This master thesis in its opening chapter inform about some basic charakteristics of New York Stock Exchange. Then indicators and tools of fundamental and technical analysis of stocks are explained in folowing chapters. In practical part of the thesis is taking place a evaluation of fundamental and technical analysis based on historical data from american stock market. For this prupose the data of constituents companies of Dow Jones Industrial Average index are used covering market history as far as possible.

In my thesis I will focus on analysis of basic forms of stock exchange cooperation. I will search theoretical fundament of my thesis in history of stock exchanges and cooperation of exchanges. Afterwards, I will focus on characteristics of basic atributes of main stock exchange alliances.For my thesis I decided to focus on these alliances: NYSE Euronext, NASDAQ OMX, and regional cooperation Vienna-Ljubljana-Budapest-Prague. Within these alliances I focus on form of cooperation, law surroundings,trading platform, clearing and settlement system.Analysis of determinants of mentioned markets will help me to evaluate allinaces. From mentioned above I will conclude general determinants of efective stock exchange cooperation.

This diploma thesis deals with the topic of development of Chinese stock markets and their connection to the stock markets in the USA. The primary purpose of this research is to investigate, through a historical analysis, this rather untraditional development. The other objective of this study is to clarify the reasons of such a fast development and, with the help of results of other used analyses, assess to what extent the following stock markets are influenced by each other. This part of the study focuses mainly on the development of mutual dependence between the Shanghai and the New York stock market and on predictions of the future development of Chinese stock markets, using several other economic variables of the USA markets. This diploma thesis also aims to analyze the position of China in holding of American bonds, as well as to define the motives of their purchase and describe the possible impacts of their sudden sale by the Chinese government.

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração, Contabilidade e Ciência da Informação e Documentação, 2008. / Submitted by Jaqueline Oliveira (jaqueoliveiram@gmail.com) on 2008-11-28T15:03:54Z No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Approved for entry into archive by Georgia Fernandes(georgia@bce.unb.br) on 2009-02-12T15:27:08Z (GMT) No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Made available in DSpace on 2009-02-12T15:27:09Z (GMT). No. of bitstreams: 1 DISSERTAÇÃO_2008_GustavoRezendeDeOliveira.pdf: 1119317 bytes, checksum: ad87b0ceda5087c324b041c9bd460b08 (MD5) / Este trabalho tem por objetivo identificar a existência do efeito lead-lag entre o mercado acionário norte-americano, representado pela bolsa de valores de Nova York (NYSE), e o mercado acionário brasileiro, representado pela bolsa de valores de São Paulo (BOVESPA), ou seja, se os movimentos de elevação ou queda de preços na NYSE são seguidos, em média, por movimentos similares na BOVESPA, o que possibilitaria um certo grau de previsibilidade do valor dos ativos negociados no mercado brasileiro, permitindo assim a ocorrência de oportunidades de arbitragem. A existência deste efeito indica uma relativa segmentação entre os mercados, possibilidade inexistente na Hipótese do Mercado Eficiente (HME), segundo a qual os preços dos ativos são imprevisíveis. O estudo compreendeu o período de julho de 2006 a setembro de 2007, com utilização de dados dos índices Dow Jones e Ibovespa com freqüência intradiária de um minuto. Foi identificada a co-integração entre os dois mercados pelos testes de Engle e Granger e de Johansen, bem como a existência de causalidade bidirecional, por meio do teste de Causalidade de Granger. Os mercados se mostraram segmentados pelos resultados obtidos pelas regressões utilizando VECM, TSLS (Two Stage Least Squares) e GARCH, que mostraram que o retorno da BOVESPA é, em grande parte, explicado pelo movimento da NYSE em minutos anteriores. Os resultados divergem do pressuposto da HME de que não seria possível prever o valor de uma ação. No entanto, os resultados do trabalho mostraram que a realização de arbitragem com base no efeito lead-lag não é economicamente viável em decorrência dos custos de transação. _______________________________________________________________________________________ ABSTRACT / This study is aimed at identifying the existence of lead-lag effects between the US stock market, represented by the New York Stock Exchange (NYSE), and the Brazilian stock market, represented by the Sao Paulo Stock Exchange (BOVESPA), i.e. whether upward and downward price movements in the NYSE are followed, on average, by similar movements in BOVESPA, which would make possible a certain degree of predictability of stock prices in the Brazilian market thus allowing arbitrage opportunities. The existence of that effect would indicate a relative segmentation between these two markets, which would violate the Efficient Market Hypothesis, according to which stock prices are unpredictable. The sample comprised the period from July 2006 to September 2007, using data on the Dow Jones Industrial Average Index (DJIA) and the Bovespa Stock Index (IBOVESPA) within the intraday frequency of one minute. Cointegration between the two markets was identified by means of the Engle-Granger and the Johansen tests, as well as the existence of bi-directional causality, by means of the Granger causality test. The results obtained from VECM, TSLS and GARCH regressions showed that the two markets are segmented and that the IBOVESPA returns are, to a large extent, explained by the stock price ovements in NYSE which occur some minutes before. The results diverge from the HME assumption that stock prices are unpredictable. However, the results also show that the practice of arbitrage based on the leadlag effects are not economically feasible due to transaction costs.

This dissertation consists of two essays, both co-authored with Ugur Lel. The first essay (Chapter 1) examines whether high CEO pay inequality (CPI), the share of total managerial pay captured by the CEO, is an outcome of poor corporate governance, and its implications for shareholder wealth. We exploit the 2002 NYSE and NASDAQ governance reforms that mandated firms to have majority independent boards as a quasi-exogenous source of variation in the internal governance environment of firms. Results show that CPI decreases following the passage of these exchange listing regulations, but only in firms with entrenched CEOs affected by the exchange listing regulations. Firm value also increases for these firms. These results are robust to a variety of robustness checks such as a matched sample analysis and placebo tests. Overall, our results suggest that poor governance environments are associated with high managerial pay differences and consequently lower firm valuations, supporting the view that high CEO pay inequality reflects managerial entrenchment. The second essay (Chapter 2) examines whether shareholders use executive compensation channel to align managerial horizon with their investment horizon. We utilize a newly emerged empirical measure, pay duration, to measure managerial horizon. For shareholder horizon, we use the fraction of long-term institutional ownership in the firm. Results show that there is a positive association between long-term institutional ownership and CEO pay duration, suggesting that shareholder horizon is a determining factor in compensation contracts. We address reverse causality using indexer institutions. We also establish a causal link from investor horizon to CEO pay duration using institution mergers as a source of exogenous variation in investor horizon of the firm. We extend our results to hedge fund activism and document a negative relation between hedge fund activism and pay duration, which is consistent with our argument. Overall our results suggest that shareholders structure CEO pay in a way that is consistent with their investment horizon. / Ph. D.

The thesis is focused on the process of trading in credit derivatives on the global financial markets. The first part deals with the history and the development of credit derivatives from the very beginning to the present and all factors that influenced and affected them during that time. Various derivative instruments are explained, in terms of their purpose, suitability for use and the risks arising from them. Mainy focus of the thesis is put on the selected stock markets (CME Group Inc., Eurex AG, NYSE Liff Holdings LLC). This section begins with their history, then it describes their structure and purpose. It explains stock market membership conditions and settlement of exchange contracts principles. The final part clarifies the role of credit derivatives in the financial crisis and the reasons that led to it. In the final part of the thesis organizations that regulate credit derivatives are described, in addition to regulation methods and aids, specifically in terms of new regulatory measures under Basel III and the organization of ISDA, which are also included. At the very end the possibilities of securitization and credit risk diversification are explained as well as methods of credit instruments valuation, which are demonstrated on an example of Credit Default Swap.

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When companies go public, the shares they sell tend to be underpriced, and thus exhibit a significant price jump on the first day of trading. As a result, IPO investors materialize significant first-day returns. In the long-run, however, relative to some benchmark, investors appear to lose out by continuing to hold the stocks of firms that have recently gone public. These IPO phenomena are subject of the following study. The thesis addresses two main objectives. First, it systematically surveys relevant empirical evidence and theories that have been proposed to explain IPO underpricing and long-run underperformance. In addition, both anomalies are studied form the viewpoints of two competing finance theories: efficient market hypothesis and behavioral finance. Theories of underpricing are grouped within two broad categories: asymmetric information based models and behavioral theories. While asymmetric information based models assume that one of the IPO transaction parties knows more than others, and that these information frictions give rise to underpricing, behavioral explanations, on the other hand, assume the presence of irrational investors who are the prime cause of underpricing. Theories of poor long-term performance are based on behavioral finance perspective only, where "investor sentiment" plays the main role. On the contrary, proponents of market efficiency strongly argue that the notion of systematic IPOs long-run underperformance is spurious. Secondly, the thesis empirically examines the presence of underpricing and the long-performance of IPOs in European NYSE Euronext markets. In general, the results undoubtedly show that IPOs in the sample are moderately underpriced on average. However, the assessment of IPOs long-run performance provides contentious findings and probably requires further research.

Esta Tesis Doctoral plantea como objetivo general verificar desde una óptica conceptual (Capítulo I), normativa (Capítulo II) y empírica (Capítulo III), si el resultado global -comprehensive income- presenta una mayor relevancia o calidad informativa que el resultado neto -net income-, en particular, para los inversores, considerados en el Marco Conceptual como usuarios de referencia.De este modo, el Capítulo I, hemos revisado los fundamentos teóricos sobre los que se sustenta el resultado global, particularmente en la literatura y regulación contables norteamericanas, destacando que con su adopción asistimos a un hecho trascendental para la Contabilidad como es el acercamiento al concepto de resultado económico, de especial interés para los suministradores de capital-riesgo. Sobre esa base conceptual, en el Capítulo II hemos realizado un estudio de normativa comparada a nivel internacional, evidenciándose un potente movimiento a favor de la adopción del resultado global, en el que se aprecia una tendencia a la convergencia con el modelo IASB, pero también se han constatado diferencias notables entre las normas que lo regulan en el concierto mundial, que dificultan la comparabilidad. Sobre esta base teórico normativa, en el Capítulo III, hemos desarrollado un estudio empírico con una muestra de 136 grupos empresariales europeos cotizados den NYSE y NASDAQ, tomando información de las reconciliaciones con los US GAAP en el período 1999-2004 cuando presentan cuentas a la SEC en los 20-F, tendente a evaluar a través de un conjunto de herramientas no paramétricas el impacto del comprehensive income frente al net income atendiendo a las variables año, tamaño y sector. Se han rechazado todas las hipótesis nulas formuladas, lo que nos lleva a afirmar que el impacto relativo del comprehensive income frente al net income presenta un elevado poder de discriminación entre los años del período 1999-2004, atendiendo al tamaño de los grupos empresariales, y en menor medida por sectores de actividad empresarial, lo que evidencia una mayor relevancia informativa del primero frente al segundo para los usuarios de la información financiera, en particular, para los inversores.En definitiva, tomando de forma integrada los resultados de las dimensiones conceptual, normativa y empírica, sobre las que ha discurrido esta Tesis Doctoral, hemos evidenciado que el comprehensive income presenta una mayor calidad informativa que el net income, de especial interés para los suministradores de capital-riesgo. / The aim of this Doctoral Thesis, from a conceptual (Chapter I), normative (Chapter II) and empirical (Chapter III) point of view, is to verify if comprehensive income shows greater relevance or information quality than net income, particularly for the investors, considered as reference users within the Conceptual Framework.In Chapter I we have reviewed the theoretical foundations on which comprehensive income is based, particularly in North American accounting regulation and literature, emphasizing that with its adoption we are witnessing a significant event in the world of Accounting as it is the approach to the concept of economic income, of special interest to capital-risk providers. On that conceptual base, in Chapter II we have made a comparative study on standards at the international level, demonstrating a powerful movement in favor of the adoption of comprehensive income, in which there is a noticeable tendency to the convergence with the IASB model, but remarkable differences have also been confirmed between the standards that regulate it on the global stage, which hinder comparability. On this normative theoretical base, in Chapter III we have developed an empirical study with a sample of 136 European corporate groups quoted on the NYSE and NASDAQ, taking information from the reconciliation with U.S. GAAP in the period between 1999-2004 when they file their annual reports with the SEC on Form 20-F, tending to evaluate, through a nonparametric set of tools, the impact of comprehensive income opposed to net income considering the year, size and sector variables. All the null hypotheses formulated have been rejected, which leads us to affirm that the relative impact of comprehensive income in comparison to net income presents a higher power of discrimination between the years 1999-2004, considering the size of the corporate groups, and to a lesser extent to business activity sectors, which in general terms shows a greater informative relevance of the first, as opposed to the second, for users of the financial information, particularly for the investors.In short, taking the results of the conceptual, normative and empirical dimensions as integrated, on this Doctoral Thesis has been developed, we have demonstrated that comprehensive income presents higher information quality than net income, of special interest to capital-risk providers.

This graduation thesis is exploring using of Information and Communication Technologies in the course of analysis of capital markets. The basic financial theory is described at the begging of the thesis. After this we investigate information dilemmas. Expansion of information science allowed modern stock exchanges to change their traditional trading model to electronically trading model, which is much cheaper and faster. Stock exchange trading systems, clearing centers, depositors of securities and trading platforms are described in this thesis. These technologies allow us to automate a process of trading. Nowadays the modern stock exchange is a provider of high-quality IT services. In addition, IT offers a number of tools for analysis of capital markets. These tools are applications for technical and fundamental analyses. Stock screeners allowed us to filter a big set of securities. It is the most usable analysis technology. In the last section of the thesis the technical stock screener which allowed identifying market opportunities was created. We used Microsoft Visual Studio 2008 and C# the programming language. We found a volume indicator which allowed us to achieve above-average gain 5% during the analysis of the big set of market data.