Made available in DSpace on 2016-03-15T19:26:50Z (GMT). No. of bitstreams: 1 Paulo Roberto Domingues de Faria.pdf: 1135125 bytes, checksum: 6edb1659db23a9f945a0d8a4edd49911 (MD5) Previous issue date: 2010-02-02 / Fundo Mackenzie de Pesquisa / Market efficiency and rationality of economic agents are among the main subjects for debate in the area of Finance. With the development of the field of study of Behavioral Finance some serious works have been developed to improve the financial models with the incorporation of social and psychological elements to the financial theory. This paper presents some of the assumptions of the modern theory of finance and the main ideas of behavioral finance. It also presents empirical research involving the simulation of heterogeneous agents in an artificial stock market. The objective is to evaluate if the interaction of these agents can impact the behavior of asset prices in a different way from that expected by the traditional finance theories. / Entre os principais assuntos em discussão na área de Finanças estão as questões relacionadas à eficiência de mercado e à racionalidade dos agentes econômicos, que se apresentam como premissa para os principais modelos de finanças. Nos últimos anos surgiram trabalhos com o objetivo de aperfeiçoar esses modelos e suas premissas, a partir da incorporação de elementos sociais e psicológicos à teoria financeira. Esses trabalhos deram origem ao campo de estudos de Finanças Comportamentais. Esta dissertação apresenta algumas das premissas da teoria moderna de finanças e os principais pressupostos das finanças comportamentais. Além disso, apresenta pesquisa empírica envolvendo a simulação do comportamento de agentes heterogêneos em um mercado acionário artificial, utilizando o método de simulação baseada em agentes. Os resultados visam avaliar se a interação dos agentes pode impactar o comportamento de preços dos ativos de forma diferente da prevista pelas teorias de finanças.

The stock market has been objective of many researches that seek to identify the presence of some previsibility degree in the return series. Inside of this context grew the Market Efficiency Theory divided in three forms: weak efficiency, semi-strong and strong. The random walk hypothesis was created to test, empirically, the Market Efficiency in the weak-form. Acceptance or rejection brings implications as the possibility of its to get to foresee, somehow, based in past returns, the future returns, removing advantage of that to gain extraordinary incomes. To test the random walk, specialists in this subject they created, along the years, methods and, among these, they stand out the variance ratio tests that, initially they were applied in developed markets and, nowadays, it has also been used at emerging markets. For the development of the present research, with the intention of testing the random walk hypothesis in an emerging market (Brazil) and in a developed market (United States), were implemented the following variance ratio tests: simple, multiple, based in the ranks and signs. The returns of IBOVESPA were used, as proxy of the Brazilian stock market, and of S&P 500, to the North American market, collected daily and weekly in the period of January 03, 2000 to April 25, 2008. The results demonstrated an acceptance of the random walk hypothesis in most of the made tests appearing for a weak form of market efficiency. / O mercado de ações tem sido alvo de muitas pesquisas que visam identificar a presença de algum grau de previsibilidade nas séries de retornos. Dentro deste contexto desenvolveu-se a Teoria de Eficiência de Mercado dividida em três formas: eficiência fraca, semiforte e forte. A hipótese do caminho aleatório foi criada para testar, empiricamente, a Eficiência de Mercado na forma fraca. Sua aceitação ou rejeição traz implicâncias quanto a possibilidade de se conseguir prever, de alguma maneira, com base em retornos passados, os retornos futuros, tirando proveito disso para auferir rendimentos extraordinários. A fim de testar a hipótese do caminho aleatório estudiosos do assunto criaram, ao longo dos anos, métodos e, dentre estes, destacam-se os testes de quociente de variâncias que, inicialmente foram aplicados em mercados desenvolvidos e, atualmente, também tem sido utilizados em mercados emergentes. Para o desenvolvimento da presente pesquisa, com o intuito de testar a hipótese do caminho aleatório em um mercado emergente (Brasil) e em um mercado desenvolvido (Estados Unidos), foram aplicados os seguintes testes de quociente de variâncias: simples, múltiplas, com base nos postos e com base nos sinais. Foram utilizados os retornos do IBOVESPA, como proxy do mercado acionário brasileiro, e do S&P 500, para o mercado norte-americano, coletados diariamente e semanalmente no período de 03 de janeiro de 2000 a 25 de abril de 2008. Os resultados demonstraram uma aceitação da hipótese do caminho aleatório na maioria dos testes efetuados apontando para uma forma fraca de eficiência de mercado.

We evaluate the validity of the Adaptive Market Hypothesis (AMH) in a Swedish context by testing for stock return predictability on the OMXS30 stock index between 1986 and 2014 using daily returns and monthly two year moving subsamples. To our knowledge, this is the first study to evaluate the AMH in a Swedish context. Three tests for linear independence based on Lo and MacKinlay (1988) variance ratio test, namely the Chow and Denning joint test as well as Wright (2000) joint rank and sign tests are used. We also test for non-linear independence using the BDS test statistics. Presented in our findings is evidence of time-varying predictability where stock returns go through periods of return predictability and non-predictability. When evaluating the different market conditions (volatility, bull, bear, up, down and normal markets) we find that these different market conditions govern the degree of stock return predictability in different ways. Our findings support the AMH on the OMXS30 stock index and in contrast to previous research regarding market efficiency on the Swedish stock market, we do not find persistent stock return predictability over the short and long term.

Using the sample of three largest stocks from seven main market sectors in the US, the thesis examines the effect of information content of earnings announce­ ments on market reaction across sectors. Our findings prove the asymmetry of market reaction to different earnings surprise categories with negative-surprise reaction being the most profound. The financial markets tend to be less ef­ ficient in response to negative earnings surprises. Leakage of information is not present suggesting that insider trading is well-mitigated on the US capital markets. Furthermore, we investigate the market reaction to earnings surprises in different sectors separately and find that Consumer Staples and IT sector tend to be the most sensitive, on the contrary Telecommunication and Energy sector tend to be the least sensitive. G14; G15; G30JEL Classification Keywords Earnings announcement; Market reaction; Mar­ ket efficiency; Cross-sector analysis; Corpo­ rate disclosure; Insider trading; Post-earnings- announcement drift A u th o r's e-m ail p a v e l.prucekSgm ail. com S u p erv iso r's e-m ail kocenda@f s v . c u n i. cz

This paper analyses options/warrants price behavior around an ex-dividend day of underlying shares. Both equity options as financial instruments traded on options exchanges, and warrants/certificates as OTC financial instruments are analyzed. First, the paper analyzes the ex-dividend day share price drop. Findings of this part are further used to analyze the impact of unexpected share price decline on options prices. Further, the paper focuses on volumes of traded options contracts and changes in options prices around the ex-dividend day. The paper focuses on European shares and related options and warrants. The options data was collected from the options exchange EUREX and also from several OTC sources -- Vontobel, Lang & Schwarz, Erste, and xMarkets by Deutsche Börse. The main aim of the paper is to identify market inefficiencies in trading in and valuation of equity options. There are two main conclusions that around the ex-dividend day there is a significantly increased trading activity and the call options depreciate whereas put options appreciate between the cum-dividend and the ex-dividend day. This shows insufficient implementation of the share price drops into options valuation models of options dealers or investors / speculators. Further an impact of unexpected share price behavior was analyzed but no particular pattern has been identified. The impact of the unexpected share price drop (either too high or too low) has ambiguous implications on the options prices. Finally, ways how to utilize on knowledge of inefficient trading in options around the ex-dividend day were suggested. The suggestions were done both from the perspective of an investor / speculator and of an options dealer.

Bakgrund: En fungerande kapitalmarknad är en förutsättning för en nations innovation,vilket i sin tur är fundamentalt för att uppnå ekonomisk tillväxt. Därav blir förståelsen för hurkapitalmarknaden fungerar av största vikt. En av de vanligaste frågorna investerare ochforskare ställer sig är huruvida marknader är effektiva? Kan investerare utgå ifrån attkapitalmarknaden är effektiv och att alla handlar på samma information? Frågan är viktigeftersom kapitalmarknaden är uppbyggd på ett förtroende hos allmänheten, om dettaförtroende raseras kan det få förödande konsekvenser för nationen, utifrån svårigheter medkapitalallokeringen. Denna studie undersöker, med utgångspunkt från effektiva marknader,fenomenet kallat ex-dagseffekten. Finns det prisavvikelser på marknaden och iförekommande fall, finns det en förklaring till detta? Utifrån det undersöker studien specifiktmikrostrukturen som förklaring till den potentiella prisavvikelsen. Syfte: Syftet med studien är att undersöka, analysera, samt förklara förekomsten av exdagseffektenoch dess relation med mikrostrukturen på OMX Stockholm Large Cap,respektive Mid Cap och Small Cap. Metod: Utifrån studiens behov att sammanställa en större mängd data har en kvantitativforskningsstrategi använts. Studiens sekundärdata är insamlad för utdelande bolag noteradepå OMX Stockholm Large, Mid samt Small Cap mellan årtalen 2016 och 2019. Insamladdata har sedan sammanställts till paneldata, vilken ligger till grund för studiens t-test samtmultipla regressioner. Slutsats: Utifrån studiens t-test påvisas att ex-dagseffekten föreligger på studiens utvaldamarknad. Vidare, utifrån studiens regressioner utläses det att mikrostrukturen har en negativpåverkan på PDR. Då förekomst av mikrostrukturen påvisas kan studien inte uttala sig omhuruvida marknaden som undersökts är ineffektiv eller ej. / Background: A functioning capital market is a prerequisite for the innovation of a nation,which in turn is fundamental to achieve economic growth. Hence, the understanding of howthe capital market operates becomes of paramount importance. One of the most commonquestions investors and researchers ask themselves is whether markets are efficient? Caninvestors assume that the capital market is efficient and that everyone trades on the sameinformation? The question is important because the capital market is built upon publicconfidence, and if this trust is destroyed, it can have devastating consequences for the nation,based on difficulties with capital allocation. This study examines, based on efficient markets,the phenomenon called the ex-day effect. Are there price deviations in the market, and ifapplicable, is there an explanation for this? Based on this, the study specifically examines themicrostructure as an explanation for the potential price deviation. Purpose: The purpose of the study is to investigate, analyze, and explain the existence of theex-day effect and its relationship with the microstructure of OMX Stockholm Large Cap, MidCap and Small Cap. Method: Based on the study's need to compile a larger amount of data, a quantitativeresearch strategy has been used. The study's secondary data is collected for distributingcompanies listed on OMX Stockholm Large, Mid and Small Cap between the years 2016 and2019. Collected data has then been compiled into panel data, which is the basis for the study'st-test and multiple regressions. Conclusion: Based on the study's t-test, it is demonstrated that the ex-day effect is present inthe study's selected market. Furthermore, based on the regressions models the study used, itcan be deducted that the microstructure has an impact of PDR. Since the presence of themicrostructure is detected, the study cannot comment on whether the market examined isinefficient or not.

PhD (Statistics) / Department of Statistics / There has been a growing interest in investment opportunities in Africa. The net foreign direct investment (FDI) to Sub-Saharan Africa has increased from $13 billion in 2004 to about $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised questions about their efficiency. This thesis examined the weak-form informational efficiency of African stock markets. The aim therefore of this thesis is to test the efficiency of African stock markets in the weak-form of the Efficient Market Hypothesis (EMH) for eight countries, namely, Botswana, Egypt, Kenya, Mauritius, Morocco, Nigeria, South Africa and Tunisia. Since, the researcher will be testing the weak-form of the EMH, the data to be used is on past price information on the markets of the eight countries. Data for the eight countries were obtained from DataStream for the period between August 28, 2000 to August 28, 2015. The data is for a period of 180 months which resulted in 3915 data points. Although there have been studies on the weak-form market efficiency of African stock markets, the efficiency conclusions on the markets have been mixed. This problem might be due to the methods used in the analyses. First, most of the methods used were linear in nature although the data generating process of stock market data is nonlinear and hence nonlinear methods maybe more appropriate in its analysis. Also these linear methods tested the efficiency of African markets in absolute form, however, an efficiency conclusion relying solely on absolute efficiency might be misleading because, stock markets become efficient with time due to improvements in the quality of information processing from reforms on the markets. The researcher solved this problem of using absolute frequency by comparing the results when the presence of long-memory in frequency and time domains of the markets were examined. The researcher used a semi-parametric estimator, the Local Whittle estimator to test for long-memory in frequency domain and the Detrended Fluctuation Analysis (DFA) to test for long-memory in time domain. The DFA method is suitable for both stationary and nonstationary time series which makes it to have more power over methods like the rescaled range analysis (R/S) in the estimation of Hurst exponent. Second, the researcher examined whether the markets were predictable under the Adaptive Market Hypothesis (AMH). The researcher employed the Generalised Spectral (GS) test to examine the Martingale difference hypothesis (MDH) of the markets. The Generalised spectral (GS) test is a non-parametric ii test designed to detect the presence of linear and nonlinear dependencies in a stationary time series. The GS test considers dependence at all lags. Third, because of the nonlinear nature in the data-generating process on the markets, the stationarity of the market returns under a nonlinear Exponential Smooth Threshold Autoregressive (ESTAR) model was examined. A nonlinear ADF unit root test against ESTAR and a modified Wald-type test against ESTAR in the analysis were employed. Fourth, the self-exciting threshold Autoregressive (SETAR) method was employed to model the returns when non-linear patterns were observed as a result of nonlinear data generating process on the markets. The literature on market efficiency of African stock markets has shown that variations exist in the study characteristics. There are variations in the method of analysis, type of test, type of data employed, time period chosen and the scope of analysis for the studies. The researcher therefore quantitatively reviewed previous studies by means of meta-analysis to identify which study characteristics affects efficiency conclusions of African markets using the mixed effects model. The findings showed the presence of long-memory in the returns of the stock markets when the whole sample was used. This made the markets weak-form inefficient, however, when the researcher tested for the persistence of long-memory through time, there were periods the markets were efficient in the weak-form. The memory effect was low in the South African market but high in the Mauritian market. Furthermore, it was observed that, the returns for Egypt, which were highly predictable when the whole data was analysed became not highly predictable when the rolling window approach of the GS test was used. Egypt had one of the lowest percentages of the windows that had a p-value less than 0.05 after South Africa. The results obtained from using the non-linear unit root tests on the logarithmic price series of the markets under study showed that, the markets were non-stationary and hence weak-form efficient under an ESTAR framework but for Botswana. Thus the markets were weak-form efficient when analysed using a non-linear method. This observation means that Africa’s foreign direct investment would have been increased over the years if the appropriate methods are used. This is because, over the years, studies on the weak-form efficiency African stock markets have ended with mixed conclusions with most of the markets being concluded to be weak-form inefficient as a result of the use of linear methods in the analysis. This finding, to us, has had an effect on investors commitments to Africa because the right methodology was not employed. iii The findings from modelling the returns under the non-linear SETAR model showed that, the SETAR model performs better than the standard AR(1) and AR(2) model for all the markets under study after the non-linear patterns were identified in the returns series. The SETAR (2,2,2) model is a threshold model, therefore, investors are able to move freely in search of higher opportunities between the low and high regimes. Investors main aim is to make profits, hence, the threshold model of SETAR gives them the freedom to move to a regime where the rate of returns is increasing unlike the standard AR(1) and AR(2) linear models where there are no switching of regimes. Finally, none of the study characteristics in the market efficiency studies was found to be significant in efficiency conclusions of African stock markets but the indicator for publication bias was significant. This means that there has been a change in attitude in recent years towards studies on informational market efficiency whose results do not support the Efficient Market Hypothesis (EMH), unlike the earlier years when the EMH was formulated and acclaimed to be one of the best propositions in economics. It was therefore concluded that when time-varying methods are used in analysing weak-form efficiency, the dynamics of the markets become known to investors for proper decision-making. Also, nonlinear methods should be used in order to reflect the nonlinear nature of data capturing on the stock markets / NRF

Chapter 1 Summary of the Dissertation "We are in the golden age of fraud." Jim Chanos, Kynikos Associates, Financial Times 24/07/2020. Beyond the speculations about the consecutive waves of Covid, 2020 will be reminded for one of the most notorious failures of a listed firm, due to a massive accounting fraud: the German payment fintech Wirecard. The firm, with 30 subsidiaries in 26 countries, joined the prestigious DAX index just two years before. The spillovers of the billion-euro fraud range from the arrest of top managers to suspicion of auditors, politicians, and regulatory authorities (BaFin, European Commission, and ESMA), as suggested the Financial Times headline "Why was Frankfurt so blind for so long?"1 Such a failure serves as a reminder of the relevance of financial markets regulation, oversight, and enforcement, in order to protect investors and to encourage compliance with regulations. Research on the relationship between the publication of financial misconducts and financial performance for corporates has continuously grown, as illustrated by the recent in- depth literature reviews undergone by Amiram et al. (2018) and Liu and Yawson (2020). It is fueling regulatory debates on how to enforce more efficiently financial regulations. Some specificities of white-collar crimes must be accounted for...

In an effort to examine role of capital markets' efficiency in transmission of monetary policy, 28 time series of market efficiency development are estimated with use of long-term memory and fractal dimension measures and a panel of 27 inflation targeting countries is constructed to run a random effect regres- sion. The cases of Czech Republic and Austria are thereafter more closely examined with use a vector-autoregressive and threshold vector-autoregressive frameworks on macroeconomic data spanning from 1996:Q3 to 2018:Q4. The evidence obtained through the conducted analyses support the hypothesis, that a more efficiently functioning capital market better contributes to monetary policy pass-through, or conversely, that high transaction costs, barriers to cap- ital market entry, or poor information availability may hinder the effects of central bank's monetary policy. JEL Classification F12, F21, F23, H25, H71, H87 Keywords capital market efficiency, inflation targeting, monetary transmission mechanism Author's e-mail teddy.krejci@gmail.com Supervisor's e-mail LK@fsv.cuni.cz

Från och med årsskiftet 2019/2020 kom Sverige och världen att påverkas av pandemin COVID-19. Det finns ett flertal studier på området om hur tidigare kriser och COVID-19 har påverkat marknaden, men avseende den svenska aktiemarknaden är tidigare studier bristande. Marknadseffektivitet är ett väl undersökt område vid tidigare kriser, däribland effektiva marknadshypotesen och Signaleringsteorin. Ett samband borde enligt nämnda teorier finnas mellan förändringarna i aktiekursen och den information som finns på marknaden. Tidigare studier tyder även på att det vid tidigare kriser, samt vid COVID-19 i andra länder, funnits ett samband mellan bolagens storlek och hur aktiekurserna förändras. I och med de restriktioner som tagits fram har hela aktiemarknaden påverkats av COVID-19, och det bör även ha haft en inverkan på hur olika branscher påverkas, vilket har konstaterats i tidigare studier på andra länder. Syftet med studien är att analysera hur den svenska aktiemarknaden har påverkats av nyheter om COVID-19 genom att studera aktiemarknadens effektivitet, bolagens storlek och dess bransch. Eventstudierna genomförs på tre eventfönster baserade på varsin nyhet med empiriskt underlag som utgörs av aktiekurser för bolag på OMX Stockholm. Marknadens effektivitet testas sedan genom t-test på abnormal avkastning vid samtliga event. Ett eventuellt samband mellan abnormal avkastning och bolagens storlek/bransch undersöks också genom regressionsanalyser. Vi finner att aktiemarknaden har agerat effektivt vid event 1 och 2, aktiemarknaden har då prissatt den information som har publicerats. Bolagens storlek kunde ses ha påverkat förändringen i aktiekurserna under samtliga event, men det var endast under event 1 och 2 som det positivt eftersökta sambandet kunde återfinnas. Ett samband kan i event 2 återfinnas mellan vilken bransch som bolagen tillhör och hur mycket deras aktiekurser sjönk mot vad det borde ha gjort vid nyhetssläppet. Konsument cyklisk var den bransch som hade högst negativ abnormal avkastning under event 2. / The purpose of this study is to analyze how the Swedish stock market has been affected by news about COVID-19 by studying the efficiency of the stock market, the size of companies and its industry. Three different event windows linked to each novelty are examined and the empirical basis consists of share prices for companies on OMX Stockholm. Market efficiency is then tested by t-tests on abnormal returns for all events. A relationship was also sought between abnormal returns and size / industry through a regression model. We find that the market has acted effectively at events 1 and 2 and has then priced the information that has been published. The size of the companies can be seen to have affected the change in share prices in all events, but it was only during events 1 and 2 that the positively sought relationship could be found. In event 2, a relationship can be found between which industry the companies belong to and how much their share prices fell compared to what it should have done (abnormal return) at the news release. The industry consumer discretionary has been the most negatively affected during event 2.