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M.Comm. / This study investigates the extent to which South African financial markets are globalised and thus, during the period 1994–2008, integrated with global financial markets. The impact of globalisation on the South African economy is complex. South Africa re-entered the international economy from isolation at a time when the forces of globalisation, especially for developing countries, seemed to gain momentum. The following study focus on equity, foreign exchange and bond markets. The period under study is divided between 1994-2008 and 2000-2008, with the exception of the bond market where the data was challenging to source. Empirical evidence suggests that South African financial markets together with those in emerging economies became increasingly globalised during the period 1994–2008. Analysis finds that South Africa’s equity markets were integrated as common/global factors influenced the markets during the period 1994-2008. According to the findings, SA was even more integrated than the average emerging economies in our sample as global/common factors influenced more of SA equity returns than in emerging economies. However, in general, developed economies were more globalised in both periods under study. However, analysis indicates that common factors play a larger role in determining the fluctuations in the foreign exchange market rather than in equity markets. This implies that foreign exchange markets are more globalised and integrated than equity markets. Global factors only determined 48% of the movement South Africa’s currency during the period 1994-2008, while global factors were more significant in the movement of developed and emerging economies’ currencies during the same period. However, SA foreign exchange market’s integration into the global markets increased with 2000-2008 variance share increasing to 0.97, implying that global factor were responsible the 97% of the variation in the exchange rate – higher than the average variance share recorded for developed and emerging economies. Finally, results for the bond markets show that SA bond market was also closely integrated with global markets although the level of integration was less than that recorded in the foreign exchange rate markets during the 2000-2008.

The diploma thesis deals with the impacts of financial crises, especially into the U.S. and European stock exchange market and the real economy. Contains the analysis of the Great Depression and the current economic downturn which follows the financial crisis of 2007 - 2008 from the perspective of the New York Stock Exchange index (DJIA) and the FTSE index of London Stock Exchange, as well as from the perspective of macroeconomic variables such as real GDP growth, the rate of unemployment and the industrial production index. The similarities and the specific features of the causes of their formation, the reactions of the monetary and legislative authorities, the impact on the stock exchange markets, regulatory implications and impact on the real economy are mentioned as a result of the detailed comparison of the two crises. The thesis includes prove to the hypothesis of higher volatility on the stock exchange markets during the crises periods on the daily data by calculating the variance and standard deviation.

The modern economy includes a variety of markets, and the Internet has opened opportunities for efficient on-line trading. Researchers have developed algorithms for various auctions, which have become a popular means for on-line sales. They have also designed algorithms for exchange-based markets, similar to the traditional stock exchange, which support fast-paced trading of rigidly standardized securities. In contrast, there has been little work on exchanges for complex nonstandard commodities, such as used cars or collectible stamps. We propose a formal model for trading of complex goods, and present an automated exchange for a limited version of this model. The exchange allows the traders to describe commodities by multiple attributes; for example, a car buyer may specify a model, options, color, and other desirable properties. Furthermore, a trader may enter constraints on the acceptable items rather than a specific item; for example, a buyer may look for any car that satisfies certain constraints, rather than for one particular vehicle. We present an extensive empirical evaluation of the implemented exchange, using artificial data, and then give results for two real-world markets, used cars and commercial paper. The experiments show that the system supports markets with up to 260,000 orders, and generates one hundred to one thousand trades per second.

We prove a version of the Fundamental Theorem of Asset Pricing, which applies to Kabanov's approach to foreign exchange markets under transaction costs. The financial market is modelled by a d x d matrix-valued stochastic process Sigma_t_t=0^T specifying the mutual bid and ask prices between d assets. We introduce the notion of ``robust no arbitrage", which is a version of the no arbitrage concept, robust with respect to small changes of the bid ask spreads of Sigma_t_t=0^T. Dually, we interpret a concept used by Kabanov and his co-authors as "strictly consistent price systems". We show that this concept extends the notion of equivalent martingale measures, playing a well-known role in the frictionless case, to the present setting of bid-ask processes Sigma_t_t=0^T. The main theorem states that the bid-ask process Sigma_t_t=0^T satisfies the robust no arbitrage condition if it admits a strictly consistent pricing system. This result extends the theorems of Harrison-Pliska and Dalang-Morton-Willinger to the present setting, and also generalizes previous results obtained by Kabanov, Rasonyi and Stricker. An example of a 5-times-5-dimensional process Sigma_t_t=0^2 shows that, in this theorem, the robust no arbitrage condition cannot be replaced by the so-called strict no arbitrage condition, thus answering negatively a question raised by Kabanov, Rasonyi and Stricker. (author's abstract) / Series: Working Papers SFB "Adaptive Information Systems and Modelling in Economics and Management Science"

This study explores the dynamics between stock price and exchange rates through the cointegration methodology proposed by Herwartz and Luetkepohl (2011). Moreover, it consider the vector error correction model (VECM) with conditional heteroscedastic variance. And we use a feasible generalized least squares (FGLS) estimator to estimate the cointegrating vector. This paper analysis some Asian countries' data from 1997 to 2010. The evidence result suggests that Malaysia and Singapor's stock price and exchange rate are positively related. But Hong Kong's stock price is negatively related to exchange rate.

Title from PDF of title page. / Document formatted into pages; contains 117 pages. / Thesis (M.S.C.S.)--University of South Florida, 2003. / Includes bibliographical references. / Text (Electronic thesis) in PDF format. / ABSTRACT: The modern economy includes a variety of markets, and the Internet has opened opportunities for efficient on-line trading. Researchers have developed algorithms for various auctions, which have become a popular means for on-line sales. They have also designed algorithms for exchange-based markets, similar to the traditional stock exchange, which support fast-paced trading of rigidly standardized securities. In contrast, there has been little work on exchanges for complex nonstandard commodities, such as used cars or collectible stamps. We propose a formal model for trading of complex goods, and present an automated exchange for a limited version of this model. The exchange allows the traders to describe commodities by multiple attributes; for example, a car buyer may specify a model, options, color, and other desirable properties. / ABSTRACT: Furthermore, a trader may enter constraints on the acceptable items rather than a specific item; for example, a buyer may look for any car that satisfies certain constraints, rather than for one particular vehicle. We present an extensive empirical evaluation of the implemented exchange, using artificial data, and then give results for two real-world markets, used cars and commercial paper. The experiments show that the system supports markets with up to 260,000 orders, and generates one hundred to one thousand trades per second. / System requirements: World Wide Web browser and PDF reader. / Mode of access: World Wide Web.

The purpose of this thesis is to present a conception of commutative justice. Commutative justice is defined as that part of justice in transfer (as opposed to justice in acquisition as well as distributive or rectificatory justice), which deals with transferring goods via market exchanges. Thus, this thesis examines which conditions a market exchange has to fulfil in order to be called just. Whereas traditionally speaking conditions like non-coercion or non-deception have received most attention – i.e. conditions focusing on the act of exchanging itself – the thesis' focus is a different one. It argues that we necessarily also have to take into account the consequences of a certain market exchange in order to judge whether it is just. Therefore, the thesis proceeds to analyze how problematic market outcomes like externalities, the formation of monopolies, violations of the Lockean proviso, inequality, and commodification affect the justice of the market exchanges which gave rise to them. The thesis finds that we need to broaden our conception of commutative justice – but only a little. Whereas the issues of externalities, violations of the Lockean proviso, and inequalities do not affect whether a certain market exchange is just, monopolization and commodification do. In order to be commutatively just, a market exchange must not only fulfil the traditional conditions of non-coercion, non-deception, etc., but it also must not bring about certain forms of monopoly nor further certain kinds of commodification. This conclusion leaves open the idea that, say, inequality or externalities could be relevant to distributive justice if not commutative justice.

Between 1993 and 2016, the U.S. exchange traded fund (ETF) market has proliferated from one product worth $6.5 million USD to 1,455 products worth over $2 trillion USD. Despite its dramatic growth, the ETF market has yet to be the subject of sociological inquiry even though fields such as the social studies of finance have begun examining the origins of index derivatives (Millo 2007), options (MacKenzie 2006), hedge funds (Hardie and MacKenzie 2007), and foreign exchange markets (Knorr Cetina and Bruegger 2002). Thus, the purpose of this dissertation is to provide the first historical sociology of ETF innovation in the United States, using an approach inspired by the social studies of finance. This project empirically traces the emergence of the ETF by compiling an account of precursory strategies, concept development, regulatory negotiations, and early product marketing. The concept of agencement is used to frame the historical narrative of the ETF as a product of two distinct assemblages that formed in the U.S. between 1970 and 2000: first, the socio-technical integration between humans and their technologies that affected trading strategies, and second, the collaborative relationships that were formed between innovators and regulators. The mixed qualitative research consists of 36 interviews triangulated with archival records, documents sourced through Freedom of Information Act requests, private collections, and government files. Concluding analysis suggests that strategies foreshadowing the ETF began to emerge as early as the 1970s, and innovator-regulator collaborations were integral to early product qualification - a process not yet explored in literature on financial regulation.

Diploma thesis focuses on the practical methods and application of technical analysis in international markets. Thesis is divided in three thematic parts. The first one focuses on the history and basic concepts of international exchange markets, futures contracts and the definition of basic terms which are essential for understanding the markets. Second part focuses on the methods of technical analysis which can be divided in two sections -- technical indicators and price action. All mentioned instruments are shown in real market data and charts. Third part focuses on the application of technical analysis in a chosen international market. The application goes through our trading system which combines appropriate technical indicators with price action formation supplemented by methods of money management. Several simulations were made on tested real historical data. The simulations differed in money management settings (automated stoploss tracking, Kelly's formula, Fixed ratio). To find the worst possible trading scenario was used Monte Carlo analysis.