The purpose of this thesis was to investigate the underlying process generating stock prices in the Canadian stock market. The hypothesis that daily price changes of stocks listed on the Toronto Stock Exchange are independent could not be rejected. The distribution of daily stock price changes were found to be significantly non-normal. These results led to the conclusion that the price-generating process in the Canadian stock market can be represented, in the short-run, by a random walk model in which price changes are independently drawn from a non-normal distribution which is possibly a stable Paretian. / Business, Sauder School of / Graduate

The 'On-Balance Volume' (OBV) method of technical analysis for stock market decision making is the creation of Joseph Granville and was first described in his 1963 book, "New Key to Stock Market Profits". The method uses daily stock prices and volumes to generate further information which is then analysed for buying and selling opportunities. Granville proposes eighteen signals for the analyst to determine these opportunities. The purpose of this study is to develop a computer model of the OBV method and to test this model on a series of stocks to determine if the method is feasible for use by technical analysts. Furthermore the study attempts to determine those segments of the method which have the best success for further study. This study abstracts the basic OBV method and develops a computer model for testing the validity of the method. A detailed description of the model and the assumptions used is provided. A series of five Canadian companies were tested on the OBV model. Analysis of the results indicated that on an overall basis the method does not generate a high return on investment. Although two of the five stocks showed profits when tested, the variability of returns was too large to accept the method as profitable. On an individual signal basis however, certain of the signals were found to provide the majority of the profitable trades. Further work into the development of models using these signals is recommended. / Business, Sauder School of / Graduate

This study has a twofold purpose. The primary purpose is to examine empirically the hypothesis of relative price performance. This hypothesis states that issues in the stock market which have recorded a price performance superior to the market for a period of time will tend to continue to record a superior price performance relative to the market. Conversely, those issues which have recorded an inferior price performance relative to the market will tend to maintain an inferior relative performance. The secondary purpose of the study is to develop a theoretical framework that attempts to explain how complexity in corporations is a constraint on the analysis of those corporations and is a determinant of security price behavior. The data consisted of a sample of 1214 companies which constituted those stocks included in the four major indices on the Toronto Stock Exchange as of January 1, 1965. The data tested were adjusted monthly stock prices covering the period January, 1965 to November, 1969. The methodology employed was the estimation of regression equations to determine the relationship between historical measures of relative price performance and subsequent relative price performances. The results of the empirical testing provide no support for the hypothesis. In practically every regression equation estimated the significance of the findings was almost negligible. The findings inferred that the hypothesis should be rejected. The development of a theoretical framework involving complexity in corporations and information types demonstrated that trends in security price movement are logically possible but only in certain cases. As a consequence of the two purposes of the study two conclusions were arrived at. Firstly, the hypothesis as tested here must be rejected due to an absence of any support for it. Secondly, recognition of the constraining influence of complexity on the security valuation process revealed that certain categories of companies would tend to exhibit a consistency in their securities' relative price performance. Therefore it was suggested that future research in the field of security price behavior should give consideration to disaggregating the sample into categories of complexity. / Business, Sauder School of / Graduate

The internationalization of world equity markets is frequently discussed in the financial press. One of the most significant trends in this internationalization is the growth in the number of firms listing their shares on a foreign stock exchange. The purpose of this paper was to analyze the impact of multiple listing on a firm's share price. A review of the popular financial press suggested many reasons for listing internationally. These explanations included; a perquisite argument added attention from security analysts, market segmentation, increasing the market value of the firm, decreasing financing costs, different securities laws and trading practices, increased demand for the shares, and externalities such as increased name recognition in foreign markets. An event study methodology was employed to analyse the reaction of the share price to the announcement and the actual listing of the shares. Three samples were selected for this study using daily data. These were Canadian firms listing on American exchanges, North American firms listing on the Tokyo Stock Exchange, and American firms listing on the London (International) Stock Exchange. A related study has analysed stock price reactions associated with moving from the Over-The-Counter Market to the New York Stock Exchange [Sanger and McConnell 1987]. These studies had found that there is a significant run up in price after the announcement of the listing. They also found that after the listing there was a statistically significant decline in price. Howe and Kelm [1987] have recently used the same methodology to test the multiple listing effect on smaller European exchanges. They found a negative return prior to and after listing. The three samples in this paper all earned statistically significant positive returns in the ten days prior to the listing. However, the run up in the Canadian sample seemed to depend on whether the firm listed on the NYSE or the ASE. The NYSE firms had a far more significant run up. The experience after the listing is also more similar to the American findings which have found a significant decline after listing. The Japanese sample loses almost all of its gains in the four weeks following listing, while the UK sample suffers a smaller but still significant decrease. Finally, the result for the American sample seems to depend on the market portfolio used. Using a Canadian market index, share prices decline after listing while we do not observe significant negative post-listing returns using an American market index. The net result then over the entire period then appears to be statistically insignificant. No clear signal is provided by the market as to whether the new listing is viewed positively. Yet the result is interesting when compared to both the McConnell and Sanger, and the Howe and Kelm papers. / Business, Sauder School of / Graduate

This dissertation mainly explores the effect of investor sentiment on stock returns and volatility on Growth Enterprise in China using monthly data from Shenzhen Stock Exchange of China from June 2010 to November 2019. Using five explicit and market-related implicit indicators an investor sentiment has been measured and constructed with the help of principal component analysis. The analysis has been done by employing a vector autoregression(VAR) model and impulse response functions (IRFs) generated from a VAR model to examine the relationship between the unanticipated changes in investor sentiment and stock returns and volatility. We also establish EGARCH model to test the validity of previous results and if the asymmetric impact of positive and negative news on market returns volatility. The results show a significant impact of investor sentiment on stock return and volatility. We also document that there is a positive leverage effect between investor sentiment and the volatility of returns. The findings of this paper can help both individual and institutional investors have a better understanding of GEM market and improve their investment returns by incorporating investor sentiment into their asset forecasting model. This paper also provides policymakers guidance on reducing volatility on stock markets from the perspective of investor sentiment. Additionally, this paper has important contributions to behavioral finance and adds to the limited number of studies on investor sentiment and stock return in not only the Chinese market but emerging markets.

This study consists of three essays of causal relations between international financial markets. The first essay investigates the impact stock exchange mergers on indices co-movement and international portfolio management. The long run cointegration and causal relations between a group Nordic and Baltic stock Exchanges (Norway, Denmark, Sweden, Finland, Estonia, Latvia and Lithuania) that composed the OMX and NASDAQ stock exchange are tested. Employing GARCH model to test the heteroskedastic cointegration between these indexes during 2003 to 2012, I find that the integration of Nordic and Baltic stock markets increased due to the merger. Based on the linear and nonlinear causality test, the results show that the NASDAQ index has a stronger predictive power on OMX indexes after the merger. The second essay explores the causal relations oil markets and financial markets. Using daily data of WTI crude oil prices and Shanghai Stock Exchange index for a period from January 1, 2001, to November 2, 2015, I propose a two-step nonlinear quantile causality test approach to investigate the bidirectional relationship between oil price return and China's stock price return. This study provide some evidence of the existence of relation between international oil markets and financial markets of emerging countries, and suggest that insignificant results in previous studies is due to the unsuitable regression models. Last essay links international financial network with international trade network. Based on the bilateral data from year 2001 to 2011, I construct international trade and financial networks, defined as a weighted graph where nodes are countries and edges are trade and capital flow linkages, respectively. To get a deeper insight of the network characteristics, we adopt turning parameter to combine the node degree and strength within the weighted network. And moreover, we construct a new indicator, partner quality centrality, to identify the quality of neighbors. Within the panel co-integration framework, we provide the existence of positive long run equilibrium between the trade and financial networks as constructed. In addition, we employ a panel causality test to investigate the short run dynamics, indicating that the international capital flow network has predictive power on the trade network from the short run perspective, but not the vice versa.

Over the period from January 1997 to December 2007 the South African equity market has been the target of a number of reforms initiated by both the Johannesburg Securities Exchange (JSE) and the South African government. From a review of current emerging markets and financial liberalisation literature, we identify the market attributes that differ between emerging and developed equity markets or that are changed significantly by the financial liberalisation process. The attributes are: · Correlation with major world equity markets · Distribution of returns · Market efficiency · Share price volatility · Stock price synchronicity · Implicit transaction costs Using the FTSE/JSE Top 40 Index as the basis, we conducted a longitudinal study contrasting the values of these attributes for the period 1997 to 1998 with those for the period 2006 to 2007. We then used these results to assess whether the South African equity market has become more like a developed equity market in its behaviour. We find that the South African equity market has made statistically significant progress towards developed market behaviour for all attributes apart from stock price synchronicity. We ascribe the higher level of stock price synchronicity to an increase in the number of resource and industrial shares included in the FTSE/JSE Top 40 Index. Overall we conclude that the South African equity market has become significantly more like a developed market in its behaviour. Copyright / Dissertation (MBA)--University of Pretoria, 2008. / Gordon Institute of Business Science (GIBS) / unrestricted

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In Fulfilment of the Ph.D. Programme in Finance Graduate School of Business Administration University of the Witwatersrand Johannesburg, South Africa / E.K. 2019