This diploma thesis aims at assessing stock market efficiency using seventeen shares and stock index S&P 500 which represents whole market. Selected shares were traded using several tools from technical analysis from 2012 to 2016. Trading is based on buy / sell signals. These signals were generated by 38 automatic trading strategies, created from crossing rates and sliding averages, by crossing two different sliding averages and based on technical indicators MACD, RSD and Momentum. Theoretical part of this work is dedicated to capital market, stock market efficiency assessment, shares and different types of analysis, mainly to technical. Results of stock market efficiency assessment of finances when trading all tested strategies can be found in the practical part. Random movements of rates were proven, this implies that market is slightly effective. Best trading strategy cannot be determined, because there are too many factors influencing results. Passive strategy achieved better profit. According to complete average results, MACD a 50+200EMA has highest success rate. Least appropriate strategies were MACD+SL and RSI_30+70_2. The worst shares for active trading were EBS and MRK, best LCI, ABC and VRX.

Um dos fundamentos das Finanças, a partir da segunda metade do século 20, é a hipótese de eficiência de mercado. Num Mercado Eficiente, as informações sobre o ativo são transferidas para os preços de modo que o preço do ativo reflete toda informação disponível. Assim, o retorno desse ativo está baseado no nível de risco associado. Esse estudo examina carteiras de ações formadas com base em diferentes critérios e acompanha o retorno produzido no período, verificando as estratégias de investimento que provocam os melhores resultados, ou seja, quais as estratégias vencedoras tomando-se como base uma determinada variável fundamentalista. O resultado obtido poderá confirmar a hipótese de racionalidade do mercado. O trabalho é baseado no retorno apresentado pelas ações no mercado brasileiro no período de 1993 até 2003. / Modern Finance is established based in Market Efficiency Hyphotesis, an important concept widely accepted since1950´s. A market in which prices at any time refect all information available is considered efficient. In the present study we built portfolio as per some estrategies for selecting stocks based in past return just to verify winners strategies that can confirm the market efficiency hyphotesis. We followed the return based in stocks from 1993 to 2003 in São Paulo Stock Exchange.

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>Magister Scientiae - MSc / This research undertakes to investigate both long-term and short-term investor overreaction on the JSE Limited (JSE) over the period from 1 January 2002 to 31 December 2009. The period covers the restructuring and reform of the JSE in the early 2000s to the end of global financial market crisis in late 2008/2009, which can be regarded as a complete economic cycle. The performances of the winner and loser portfolios are evaluated by assessing their cumulative abnormal returns (CAR) over a 24-month holding period. The test results show no evidence of mean reversion for winner and loser portfolios formed based on prior returns of 12 months or less. However, test results show evidence of significant mean reversion for the winner and loser portfolios constructed based on their prior 24 months and 36 months returns. In addition, the study reveals that the mean reversion is more significant for longer-formation-period portfolios as well as for longer holding periods. The examination of the cumulative loser-winner spreads obtained from the contrarian portfolios based on the constituents’ prior 24 month and 36 month returns indicates that the contrarian returns increase for portfolios formed between 2004 and 2006, and declines thereafter towards the end of the examination period. The deterioration of contrarian returns coincides with the subprime mortgage crisis in 2007 and the subsequent global financial crisis in 2008. This evidence suggests that the degree of mean reversion on the JSE is positively correlated to the South African business cycle.

Market efficiency, based on people acting rationally, has been the dominating finance theory for most of the 20th and 21st Century’s. This classical finance theory is based on assumptions that people are rational, they absorb all available information and maximise utility. This view is outdated; it has been shown that people are in fact irrational and that this could be the cause of anomalies in the market. Behavioural finance takes into account people, and their natural biases. Behavioural finance has integrated classical financial theories and psychological theories to illustrate the way in which irrational people can impact market efficiency. This research looks at the way collective investment scheme manager decision-making can impact market efficiency. Specifically the behavioural biases: overconfidence, over optimism, loss aversion and frame dependence and whether or not collective investment scheme performance is affected by these. This research was carried out using a questionnaire distributed directly to CIS managers and risk-adjusted returns were used in order to allow for comparative results. The results from the questionnaire show evidence that actively managing South African CIS managers do indeed suffer from overconfidence and loss aversion and they do not appear to suffer from frame dependence or over optimism in this research context. There was also evidence showing that managers who suffer from these biases also demonstrated lower investment returns. “The investor’s chief problem, and even his worst enemy, is likely to be himself.” - Benjamin Graham

Un marché efficient permet de définir le prix d’un bien, pour des quantités échangées, qui reflète la valeur donnée par les acteurs économiques. Cette valeur est objective dans la théorie classique, ou intrinsèque. Or, la valeur intrinsèque apparaît parfois déconnectée d’une valeur sociale. Il y a donc un problème de définition de la valeur, qui s’exprime notamment sur les marchés financiers. S'agissant de titres financiers, cette valeur est ce qui est mesuré subjectivement au travers d'une échelle de valeur dont la norme est donnée par le leader du marché. Ce leader est reconnu comme le vainqueur d'une lutte, appelée agôn, et se repère par une croissance de son cours (effet agonistique), une baisse des volumes échangés (effet d'allégeance) et un kurtosis élevé (effet mimétique). Nous pouvons alors proposer des aides à la décision pour l’investisseur à partir d’une théorie agonistique de la valeur. / An efficient market gives the right price of any product, with exchanged quantities, reflecting the value given by sellers and buyers. This value is defined as objective, or intrinsic in classical economic approach. This intrinsic value may be disconnected from a social value. It means there is a problem to define the value especially on financial markets. On those financial markets, value is what has to be measured, subjectively on a value scale given by the market leader. This leader is the winner of a fight, called agôn, and its stock price is growing (agonistic effect), the quantities of stocks exchanged are dropping (allegiance effect), with a high kurtosis (mimetic effect). We could propose to any investor some decision-making aid through an agonistic value theory.

Pengar har under en lång tid spelat en central roll i människans samhälle och dagens samhälle präglas av allt mer handel. Utifrån detta har nya betalningsmetoder utvecklats. En förändring i konsumentbeteendet har bidragit till att allt fler individer väljer elektroniska betalningstjänster. En relativt ny innovation är kryptovalutan bitcoin som erbjuder betalning mellan köpare och säljare utan inblandning av en tredje part. Ett flertal studier har gjorts med syftet att fastställa om bitcoin är en valuta eller en tillgång, något som visat sig vara svårt. Något som varit tydligare är att bitcoins värdeförändringar inte tycks vara korrelerad med andra investeringsalternativ. I en studie av Brière et al. (2015) drogs slutsatsen att bitcoin är en intressant tillgång för en investerare tack vare bitcoins låga korrelationskoefficient med andra tillgångar. Denna studie grundar sig i de teoretiska utgångspunkterna om Famas (1970) hypotes om den effektiva marknaden, Markowitz (1952) moderna portföljteori och Rogers (2003) teori om spridning av innovationer. Med detta som utgångspunkt är syftet med denna studie att undersöka hur korrelationskoefficienten mellan bitcoin och traditionella investeringstillgångar som aktier, valutor och råvaror ser ut idag samt hur dessa har förändrats över tid. Med hjälp av Famas (1970) teori om effektiva marknader och Rogers (2003) teori om spridning av innovationer kommer en diskussion om huruvida bitcoins egenskaper som investering i den moderna portföljen har förändrats i takt med att bitcoin blivit mer använd, både som betalningsmedel och investeringsalternativ. För att besvara dessa frågor undersöks korrelationskoefficienterna mellan bitcoin och elva andra tillgångar i kombination med en analys av en deskriptiv statistik. Med en undersökningsperiod som sträcker sig från 18 augusti 2011 till 17 mars 2017. Denna period har även delats upp i mindre tidsperioder för att utifrån detta analysera om det skett några förändringar i korrelationen mellan bitcoin och de traditionella tillgångarna i studien. Resultatet visade att bitcoin inte är korrelerad med andra traditionella tillgångar, oavsett vilken tidsperiod som undersöks. Det visade sig att bitcoin i förhållande till andra tillgångar är en riskfylld investering på grund av bland annat en hög volatilitet. Dock kompenseras detta av bitcoins höga årlig avkastning. Av resultatet framgår det även att volatiliteten för bitcoin har minskat med tiden och att kryptovalutan inte är lika riskfylld idag jämfört med tidigare.

This study examined the impact of open-market stock repurchases by Real Estate Investment Trusts (REITs) on the share price of the featured company. Two aspects of investment finance are rational behaviour and efficient markets. Both of these concepts were explored to understand why a share repurchase would have an impact on a company share price.Causal research was conducted to analyse the correlation between a share repurchase event and the share price of the featured company. The share buyback announcements were collected from the Bloomberg database. The holding period returns were calculated and compared to zero to analyse whether there was any momentum or contrarian signals. The holding period returns were also adjusted for the average of the all REIT index to ascertain whether the returns were abnormal or not.The results have shown share repurchase transactions to be contrarian indicators of share price performance. Even when the results were adjusted for the REIT index, the negative returns continued. / Dissertation (MBA)--University of Pretoria, 2012. / Gordon Institute of Business Science (GIBS) / unrestricted

The Halloween effect refers to higher stock returns during the period November to April compared to May to October. This is a well-known calendar anomaly that has gained a lot of attention due to the fact that the effect is persistent in the market in spite of the fact that investors are aware of the anomaly today. This evokes questions regarding the efficiency in the markets and the Efficient Market Hypothesis in particular. The main focus of this thesis was to investigate whether the Halloween effect still exists in the Swedish stock market and if the power of the effect deviates between different firm sizes. Furthermore, we examined risk differences between the summer -and the winter months, as well as the January effect in order to find out if these could be possible explanations for the Halloween effect and its existence. A trading strategy based on the Halloween effect was also tested in order to see if investors could use this strategy to outperform a buy and hold strategy. The method that was used to investigate the existence of the Halloween effect was Ordinary Least Squares regression models with dummy variables, standard deviation to ascertain risk-differences between the periods and the Sharpe ratio to determine the risk-adjusted returns of the trading strategies. The results showed that the Halloween effect could be found in all of the examined market-cap indices, and therefore the Efficient Market Hypothesis could be questioned. The Halloween effect turned out to be autonomous from the January effect and the risk measured in standard deviation had no significant difference between the summer -and the winter months, hence, both these possible explanations were rejected. The backtesting showed that the Halloween strategy would perform better than the buy and hold strategy in all indices except from the mid-cap index. The results regarding the Sharpe ratio indicated that the Halloween strategy would be a better strategy to use considering risk-adjusted returns as the Sharpe ratio was higher in all indices.

The purpose of the study is to empirically determine the relevance of PPP theory under the traditional arbitrage and the efficient markets (EPPP) frameworks during the recent floating period of the 1980s. Monthly data was collected for fifteen industrial nations from January 1980 to December 1986. The models tested included the short-run PPP, the long-run PPP, the EPPP, the EPPP with deviations from expectations, the forward rates as unbiased estimators of future spot rates, the EPPP and the forward rates, and the EPPP with forward rates and lagged values. A generalized regression method called Seemingly Unrelated Regression (SUR) was employed to test the models. The results support the efficient markets approach to PPP but fail to support the traditional PPP in both the short term and the long term. Moreover, the forward rates are poor and biased predictors of the future spot rates. The random walk hypothesis is generally supported.