In this thesis, we study the return and volatility spillovers between forex and stock markets in Scandinavian countries employing recently developed method- ology of spillover indices. Those measures are based on forecast error variance decomposition of generalized vector autoregressive (GVAR) model. This allows us to estimate both total and directional spillovers. Moreover, frequency connect- edness analysis is conducted by decomposing the spillover indices into frequency bands, corresponding to short-, medium- and long-run connectedness. We used daily data for major stock market indices and exchange rates of domestic cur- rency towards US dollar for Norway, Sweden, Denmark and Finland. Our data spans from February 2002 till July 2018 that covers turmoil periods of global fi- nancial crisis in 2007-2009, European sovereign debt crisis 2010-2013 and Brexit referendum in mid 2016. Our empirical analysis reveals that Norwegian financial markets do not contribute much to both return and volatility spillovers. On the other hand, euro and Danish FX market perform very similarly, by exhibiting the highest spillover contributions for both returns and volatility. Furthermore, distinct increasing trends in spillovers are revealed during the turmoil periods for most of the markets. From frequency...

The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. Then, we construct a Vector autoregressive model (VAR) and conduct Granger causality tests. The results indicated a negative relationship between inflation and the return on stocks, interest rate and the return on stocks, as well as positive relationship between money supply and the return on stocks. The VAR-model and the Granger causality test failed to show any statistically significant relationship between exchange rate and stock prices. The same Granger Causality tests suggests a bidirectional relationship between interest rate and the return of OMXS30, as well as unidirectional relationship between inflation and the stock prices, where inflation Granger causes the return of OMXS30.

The rise of social media and the “retail investor” has completely shifted the investing landscape. A new paradigm has been created where people have easier access than ever to invest in the stock market from the convenience of their phones. This is accomplished through zero-commission trading apps, like Robinhood, meaning less starting capital is required. This research is used to investigate the relationship between the frequency of social media mentions on Twitter and a particular stock’s volatility. It is hypothesized that Twitter mentions will affect stock volatility. This will be done using the qualitative data analyzing tool AtlasTi to calculate the frequency in which a particular stock ticker is mentioned on Twitter during trading hours. Using AtlasTi, the number of mentions for twenty-eight individual stocks was monitored twice a day for twenty total trading days, or approximately one month. This resulted in forty individual time frames of data, or 1,120 total data points. The volatility of the stock will then be calculated using data from Yahoo! Finance. Using panel data analysis, the number of stock mentions on Twitter will be cross-checked with the volatility of the correlating stock under the same time period to evaluate the relationship between the two variables. While our final analysis has not yet been calculated, it is expected that our results will show a relationship between heavily mentioned stocks and increased volatility. It is intended that our research will aid future investors when making decisions on how to invest in assets heavily mentioned on social media.

This analyses the impact of unexpected changes in monetary policy on the South African equity market over the period 2005 -2018. In an attempt to understand this relationship, two main views have emerged. The wealth effect suggests that monetary policy changes have an indirect effect on the stock market, via changes in the value of private portfolios. On the other hand, it has been argued that the stock market is an independent source of macroeconomic volatility to which policy makers may wish to consider. This paper applies an event study approach to examine the stock market reaction to monetary policy. Furthermore, to understand the economic sources underpinning that reaction a Vector autoregressive model is estimated. The results suggest that on average, a surprise rate hike of 100 basis points causes short term JSE All Share index total returns to decline by 2.71%. We also find that the stock market reacts positively (negatively) to expansionary (contractionary) unexpected monetary policy actions due to revised market expectations about future dividends, excess premiums and the discount rate. The findings are crucial for central bank policy makers and JSE stock market investors.

El presente proyecto es sobre la investigación y acompañamiento para que las medianas empresas en el Perú busquen financiamiento a través del Mercado Alternativo de Valores, nos muestra su viabilidad en base a las tasas y montos que le otorgan otros agentes financieros que existen en el mercado, que permitió detectar una oportunidad de negocio ya que existe mucha oferta, pero muy poco conocimiento de estos otros medios de financiamiento por parte de los clientes, lo que genera frustración en las empresas, y disminuye sus oportunidades de crecer, así como de impulsar nuestra economía y el sector formal de la misma. Para su puesta en marcha requerirá de un capital inicial de S/31,150.00, financiado en un 100% por los accionistas de la empresa, esperando recuperarlo el tercer año de operación. / The present project is about the investigation and accompaniment so that medium-sized companies in Peru seek financing through the Alternative Securities Market, it shows us its viability based on the rates and amounts that other financial agents that exist in the market, that allowed us to detect a business opportunity since there is a lot of supply, but very little knowledge of these other means of financing by customers, which generates frustration in companies, and decreases their opportunities to grow, as well as boost our economy and the formal sector of it. For its start-up, it will require an initial capital of S / 31,150.00, financed 100% by the company's shareholders, hoping to recover it in the third year of operation. / Trabajo de investigación

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The paper evaluates whether the Lusaka Stock Exchange (LuSE) is weak form efficient, and whether stock price movements conform to the random walk hypothesis of non-predictability in future price movements based on past price information. The methods employed are the parametric and non-parametric individual as well as multiple variance ratio tests. In addition, the study incorporates the Runs Test. The study further examines seasonality in Zambian stock returns of the day of the week effect as well as monthly related effects. The period of analysis is from 3rd January, 2006 to 17th February, 2014. The study incorporates daily data as well as monthly data of the LuSE All share Index in order to investigate the random walk hypothesis as well as seasonality effects of the Zambian market. The period of analysis is broken down into two sub periods after accounting for multiple structural breaks in the data. The results of the study are mixed, the results of the Runs test finds the Zambian stock market price series to be mutually independent and conform to a random sequence, and are as such unpredictable. While the variance ratio tests reject the random walk hypothesis for the Zambian market, and as such, support the view of the use of technical trading strategies in order to outperform buy-and-hold strategies. The study finds no evidence of any seasonality in the data, either for daily data as well as monthly data. As such there is evidence that investors may acquire returns greater than those of the market, however, transaction costs and commissions would have to be minimal in order to exploit any patterns in the stock price series of the Lusaka stock exchange.

When a company decides to sell their shares to the public for the first time it is called an initial public offering. For quite some time, the literature on the subject has come to the conclusion that the companies going public often undervalue their share price prior to the initial public offering resulting in an abnormal positive return on the first trading day, also known as initial public offering underpricing.  This thesis aims to study whether initial public offering underpricing occurred in the Swedish markets during the selected time period of 2000-2022. The thesis also seeked to find whether there was a significant difference in underpricing depending if the company was listed on OMX Stockholm or First north growth market. Further, with the help of previous research on the topic, a few independent variables were retrieved and later regressed against the initial return on the first trading day and thus seeing if these variables explains if a company will see an increase in the share price on the first trading day or not. The independent variables collected were age of the company at the time of the initial public offering, deal size, the market the company was listed on and lastly the year the company was listed on the stock exchange. The study concluded that there was a significant underpricing in Swedish initial public offerings during the studied time period with an average first day initial return of 12.56%. However, the thesis further concluded that neither of the independent variables studied had a significant effect on the initial return on the first trading day. Neither could the thesis conclude that there was a significant difference in underpricing between the two studied markets, although, the sample from OMX Stockholm saw an average underpricing of 11.09% whilst first north saw an average underpricing of 13.79%.

This thesis investigates the impact of artificial intelligence (AI) tools on the stock market, focusing on its effects on risk, performance, and concerns. Through an analysis of existing literature and an experiment, this study aims to provide insights into the potential benefits and drawbacks of using AI in stock market trading. The research explores how AI can contribute to increased efficiency, accuracy, and profitability in stock trading, as well as the potential risks and concerns associated with its use, such as biased models and transparency. By examining the implications of AI in stock trading, this thesis aims to provide a comprehensive assessment of its overall impact on the financial industry. The literature study maps out and categorizes existing risks, concerns and the performance of AI in the stock market mentioned in studies and articles on the subject,while the experiment focuses on a LSTM (Long Short Term Memory) model implementation and the evaluation of its performance and risks. The findings in the study shows that a deep learning model of LSTM, does outperform the NASDAQ 100 index on all occurrences that it was tested on in a simulated stock market using the Backtrader framework. Results from the experiment also point towards the fact that the risks of implementing the model are mitigatable to a great extent, if the implementer are aware of them. The literature study also discusses and complements potential concerns with the model implementation and how to mitigate the identified risks as well as the AI performance.

This study investigates organizational response as a mediating factor in the relationship between environmental change and deprofessionalization of stockbrokers between the years 1975 and 1990. Both quantitative and qualitative content analysis are used to analyze 412 business news articles concerning three brokerage firms. It is hypothesized that the environmental changes of jurisdictional competition resulting from deregulation of the industry, technological changes, and declining client trust resulting from scandals, will not have a direct effect on deprofessionalization of stockbrokers in these firms. It is expected, instead, that these environmental changes will be mediated by organizational responses, resulting in variation among the firms in the deprofessionalization of stockbrokers. The quantitative portion of the study shows different patterns of organizational response among the three firms examined regarding the environmental changes being investigated. The qualitative portion of the study indicates variation in deprofessionalization for stockbrokers within these firms resulting from differences in organizational response. The results of this study suggest a need for further investigation of the effects of organizational responses on the extent of deprofessionalization for professionals working in organizations. Organizational responses are likely to influence not only stockbrokers but other professionals in times of change and flux due to events both internal and external to the organization. / Ph. D.