The ASE has developed greatly since its establishment and has succeeded in accomplishing several of its goals by mobilising capital into the productive sectors of the economy. ASE appears to be well organised, attractive, and aims to attract international investments in order to increase the depth of the market. The aim of the study is to explore the efficiency of this emerging market and investigate the integration with other capital markets in the region. Conventional tests beside recent econometric techniques are implemented. The thesis starts with a review of the development of the efficient market hypothesis, followed by an overview of the development of the Jordanian Financial Market. The autocorrelation and runs test - runs up and down, distributions of runs by length, and runs above and below -are applied to the daily price indices of ASE to examine whether ASE is weak form efficient. The empirical results reflect significant positive dependency patterns in stock prices and suggest that the price behaviour in ASE does not follow the random walk model over time. However, further investigation is applied to find whether these results could be exploited, through technical analysis, to outperform the simple buy and hold policy. Filter rules and moving average techniques are used. Furthermore, and for the results of moving average techniques, standard statistical testing is extended through the use of bootstrap techniques. According to the moving average rule, buy and sell signals are generated by two moving averages of the level of the index (long and short period averages). The conditional returns on buy or sell signals from actual data are compared to the conditional returns from simulated series generated by a range of models (random walk with a drift, AR (1), and GARCH-(M)). The results of this part of the study generally suggest that technical analysis helps predict stock price changes in the Jordanian stock market. In the next part of the thesis, recent econometric Procedures are employed to investigate the behavioural properties of ASE indices. The Box-Jenkins estimation, irrespective of the index examined produced different models with a high prediction performance, violating the EM: H conditions. The unit-root test also confirmed these results as the return series for all indices did not exhibit unit root, and all processes were stationary. The GARCH-M(l, l) model is estimated and present mix results cross the indices. To a certain limit, the results support the existence of a significant link between conditional volatility and stock returns, and the conditional variance is found to change over time as a result of volatility clustering effects. The last part of the thesis applies the cointegration and Granger causality tests to investigate the concept of market integration and comovements. These techniques are applied using, firstly, the five Jordanian daily indices, and secondly, the weekly price indices for ten MENA (Middle East and North Africa) markets. The cointegration test between the Jordan index and every other market index is applied. Moreover, different groups of markets (GCC, Africa, and Europe) are composed and the cointegration test is applied for each group. Results suggest that the Jordanian stock market does not exhibit a long run relationship with most other markets, and there is an advantage for investors looking for diversification in the Middle East markets.

In the early 1980's several developing countries introduced liberalisation policies in their economies. One of the reforms they implemented was to develop their stock markets. The theoretical justification for the liberalisation process was provided by the work of McKinnon (1973) and Shaw (1973). Their model follows neo-classical assumptions on savings and investment. Other researchers later completed their model with respect to the stock market, and claimed that its development could benefit the emerging economies [Cho (1986)]. The aim of this thesis is to empirically examine if stock market development in a sample of emerging countries assisted economic growth or not. To examine this, we form three research questions. The first question is: what is the direct impact of stock market development on economic growth in developing countries? The second question refers to the indirect impact of stock market development on the economy via stock price volatility. The question is: has stock market volatility increased following liberalisation policies or not? The third question is: have the emerging stock markets become more integrated with each other and with developed markets following liberalisation? Stock market integration is a result of stock market development so we should expect these stock markets to become more integrated after they were liberalised. In examining these issues, we take into account the special circumstances surrounding each country. To this end we provide an overview of some of the emerging economies we examine and discuss the implications of their individual characteristics for our analysis. We carry out a literature survey which suggests that research in this area has been scarce. The few empirical evidence on these questions are mixed. This thesis aims to contribute to this growing literature by providing additional evidence on the questions we posed and by overcoming some of the problems which are inherent in the methodologies followed by previous researchers who examined these issues.

No description available.

An ideal inductive machine learning algorithm produces a model best approximating an underlying target function by using reasonable computational cost. This requires the resultant model to be consistent with the training data, and generalize well over the unseen data. Regular inductive machine learning algorithms rely heavily on numerical data as well as general-purpose inductive bias. However certain environments contain rich domain knowledge prior to the learning task, but it is not easy for regular inductive learning algorithms to utilize prior domain knowledge. This thesis discusses and analyzes various methods of incorporating prior domain knowledge into inductive machine learning through three key issues: consistency, generalization and convergence. Additionally three new methods are proposed and tested over data sets collected from capital markets. These methods utilize financial knowledge collected from various sources, such as experts and research papers, to facilitate the learning process of kernel methods (emerging inductive learning algorithms). The test results are encouraging and demonstrate that prior domain knowledge is valuable to inductive learning machines.

We employ the Reuters database to compare execution costs for 2,330 matched-pair securities across the top 7 equity markets in the Dow Jones STOXX Global 1800 Index. This sample encompasses a wide variety of thirteen market design features. In addition, we investigate execution costs well beyond the most heavily traded stocks to include equities in the sixth through tenth deciles of traded value. Our findings indicate that full transparency of the limit order book to investors and a composite of unique NYSE features (but not the presence of the crowd) unequivocally reduce effective spreads. In contrast, a fully transparent limit order book revealed to brokers, the presence of a market maker, or the mixture of execution systems present on the LSE sharply increase effective spreads in both thickly and thinly-traded stocks. The effect of a physical trading floor is statistically significant but relatively small; it increases effective spreads slightly for thickly-traded firms, and reduces them for thinly-traded stocks. The findings for price impact are the same with three exceptions. First, the presence of a trading floor increases costs, dramatically so for thinlytraded stocks. Second, a fully transparent limit order book for brokers raises price impact for thickly traded stocks, but lowers price impacts for thinly traded firms. Third, in thinly-traded stocks, London???s hybrid market decreases price impact, and in thickly-traded stocks, crowd trading on the NYSE and full transparency to investors decrease price impact. Finally, the results for realised spread are essentially the same as those for effective spread, with the exception that the effect of the presence of a trading floor is to reduce realised spreads. Overall, the London Stock Exchange is the highest execution cost market, and the NYSE is the lowest. This research includes a market-specific study of the effect on execution cost of the Liquidity Provider of Euronext Paris. Euronext Paris affords a natural experimental research design because a third of firms have Liquidity Providers and two thirds do not. Results indicate quoted spreads, effective spreads and realized spreads are significantly affected by the presence of a Liquidity Provider, but price impacts are not. On the one hand, this suggests that the thickly-traded stocks where the Liquidity Providers are prohibited have sufficient liquidity in their absence. On the other hand however, liquidity providers on Euronext Paris reduce effective and realised spreads in essentially all stocks. This finding suggests that the limit order book refreshes much more quickly after developing an imbalance of large size orders when Liquidity Providers can facilitate other liquidity suppliers in assessing picking off risk. The Liquidity Provider increases quoted spreads for thickly-traded firms from the first three traded value deciles while reducing quoted spreads for the lower deciles.

Diss. Stockholm : Handelshögskolan, 2005.

Thesis (M.A.). / Written for the Dept. of Geography. Title from title page of PDF (viewed 2008/07/29). Includes bibliographical references.

Thesis (doctoral)--Universität Breslau.

Thesis (M.A.)--Chulalongkorn University, 1988. / In Thai; abstract also in English. Added t.p.: The role of Ayutthaya's market places in internal and external trade, 1630-1767. Includes bibliographical references (leaves [144]-160). Also issued in print.

Thesis (Ph. D.)--Oregon State University, 1996. / Typescript (photocopy). Includes bibliographical references (leaves 62-66). Also available on the World Wide Web.