Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange. Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study. Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001. Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.

Stationarity is an essential property to portfolio return in the past statistical arbitrage strategy, this article uses Neo-75 rule, momentum effect, properties as independent and identically distribution and stationarity in error term, in one asset and in the very short holding period. The result in out sample period owning positive cumulative return. The finding suggests individual investors use this strategy in higher efficiency market to avoid invalidation in our model. This article surveyed CAC40, DJI, HangSeng, NASDAQ, Nikkei225, Shanghai and TWII indices. All the excess returns in out sample periods indicate they are exclude weak form of efficient market.

<p>Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk. </p><p>Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange. </p><p>Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study. </p><p>Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001. </p><p>Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.</p>

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This master´s thesis deals with testing the efficiency of capital markets. The subject to verification of the stock markets of Austria, Hungary, Germany, Great Britain, Czech Republic and Poland during the 2006-2016Q1. The aim of this work is to test the weak formo f efficiency in these markets. The hypothesis was tested using the ACF test ADF and KPSS tests, variance ratio test, run test and test of January effect.

本研究的主要目的在利用模擬實證研究的方式，探討資訊在我國股市股價形成中所扮演的角色。本研究所定義的資訊均屬最低成本或成本趨近於零的歷史性資訊或隨機亂數資訊，這些資訊包括亂數選擇、加權平均指數之反轉移動，與個股股價反轉移動資訊等。理性預期均衡理論提供了資訊與股價間關係的理論基礎。在理性預期均衡理論中，最基本的觀念是股價與攸關資訊間，若非雜訊，二者應具系統化關係。本研究預期可瞭解我國股市部份資訊效率性的意義，亦可進一步瞭解與歷史性資訊在我國股價形成所扮演的角色。 　　本研究採用模擬式實證研究法，以理性預期理論為基礎，探討隨機亂數資訊與歷史性股價資訊在股價形成過程中所扮演的角色，從而檢定我國股票市場之效率性。為了能評估不同層次之歷史資訊所代表之本質，本研究將採用之資訊分為三層次，分三階段進行。且為了觀察市場多、空頭之差異，又特別分別測試。 　　本研究以266家上市公司為抽樣母體，蒐集自民國83年至民國84年中之股價資料，分多、空頭進行研究，獲致以下結論： 　　一、在不利用任何歷史性資訊（亦即非理性狀態下）以制訂投資決策之情況下，若市場為多頭時期，存在有總累積報酬率擊敗市場且顯著差異之事實，且持有週期愈短，總累積報酬率愈高；而若市場為空頭時期，不論持有週期長短，總累積報酬率皆不能擊敗市場，但以各投資組合而言，仍存在有擊敗市場且顯著差異之事實，以此推論，台灣股票市場屬弱式效率市場之範疇。 　　二、當採用市場發行量加權平均指數之反轉移動為投資買賣點之依據，不論市場是處於多頭或空頭，總累積報酬率皆無法擊敗市場之平均表現。但各個投資組合亦存在有擊敗市場且顯著差異之事實，亦可支持台灣股票市場為弱式效率市場之說法。 　　三、若改以個股股價反轉移動為投資決策參考之指標，在多、空頭時期，且不論就個別投資組合或總累積報酬率來看，皆可輕易獲致超額報酬且顯著差異，暗示我國股市股價形成之過程並不能充分反應此一資訊，據此可推論台灣股票市場為弱式效率市場。 　　四、以市場發行量加權平均指數反轉移動資訊所制訂投資決策之績效不能顯著勝過市場之平均表現看來，台灣股票市場之股票股價形成過程中，深受歷史性加權平均指數移動資訊所影響，以致能大部分反映此部分資訊。而以個股股價反轉移動資訊所制訂投資決策之績效卻能輕易勝過市場且顯著差異看來，我國股市中個別股票股價表現似乎存在重大差異，股價與加權指數間並不皆具有高度正相關，投資人若決策錯誤，可能產生「賺了指數，賠了差價」之情形。 / This study aims to examine the role of information plays in the stock price formation by an application of simulated empirical approach. The results of this study can be used for assessing the appropriateness of Fama's definition of efficient market hypothesis (1970) in the Taiwan stock market. The assessment of information in this study includes random selection, reverse movement of stock index, and reverse movement of an individual stock. The analysis includes 266 samples covering bull/bear markets in the period between 1994 and 1995 on which the findings can be summarized as follows. 　　1. If the portfolio is formed upon random selection, the performance of portfolios can significantly beat the market in the bull market. In particular, the shorter turnover is, the higher return can be gained. There exist examples that the random portfolio can beat the market in the bear market no matter which turnover is selected. 　　2. If the portfolio is formed upon the reverse movement of stock index, even though total cumulative returns cannot beat the market average return in all cases, there exist cases beating the market. 　　3. If the portfolio is formed upon the reverse movement of an individual stock, no matter what the bull or bear market is, the portfolio can significantly beat the market for designated cases or total cumulative returns. 　　Thus, the stock price in the Taiwan stock market can be classified as a weak form market or weaker than a weak form market based on the Fama's definition (1970). Future research can consider how the Fama's definition of efficient market hypothesis can be revised in order to be applicable in the Taiwan stock market.

The Reproducing Kernel Element Method is a numerical technique that combines finite element and meshless methods to construct shape functions of arbitrary order and continuity, yet retains the Kronecker-d property. Central to constructing these shape functions is the construction of global partition polynomials on an element. This dissertation shows that asymmetric interpolations may arise due to such things as changes in the local to global node numbering and that may adversely affect the interpolation capability of the method. This issue arises due to the use in previous formulations of incomplete polynomials that are subsequently non-affine invariant. This dissertation lays out the new framework for generating general, symmetric, truly minimal and complete affine invariant global partition polynomials for triangular and tetrahedral elements. It is shown that this new class of reproducing kernel element solves the asymmetry issue that affected previous developed elements. The interpolation capabilities of this new class of reproducing kernel elements is studied in problems of surface representations and in solving problems of bending of thin plates using a Galerkin approach. Optimal convergence rates were observed in the solution of Kirchhoff plate problems with rectangular domains. Furthermore, it is shown that the new proposed two-dimensional elements out perform the previous elements with the addition of only a few internal degrees of freedom.

This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.

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It is generally accepted in academic circles that the developed country capital markets with their advanced infra-structure, depth and liquidity are at a minimum Weak-Form efficient. Since the Weak-Form EMH proposes that current security prices immediately assimilate all historical information, it therefore also implies that technical analysis (which relies on charts and analysis of past price patterns to extrapolate future price movements) would be a futile exercise. Yet technical analysis has endured over time and is still an intensively and widely used investment analysis technique. This indicates a clear disconnect between technical analysis as employed by practitioners in the market and the technical analysis methodologies utilized by academics in prior Weak-Form EMH studies. The problem is prior technical analysis Weak-Form EMH studies were burdened with methodological weaknesses which severely handicapped the profit generating potential of technical analysis and suggest that previous Weak-Form EMH research findings were erroneous in being unable to reject the null Weak- Form market efficiency hypothesis. This study addresses the problem by eliminating prior methodological weaknesses and utilizing high frequency intra-day data, the combination of qualitative and quantitative techniques and volume signals to develop a portfolio of Intermarket Momentum technical analysis strategies that generate significant excess profits. The objective of this study is therefore to provide evidence that contrary to prior research findings, the developed country capital markets are not Weak-Form efficient. The results show that the portfolio of Intermarket Momentum trading strategies generated returns in excess of the market with a significantly positive Alpha of 8.52% that allowed the rejection of the Null Hypothesis and the acceptance of the Alternative Hypothesis that the developed country capital markets are not Weak-Form efficient, thereby refuting the widely accepted EMH. / Business Management / D.B.L.