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Market efficiency for two classes of stocks in China: state owned and private companiesAbdi, Abdirahman, Huang, Renyuan January 2012 (has links)
The fast-growing economy in China attracts the world’s interests, which includes the Chinese stock markets. The market efficiency of Chinese stock markets is widely discussed by researchers in different approaches. The involvement of government in stock markets is a unique case in the financial world. By this paper, we are answering the question that is the degree of market efficiency of stat-owned companies different from that of private companies in Chinese stock markets. This will bring us knowledge about Chinese stock markets as well as the impact from ownership, market value and management styles on market efficiency. To clarify the influence from government involvement in stock markets, we select 938 stocks distinguished by ownership structure. This quantitative study is preceded on daily data from 2007 to 2011. We use auto correlation, Chi-square test, and linear regression together with Spearman’s correlation to test our hypothesis. The degree of market efficiency of each ownership group is examined and compared to each other. Market efficiency related to ownership and market capitalization are inspected if they are anomaly factors in Chinese markets. The empirical results indicate that the degree of market efficiency of state-owned companies is significantly different from the degree of market efficiency of private-owned companies in China. The market capitalization is one of the existing anomaly factors in Chinese stock markets, as well as it is correlated with degree of market efficiency to some extent. For state-owned enterprises, active management on stock market does not provide a better market efficiency compared to passively managed companies.
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Analisando flutuações de um mercado financeiro artificial baseado na expectativa de riqueza dos agentes / Analyzing fluctuations of an artificial financial market based on expected wealth of agentsGarcia, Luiz Antonio Marques January 2008 (has links)
Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.
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As representações da pobreza sob a ótica dos pobres do Programa Bolsa Família / Representations of poverty in the perspective of the Poor of the Bolsa FamíliaPEREIRA, Maria de Fátima January 2007 (has links)
PEREIRA, Maria de Fátima. As representações da pobreza sob a ótica dos pobres do Programa Bolsa Família. 2007. 134f. – Dissertação (Mestrado) – Universidade Federal do Ceará, Programa de Pós-graduação em Sociologia, Fortaleza (CE), 2007. / Submitted by Márcia Araújo (marcia_m_bezerra@yahoo.com.br) on 2014-03-21T12:26:51Z
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Previous issue date: 2007 / The present research has as objective the study of the poor considered representations of the poverty for inserted in the Program the Stock market Family. The focus of the work is to in the representations that the “poor person”, from its social experiences, makes of its condition of poverty, in view of the context of social transformations that, each time more, has taken thousand of individuals to “the social rubbish” condition. Ahead of this reality, the condition of “poor person” if configures in a recognized and socially incarnate condition in some representations related to the “poor being”. Such questions are the conducting wire of this research, in had as well as instigated them to the forms of representations of the poverty, as they reflect in the experiences of the “poor person”, in the way as such poor persons if they present to a come back program the poor persons, in the way to interact at last with the diverse situations and in the spaces for busy them from the social place that the society of the capital them reserve. / A presente pesquisa tem como objetivo o estudo das representações da pobreza para os considerados pobres inseridos no Programa Bolsa Família. O foco do trabalho é adentrar nas representações que o “pobre”, a partir de suas vivências sociais, faz da sua condição de pobreza, tendo em vista o contexto de transformações sociais que, cada vez mais, tem levado milhares de indivíduos à condição de “refugo” social. Diante dessa realidade, a condição de “pobre” se configura numa condição socialmente reconhecida e encarnada em várias representações relacionadas ao “ser pobre”. Tais questões são o fio condutor desta pesquisa, como também nos instigaram a dimensionar as formas de representações da pobreza, como elas refletem nas vivências do “pobre”, na maneira como tais pobres se apresentam a um programa voltado aos pobres, no modo de interagir com as diversas situações e enfim nos espaços por eles ocupados a partir do lugar social que a sociedade do capital lhes reserva.
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Analisando flutuações de um mercado financeiro artificial baseado na expectativa de riqueza dos agentes / Analyzing fluctuations of an artificial financial market based on expected wealth of agentsGarcia, Luiz Antonio Marques January 2008 (has links)
Esta dissertação apresenta uma proposta de modelo de mercado financeiro artificial que reproduz séries de retornos com propriedades estatísticas universais semelhantes às observadas em séries reais. Dentre as propriedades, também chamadas de fatos estilizados na Economia, as séries artificiais de retornos exibiram ausência de autocorrelação para os retornos simples, leis de potência para autocorrelação para os retornos absolutos e quadráticos, excesso de curtose nas distribuições de retorno, gaussianidade agregacional e volatilidade clusterizada. Cabe salientar, que não há na literatura um outro mercado artificial que reproduziu tantos fatos estilizados conjuntamente. O modelo dinâmico e síncrono é baseado em agentes que transacionam ativos com risco como ações de empresa através de ordens de compra e venda enviadas ao mercado a cada período de tempo. O preço de mercado das ações é calculado da média ponderada pelo volume das ordens negociadas entre os agentes. O objetivo dos agentes é maximizar sua riqueza e, para isso, seguem ou a estratégia fundamentalista utilizando os dividendos para calcular os preços das ações ou a estratégia técnica baseada em análise de séries temporais. A principal contribuição da modelagem foi acrescentar às estratégias um fator de aprendizado em que o agente considera sua habilidade individual passada de previsão de riqueza esperada para calcular os retornos futuros. Este trabalho também mediu o coeficiente de Gini para descobrir como algumas variáveis de mercado afetavam a distribuição de riqueza dos agentes e, além disso, estudou quais valores de dividendo tornavam uma estratégia mais eficiente que outra. Por fim, incorporaram-se características evolutivas aos agentes possibilitandoos a trocar de estratégias no decorrer da simulação e, com isso, os resultados mostraram aumento da riqueza dos agentes. / This work presents a new artificial stock market model for reproducing price time series of assets in such market model. For a suitable validation of the model, we verified several statistical and universal properties (called stylized facts in the Economics Literature) and similar results are obtained with data extracted from real stock markets. We investigate several properties including absence of autocorrelation for simple returns and the power behavior law of autocorrelation for absolute and quadratic returns, excess of kurtosis, aggregational gaussianity, and clustered volatility. It is important to mention that no other similar artificial model has investigated so many statistical universalities. Our synchronous model is based on agents negotiating risk assets through purchase and sale orders. These orders are stored in books for each simulation step. The weighted average volume of all orders negotiated by the agents determines the price of an asset. For the sake of simplicity, our model considers two kinds of strategies: 1. Fundamentalist - where one uses the dividends to calculate the expected return of an asset; 2. Trend predictor - where one obtains the expected returns directly from an analysis of the price time series. One of the main contributions of our model was to add a term that works as the expected wealth of an agent. This is considered an important psychological factor in the decision making process. In addition, we consider an income inequality index to analyze the wealth distribution of the agents: the Gini-coefficient, which predicts an inequality interval of [0 (society completely fair),1 (society completely unfair)]. We also study the influence of the dividends and risk free assets parameters on this coefficient. Finally, some evolutionary features of the model are analyzed. Our results show an increase in agent’s wealth when strategies are updated according to the following criteria: if expected wealth does not reach a given threshold, the agent changes his strategy from Fundamentalist to Trend Predictor or vice-versa. If the expected wealth reaches the specified threshold, the agent keeps his initial strategy. We tested different threshold values in this analysis and the conclusion was confirmed in all cases studied.
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Exchange-Traded Funds: The Unknown Investment OpportunityLeisher, Thomas Kai January 2019 (has links)
No description available.
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Market reaction to Basel III : An event study on the stock market reaction to the announcement by the Basel Committee on Banking Supervision on December 7th, 2017Palvig, David Kinch, Wessberg, Anton Östlund January 2023 (has links)
This paper investigates the impact of Basel III on the valuation of banks in the EEA through an event study of the stock market. It contributes to academic literature by enhancing the study by Bruno, Onali & Schaeck (2018) with another event date after the conclusion of their study. This paper investigates two hypotheses: 1) Did the announcement by the Basel Committee on Banking Supervision on December 7th, 2017 (the event), affect the market capitalization of banks in the EEA; 2) Did domestic liquidity regulation prior to Basel III positively affect how those banks' market capitalization changed in response to the event. Using t-tests and a multivariate regression analysis, this study finds no statistical significance at a 10% level for either of the hypotheses. However, three findings appear to be found: 1) There was a small negative reaction to the event; 2) The negative reaction was larger for banks without prior regulation; and 3) The variance was larger for banks without prior regulation. These three findings all point towards both: 1) A negative effect from the event on banks’ market capitalization; and 2) A positive effect from prior domestic liquidity regulation. No statistically significant conclusions can be drawn from this study, however. This study's largest limitation is that it does not account for expectations prior to the event, and an effect may thus already have been priced into the market capitalization prior to the event.
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Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of TimeBunger, R. C. (Robert Charles) 08 1900 (has links)
In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.
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Testování úspěšnosti vybraných indikátorů technické analýzy na trzích EU / Testing of selected technical analysis indicators´ profitability on the EU marketsMatoušková, Hana January 2010 (has links)
This diploma thesis deals with the technical analysis with the emphasis on creating, testing and using of trading systems. Its objective is to find out whether it is possible for a trader to design and trade his own profitable trading system with widely accessible tools and methods. First part of the thesis concentrates among other things on the explanation of stock valuation principles, description of tested shares and time period. The second and third chapters fully describe the process of trading system development and the analysis of results of both trading systems. Last chapter is devoted to the interconnection of European stock markets, which is explored by the means of correlation analysis among different stock indexes. The correlation coefficients show a strong link of the markets and the rising level of integration of European markets.
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[en] THE DEVELOPING PRIVATE EQUITY INVESTMENT IN BRAZILIAN MARKET / [pt] O DESENVOLVIMENTO DAS PARTICIPAÇÕES PRIVADAS NO MERCADO BRASILEIROALEXANDRE DE ALMEIDA CANALINI 07 May 2007 (has links)
[pt] O segmento das participações privadas vem funcionando com
sucesso
nos países desenvolvidos. Graças à maturidade alcançada
por esta modalidade
de investimento nestes mercados, esses empreendimentos
passaram a ter
relevância também nos países em desenvolvimento. No
Brasil, entretanto, o
segmento de participações privadas não se desenvolveu como
esperado. Assim,
o objetivo deste estudo foi o de conhecer as principais
razões do não
desenvolvimento das participações privadas no mercado
nacional. Pesquisas
bibliográficas e de campo, apontaram cinco principiais
fatores que dificultaram o
desenvolvimento deste tipo de investimento no país nos
últimos 15 anos. Foram
eles: (a) a dificuldade que o investidor encontra para
sair de investimentos,
principalmente devido a um mercado de capitais pequeno,
poucos compradores
estratégicos e dificuldade para abertura de capital; (b) a
elevada taxa de juros,
que aumenta o custo de oportunidade e restringe o fomento
de capital para o
setor produtivo; (c) a instabilidade política e a
econômica, que colocam em
dúvida o destino do país e afastam investimentos de longo
prazo e alto risco; (d)
a ineficiência do poder judiciário, inapta para avaliar
rapidamente disputas e a
falta de instrumentos alternativos para fazer avaliações e
tomar decisões; (e) a
informalidade da cadeia produtiva, que cria ambientes onde
os concorrentes não
pagam impostos gerando desvantagens competitivas. Apesar
destes problemas
a perspectiva para investimentos das participações
privadas no país é boa,
porém, condicionada à manutenção da estabilidade
econômica, crescimento
econômico, alternativas para saída de investimentos,
modernização do poder
judiciário e melhoria da legislação vigente. / [en] There has been a global growth in the private equity
segment over the last
fifteen year. The current levels of global liquidity have
facilitated the capital flows
and emerging countries have been among the beneficiaries.
Brazil, has been
slow to develop in the private equity segment. Therefore,
the objective of this
study is to uncover the main factors that have arrested
the development of this
sector of the capital market in the country in the past 15
years. Research on
specialized bibliography and interviews allowed us to
pinpoint the five main
factors: (a) difficulties to exit investments, due to a
small market, shortage of
strategic buyers and difficulties in creating an open
capital market; (b) high
interest rates, which increase costs and reduce
applications in production; (c)
economical and political instability, which generates
uncertainty and scares
investors; (d) inefficiency and slowness of the judicial
system, unable to efficiently
settle disputes and, the lack of alternative instruments,
such as arbitration
chambers, to evaluate and resolve disputes; (e) the
informality of the production
chain, that creates an environment of unfair competition
which, in turn, dampens
productivity and economic growth. Despite all these
problems, the professionals
believe that there could be room in the Brazilian market
for the development of
the private equity segment. However, before this can
happen, conditions such as,
stability of the economy and economic growth, better
alternatives to exit
businesses, modernization of the judiciary and improvement
of the legislation
have to be attained.
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[en] THE ROLE OF NORMS IN THE INTERNATIONAL CAPITAL MARKETS AND THE SOVEREIGN DEBT RESTRUCTURING MECHANISM / [pt] O PAPEL DAS NORMAS NO MERCADO DE CAPITAIS INTERNACIONAL E O MECANISMO DE REESTRUTURAÇÃO DE DÍVIDA SOBERANAGUSTAVO SEIGNEMARTIN DE CARVALHO 19 June 2006 (has links)
[pt] A presente dissertação analisa a proposta apresentada, no
final de 2001,
por Anne Krueger, vice-diretora gerente do Fundo Monetário
Internacional, para
a criação de um mecanismo para facilitar a reestruturação
da dívida soberana de
países com perfil de endividamento insustentável. Ao menos
em teoria, esse
mecanismo, chamado em inglês de Sovereign Debt
Restructuring Mechanism
(SDRM), contribuiria para coordenar credores e devedores,
tornar os processos
de reestruturação mais rápidos e ordenados, diminuir o
risco de crises de
endividamento, promover ganhos para todos os envolvidos na
cooperação e
contribuir para a estabilidade do mercado de capitais
internacional. Ainda assim,
foi rejeitado por credores privados, por alguns devedores
como o Brasil e o
México e pelo governo norte-americano. Utilizando como
arcabouço teórico o
construtivismo de normas de Friedrich Kratochwil, este
estudo pretende
responder por que ocorreu essa reação. A análise dos
documentos produzidos
pelos defensores (especialmente membros do staff do FMI) e
pelos críticos do
SDRM no curso do debate que se seguiu até a rejeição
formal do mecanismo,
em reuniões do Fundo realizadas em abril de 2003, sugere
como resposta que a
reação contrária dos credores privados e dos devedores
pode ser atribuída a
profundas divergências de interpretação quanto ao conteúdo
e ao papel das
normas no mercado de capitais internacional. / [en] This dissertation analyzes the proposal for the creation
of a mechanism for
restructuring sovereign debt of countries with
unsustainable debt burdens,
presented in the end of 2001 by Anne Krueger, deputy
manager director of the
International Monetary Fund. Using Friedrich Kratochwil´s
rule-based
constructivism as its theoretical framework, this
dissertation intends to answer
why the Sovereign Debt Restructuring Mechanism (SDRM) was
rejected by
private creditors, by debtors such as Brazil and Mexico,
and by the US
government, even though it could, at least theoretically,
contribute in the
coordination of creditors and debtors, make restructuring
processes quicker and
orderly, reduce the risk of debt crises, and bring
benefits and stability to the
market and its participants. The review of the documents
prepared by the
defenders (especially those among the staff of the IMF)
and the critics of the
SDRM during the debate which ended with its formal
rejection in the beginning of
2003, suggests that the reactions of private creditors and
debtors can be
attributed to deep-seated differences in the
interpretation of the content and role
of norms in the international capital market.
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