Master-Arbeit Univ. St. Gallen, 2006.

Master-Arbeit Univ. St. Gallen, 2008.

Bachelor-Arbeit Univ. St. Gallen, 2008.

<p>There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem formulation is:Are the stock markets of ASEAN+3 correlated?Does the eventual correlation change under turbulent market conditions?In terms of the eventual correlation, discuss: is it possible to diversify an investment portfolio within this area?The purpose of the study is to conduct a research that will provide investors with information about stock market correlation within the chosen market. We have conducted the study with a positivistic view and a deductive approach with some theories as our starting point. The main theories discussed are; market efficiency, risk and return, Modern Portfolio Theory, correlation and international investments. By using the financial datatbase, DataStream, we have been able to collect the necessary data for our study. The data has been processed in the statistical program SPSS by using Pearson correlation.From the empirical findings and our analysis we were able to draw some main conclusions about our study. We found that most of the ASEAN+3 countries were strongly correlated with each other. Japan showed lower correlation with all of the other countries. Based on this we concluded that economic integration seems to increase correlation between stock markets. When looking at the economic downturn in 2007-2009, we found that the correlation between ASEAN+3 became stronger and positive for all of the countries. The results also showed that the correlation varies over time. We concluded that it is, to a small extent, possible to diversify an investment portfolio across these markets.</p>

Investment in hedge funds is a relatively new phenomenon for investors compared with other forms of savings. In recent years, the interest has increased among investors in investing their money in hedge funds, given the protection against declines in the market they are aiming for. Their main purpose is to generate a high return at a low risk regardless of market trends. This they can achieve by having fewer restrictions that offer more flexible investment strategies and freer investment opportunities. The purpose of this paper is to identify how the selected hedge fund strategies have performed during the recent economic downturn. We also want to clarify the claim that hedge funds exhibit a positive absolute return regardless of what the market is performing. In order to answer the purpose of the essay and its problems, we have used a quantitative method with a deductive approach in the processing of data. Our observations are thus linked to the theory in order to examine the relationships. We have analyzed our results using various financial and statistical measures. A comparison has been made between the different strategies' performance against each other and against a market index during a five year period, which includes the recent financial crisis in 2008. We have also studied the hedge funds in terms of returns, various risk measures, performance measures, correlation and regression. The statistical measurements have been used to comprehensively examine the study's credibility. We came to the conclusion that all hedge funds are not able to generate positive absolute returns, but it is of importance which strategy to investigate. Our examination showed that the market depending hedge funds had a strong correlation with the market. Thus, they failed to perform as well as the other strategies, which had a minor connection to the market during the period of study. / Placering i hedgefonder är ett relativt nytt fenomen för investerare i jämförelse med andra sparformer. Under de senaste åren har intresset bland investerare ökat i att placera sina pengar i hedgefonder, med tanke på det skydd mot nedgångar på marknaden som de strävar efter. Deras huvudsakliga syfte är att till en låg risk generera en hög avkastning oberoende av marknadsutvecklingen. Detta kan de uppnå genom att de har färre restriktioner som erbjuder mer flexibla investeringsstrategier och friare placeringsmöjligheter. Denna undersökning syftar till att kartlägga prestationen av utvalda hedgefondstrategier under den senaste konjunkturnedgången. Vi vill även klargöra påståendet att hedgefonder uppvisar en positiv absolut avkastning oavsett vad marknaden presterar. För att uppsatsens syfte och frågeställningar skall kunna besvaras har vi använt oss utav en kvantitativ metod med en deduktiv ansats vid bearbetningen av data. Våra observationer har därmed kopplats till teorin för att undersöka sambanden. Vi har analyserat våra resultat med hjälp av olika finansiella och statistiska mått. En jämförelse har gjorts mellan de olika strategiernas prestation mot varandra och mot ett marknadsindex över en femårsperiod, som innefattar den senaste finanskrisen år 2008. Vi har även studerat hedgefonderna i form av avkastning, olika riskmått, prestationsmått, korrelation och regression. De statistiska måtten har använts för att på ett övergripande sätt kunna granska studiens trovärdighet. Slutsatsen vi kom fram till är att alla hedgefonder inte lyckas generera en positiv absolut avkastning utan det är av betydelse vilken strategi som man undersöker. Vår undersökning visade att de marknadsberoende hedgefonderna hade ett starkt samband med marknaden. Således lyckades de inte prestera lika bra under den studerade tidsperioden som de övriga strategierna som hade en mindre koppling till marknadsutvecklingen.

There is evidence that globalization, economic assimilation and integration among countries and their financial markets have increased correlation among stock markets and the correlation may in turn impact investors’ allocation of their assets and economic policies. We have conducted a quantitative study with daily stock index quotes for the period January 2000 and December 2009 in order to measure the eventual correlation between the markets of ASEAN+3. This economic integration consists of; Indonesia, Malaysia, Philippines, Singapore, Thailand, China, Japan and South Korea. Our problem formulation is:Are the stock markets of ASEAN+3 correlated?Does the eventual correlation change under turbulent market conditions?In terms of the eventual correlation, discuss: is it possible to diversify an investment portfolio within this area?The purpose of the study is to conduct a research that will provide investors with information about stock market correlation within the chosen market. We have conducted the study with a positivistic view and a deductive approach with some theories as our starting point. The main theories discussed are; market efficiency, risk and return, Modern Portfolio Theory, correlation and international investments. By using the financial datatbase, DataStream, we have been able to collect the necessary data for our study. The data has been processed in the statistical program SPSS by using Pearson correlation.From the empirical findings and our analysis we were able to draw some main conclusions about our study. We found that most of the ASEAN+3 countries were strongly correlated with each other. Japan showed lower correlation with all of the other countries. Based on this we concluded that economic integration seems to increase correlation between stock markets. When looking at the economic downturn in 2007-2009, we found that the correlation between ASEAN+3 became stronger and positive for all of the countries. The results also showed that the correlation varies over time. We concluded that it is, to a small extent, possible to diversify an investment portfolio across these markets.

Master-Arbeit Univ. St. Gallen, 2006.

Master-Arbeit Univ. St. Gallen, 2005.

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No. of bitstreams: 1 Dissertação - Simao Souza da Silva.pdf: 1265894 bytes, checksum: 49b37d68457f6a9208b3993102ddd3e7 (MD5) Previous issue date: 2016-05-19 / Options are financial derivatives that allow its holder, upon payment of the premium, acquire some protection against market upward and downward movements. The celebrated work of Black-Scholes (1973) boosted the scientific production of mathematical models in finance aimed at predicting the behavior of stock prices and options and other derivatives. Christoffersen, Fournier and Jacobs (2013) identified a structural factor in common between prices of stock options of companies in the Dow Jones Industries index and the S & P500 index from that discovery developed a model to valuation of stock options that take into account the stochastic volatility of the market return and idiosyncratic part of the individual firms returns. The consistency of model testing led to the investigation of the applicability of this model in Brazil. Thus, we intend to answer the following question: how the factor structure Christoffersen, Fournier and Jacobs (2013) model evaluates the prices of stock options of individual firms participating in the Ibovespa index. This is a recent and few explored model, thus, the overall objective is to evaluate the performance of the market factor structure model in predicting the prices of stock options of Petrobras S.A. and Vale S.A with maturing in 30 and 60 days. Specifically aims to: raise the price of the shares and options; investigate the existence of a structural factor in common between the prices of firms' stock options and prices of stock options of the Ibovespa stock market index, estimating the prices of options maturing in 30 and 60 days and, finally, compare the prices of models with market prices. This research is characterized in relation to the objectives as exploratory, documentary when the procedures and qualitative and quantitative as its approach. The survey data were collected from April 1 to June 30, 2015. The principal component analyze did not identify the presence of factor structure in common between the prices of the options of individual firms and the market index, showing low explanatory power. As the model’s efficiency, qualitatively, it was found that this estimate could satisfied with the devaluation of the options Petrobras with maturing in 30 and 60 days and options and Vale in 30 days. Quantitatively, the model predictions underestimated the prices of options on individual firms. / Opções são derivativos financeiros que permitem ao seu possuidor, mediante o pagamento do prêmio, adquirir certa proteção contra os movimentos ascendentes e descendentes do mercado. O célebre trabalho de Black-Scholes (1973) impulsionou a produção cientifica de modelos matemáticos em finanças voltados a previsão do comportamento dos preços das ações e opções e outros derivativos. Christoffersen, Fournier e Jacobs (2013) identificaram um fator estrutural em comum entre preços das opções de ações das empresas do índice Dow Jones Industries e o índice S&P500, a partir dessa descoberta desenvolveram um modelo de avaliação de opções de ações que leva em conta a volatilidade estocástica do retorno do mercado e a parte idiossincrática dos retornos das firmas individuais. A consistência dos testes do modelo motivou a investigação da aplicabilidade desse modelo no mercado brasileiro. Assim, pretende-se responder a seguinte questão: como o modelo de estrutura fatorial de Christoffersen, Fournier e Jacobs (2013) avalia os preços das opções de ações de firmas individuais participantes do índice Ibovespa. Trata-se de um modelo recente e pouco explorado, assim, o objetivo geral é avaliar o desempenho do modelo de estrutura fatorial de mercado na previsão dos preços de opções de ações da Petrobrás S.A. e da Vale S.A com vencimentos em 30 e 60 dias. Especificamente se pretende: levantar as cotações das ações e suas opções; investigar a existência de algum fator estrutural em comum entre as os preços das opções de ações das firmas e os preços das opções de ações do índice de mercado Ibovespa, estimar os preços de opções com vencimento em 30 e 60 dias e, por fim, comparar os preços dos modelos com os preços do mercado. Esta pesquisa caracteriza-se em relação aos objetivos como exploratória, documental quando aos procedimentos e quali-quantitativa quanto a sua abordagem. Os dados da pesquisa foram coletados no período de 1º de abril a 30 de junho de 2015. Os resultados da análise da componente principais não identificaram a presença de estrutura fatorial em comum entre os preços das opções das firmas individuais e do índice de mercado, apresentando baixo poder explicativo. Quanto a eficiência do modelo, qualitativamente, verificou-se que este conseguiu estimar satisfatória a desvalorização das opções da Petrobrás com vencimento em 30 e 60 dias e das opções da Vale para 30 dias. Quantitativamente, as previsões do modelo subestimaram os preços das opções das firmas individuais.

During the last decade there has been an increase in renewable energy companies. At the same time, propositions have been put forward worldwide in order to restrict the possibilities for expansion for energy companies with their focus on oil and gas. This study aims to analyse the potential spillover effects between oil and renewable energy stocks on the Nordic Stock markets in order to explain how these events might affect investors abilities to predict potential gains in the markets. Spillover effects are characterized by seemingly unrelated events in one market having an impact on another. Similar studies have been conducted in countries that have a large dependency on oil as their means of energy. However, with the Nordic region being on the forefront when it comes to renewable energy globally, the aim was to see if there would be similar effects between the different sectors between different countries. The study utilized Market Capitalization based indexes for both types of stocks and examined the correlations between them during different time periods. This in order to find trends related to different time periods that could open up for different investment opportunities depending on the user. As the study showed, there were significantly negative correlations between the indexes in favour of the renewable market. However, these correlations were not true for all time periods within the study and could therefore not be confirmed as a definite result.