiv Eikon and Refinitiv Datastream, respectively. The samplein the study amounted to 7271 and 1526 observations. Through a quantitative method anddeductive approach, the study has been based on the theory regarding FTQ to investigatehow the correlation has changed. Furthermore, regressions have been used to ensure theimpact on the level of the correlation and how a low interest rate climate affects the strengthof the FTQ. Conclusion: The result shows a weak negative correlation between returns on stocks andbonds during the time period, with four different structural breaks during the period.Furthermore, the results show that a low yield environment has weakened the strength of theFlights to Quality that have occurred in Sweden between 1993 and 2022. This studycontributes to the literature in the field of stock-bond return correlation and the field of lowyield effects on financial markets.

The purpose of the study is to compare the valuation process and the selection of value-influencing factors for single-unit residentials properties between Spain and Sweden in a sales context, and to examine how the process is influenced by data availability about comparable properties. This to provide a basis for increased understanding, well-informed purchasing decisions and lessons learned between the markets. The study was conducted through interviews with nine real estate agents, distributed over Spain and Sweden, and the results were put in relation to previous research on the subject. The results were analyzed in the perspective of Resource Dependence Theory and Efficient Market Hypothesis.  It was found that the processes are largely similar, both anchored in comparable properties. The choices of value-influencing factors proved to be relatively similar. A major difference emerged: Spanish real estate agents have access to lower quality and quantity of data on comparable properties, particularly in terms of sales prices, and therefore rely more on listing prices that do not necessarily reflect actual market values. It was found that Swedish real estate agents rely on data and are more dependent on it compared to their Spanish counterparts. With this dependence, it was also found that external actors exert greater control over the Swedish real estate agents' processes. As it was established that the Spanish real estate market is less transparent than the Swedish one, a lower degree of market efficiency was found to prevail in the Spanish real estate market compared to the Swedish market. / Studiens syfte är att jämföra mäklares värderingsprocess och val av värdepåverkande faktorer hos småhus med bostadsändamål i försäljningssyfte mellan Spanien och Sverige, och undersöka hur processen influeras av datatillgång om jämförelseobjekt. Detta för att ge utrymme för ökad förståelse, välinformerade köpbeslut och lärdomar marknaderna emellan. Studien genomfördes via intervjuer med nio mäklare, fördelade över Spanien och Sverige, och resultaten ställdes i relation till den tidigare forskningen i ämnet. Resultaten analyserades ur perspektivet av Resource Dependence Theory och Efficient Market Hypothesis.  Det kan fastslås att värderingsprocesserna liknar varandra i sin helhet, båda sker med stöd av jämförelseobjekt. Valen av värdepåverkande faktorer visade sig vara relativt lika. En stor skillnad uppdagades, att spanskverkande mäklare har tillgång till sämre kvalitet på och lägre kvantitet av data om jämförelseobjekten, framförallt i form av försäljningspriser, och därför i högre grad använder sig av utropspriser som inte nödvändigtvis reflekterar ett faktiskt marknadsvärde. Det kan konstateras att de svenskverkande mäklarna förlitar sig på data och är beroende av den i större omfattning än de spanska. Med denna beroendeställning kan det även konstateras att externa aktörer besitter större kontroll över de svenskverkande mäklarnas process. Då det konstaterades att den spanska fastighetsmarknaden var mindre transparent än den svenska kunde en lägre grad av effektiv marknad fastställas råda på den spanska fastighetsmarknaden än på den svenska.

Este trabajo se plantea la cuestión que millones de inversores se han planteado en algún momento: ¿cuál es la mejor opción para sus ahorros, fondos de inversión, inversión aleatoria o estrategias de análisis técnico? Para este propósito se describen en primer lugar las normas que regulan a las instituciones de inversión colectiva (IIC) en España, distinguiendo entre los diferentes tipos de fondos en cuanto a su forma legal. A continuación se repasan las teorías sobre eficiencia en los mercados financieros. Estas teorías se enlazan con los estilos de gestión; gestión pasiva para aquellos ortodoxos que defienden la eficiencia fuerte y gestión activa para los gestores que no toman la eficiencia como un dogma. Estos últimos creen en las anomalías de mercado y recurren a estrategias basadas en fundamentos contables (estimación de beneficios, ventas, etc.). Esta primera parte concluye con una evaluación del rendimiento de los fondos españoles según su estilo de inversión. Puesto que esta no es del todo favorable para las gestoras se intentan aportar motivos por los cuales los fondos siguen disfrutando de amplia aceptación. La segunda parte del trabajo describe la metodología empleada para estudiar el comportamiento de una cartera de inversión gestionada mediante estrategias de análisis técnico. Con este fin ha sido necesario desarrollar un software capaz de realizar la gestión de carteras y que se alimenta de cotizaciones históricas desde 1/2003 hasta 1/2012. Los datos se separan en dos estudios paralelos, uno para Europa y el otro para EE.UU con el objetivo de analizar diferencias y semejanzas. El programa permite el control completo sobre la cartera, gestión de liquidez, stop-loss, etc.; y nos abastece al mismo tiempo de una gran cantidad de información estadística. La particularidad del software es la capacidad de poder variar los parámetros de las estrategias mediante barrido, obteniendo así no solamente una única simulación sino una población de simulaciones referidas a una estrategia. En la tercera parte se recurre a este conjunto de simulaciones a las que denominaremos estudios y están compuestas por varios millones de operaciones de compra y venta. Estos estudios se aproximan a funciones normales que describen la esperanza de rentabilidades que tendría un inversor que decidiera participar en el mercado siguiendo alguna de las estrategias descritas. Para poder comparar el comportamiento de las estrategias técnicas se utilizan diferentes métodos aleatorios que pretenden simular una operativa al azar. Por último se confrontan los tres métodos de inversión: fondos, análisis técnico y aleatorio; comparados con los índices de referencia correspondientes. / Plá María, M. (2014). Evaluación del comportamiento de carteras con gestión automatizada comparada con los rendimientos de carteras aleatorias y fondos de inversión [Tesis doctoral]. Universitat Politècnica de València. https://doi.org/10.4995/Thesis/10251/38987

Bakgrund: Intresset för att engagera sig inom investeringar och aktiemarknaden har sett en betydlig ökning genom den senaste årtionden, särskilt bland allt fler yngre individer. Inom dagens samhälle är det allt vanligare att människor inte enbart kommunicerar ansikte mot ansikte, utan också på den digitala arenan via internet och sociala medier. Detta är något som även kommit att förändra hur aktiemarknaden ser ut idag och hur informationsutbytet genomförs bland investerare på marknaden. Syfte: Analysera och beskriva betydelsen av informationsutbyte för unga aktieinvesterare. Teori: Studien tillämpar sig av teorier såsom beteendemässiga finansteorin, heuristik, inramningseffekten, flockbeteende, överdriven självförtroende, effektiva marknadshypotesen, mun-till-mun metoden och elektronisk mun-till-mun metoden. Metod: Studien använde sig av en kvalitativ metod i form av semistrukturerade intervjuer. Urvalet riktade sig mot unga investerare som var från 18 till 29 år gamla och sammanlagt deltog åtta respondenter.  Slutsats: Studiens resultatet kom fram till att informationsutbytet hade en betydelsefull roll för unga aktieinvesterares beslutsfattande och att de hade en större tilltro till information som härstammade från deras närmaste omkrets än från digitala medier. Dessutom framkom det att individer med högre finansiell kunskap och erfarenhet var mindre påverkade av snedvridningar och informationsutbytet. Det gick även att observera att respondenter som påverkades i mindre utsträckning av yttre påverkan, också hade en större nivå av medvetenheten om dessa snedvridningar och heuristik. / Background: Interest in investing and the stock market has seen a significant increase over the past decade, especially among an increasing number of younger individuals. In today's society, it is becoming increasingly more common for people to not only communicate face-to-face but also in the digital arena through the internet and social media. This is something that has also come to change how the stock market looks today and how information is exchanged among investors in the market. Purpose: Analyze and describe the importance of information exchange for young equity investors. Theory: The study applies theories such as the behavioral finance theory, heuristics, the framing effect, herd behavior, overconfidence, the efficient market hypothesis, word-of-mouth communication and electronic word-of-mouth communication. Method: The study used a qualitative method in the form of semi-structured interviews. The sample was aimed at young investors who were from 18 to 29 years old and a total of eight respondents participated. Conclusion: The results of the study concluded that the exchange of information played a significant role in the decision-making of young stock investors and that they had greater trust in information that originated from their immediate circle than from digital media. In addition, it emerged that individuals with higher financial knowledge and experience were less affected by biases and the exchange of information. It was also possible to observe that respondents who were influenced to a lesser extent by external influences also had a greater level of awareness of these biases and heuristics.