Aim of this diploma thesis is to provide empirical tests of market efficiency of tennis wagering market. In large dataset, which consists of nearly 47 thousands matches and 225 thousands odds, I am searching for anomalies, which can prove market inefficiency. Potentially profitable and exploitable betting strategies are also examined. Main tools of empirical analysis are linear probability models and logit models. Favorit-longshot bias is present in my data, this finding is consistent with results of other empirical works (Lahvička, 2013; Cain, Law, Peel, 2000). Major contribution of this paper is confirmation of home-away bias, the issue, which was not tested in tennis matches so far. The same holds for chart-bias. I am not able to find profitable wagering rules based on out-of-sample predictions of my models. Simple betting rule, which consists of betting systematically on overwhelming favorites, is derived from historical odds. This strategy yields a profit 0,0094, but it's applicability is very limited.

Antalet genomförda företagsförvärv på aktiemarknaden har ökat genom åren. Företagsförvärv ämnar till att skapa tillväxt och konkurrenskraftighet genom synergier, ökning av marknadsandelar eller via diversifiering. Syftet med studien är att beskriva hur marknaden reagerar vid tillkännagivande av ett företagsförvärv, samt om det finns något samband mellan marknadens reaktion, konjunktur och förvärvsstrategi. Studien undersöker marknadsreaktionen vid tillkännagivandet av ett företagsförvärv för börsnoterade företag på den svenska marknaden under perioden 2010 till 2020. Studien utgår från arbitrageteorin, den effektiva marknadshypotesen, signaleringsteorin och ekonomisk psykologi. Relevanta studier för ämnet lyfts också fram. Studien har tillämpat en kvantitativ statistisk eventstudie som huvudmetodik för att analysera marknadsreaktionen vid förvärvstillkännagivande. För att förklara eventstudiens resultat genomfördes en multipel linjär regressionsanalys, vilken undersökte sambandet mellan marknadens reaktion, konjunktur och förvärvsstrategi. Resultatet från eventstudien visade att den genomsnittliga abnormala avkastningen var högst på eventdagen men genomsnittligt nära noll. För majoriteten av förvärvstillkännagivandena gick det inte att påvisa någon signifikant skillnad i abnormal avkastning. Studien visade att marknaden inte reagerade kraftigare än vad som var förväntat. Vidare visade regressionsanalysen att varken konjunktur eller förvärvsstrategi hade någon signifikant påverkan på abnormal avkastning. Det betyder således att marknadens reaktion inte påverkades av varken rådande konjunktur eller vilken förvärvsstrategi bolaget hade. / The number of completed acquisitions on the stock market has increased over the years. Acquisitions aim to create growth and competitiveness through synergies, increase market shares or through diversification. The purpose of this study is to describe how the market reacts when announcing an acquisition, and whether there is any relation between the market reaction, the economic cycle and the acquisition strategy. This study examines the market reaction when announcing an acquisition, for listed companies on the Swedish stock market during the period 2010 to 2020. This study is based on the arbitrage theory, the effective market hypothesis, the signaling theory, behavioral finance and other relevant studies. This study has applied a quantitative statistical event study as the main methodology to analyz the market reaction when announcing an acquisition. A multiple linear regression analysis was performed, which examined the relationship between the market reaction, the economic cycle and the acquisition strategy. The results from the event study showed that the average abnormal return was greatest on the event day but on average close to zero. For the majority of the acquisition announcements, it was not possible to determine any significant differences in abnormal returns. This study revealed that the market did not react more deviating than expected. Furthermore, the regression analysis indicated that neither the economic cycle nor the acquisition strategy had any significant effect on abnormal returns. Which means that the market reaction was not affected by neither the current economic situation or the companies acquisition strategy.

El presente trabajo comprueba la hipótesis de eficiencia de mercado (EMH) a través de una medida de persistencia temporal conocida como exponente de Hurst. Esta aproximación además de estar relacionada con la dimensión fractal, permite expandir el análisis de la hipótesis de mercado eficiente, propuesta por Eugene Fama en 1970. El cálculo del exponente de Hurst se realiza en base al método de rango reescalado; y se extiende su aplicación a una estimación dinámica entre el periodo 2006-2021. Este indicador sirve como índice de eficiencia de mercado, y se estima para las series de retornos diarios de los mercados de valores del MILA, conformado por Chile, Colombia, México y Perú. Los resultados demuestran que Perú es el mercado menos eficiente, y con mayor número de ciclos de ineficiencia para el periodo calculado. Por otro lado, México resulta ser el único mercado del MILA que estuvo dentro de la región de eficiencia. / The present work tests the market efficiency hypothesis (EMH) through a measure of time persistence known as the Hurst exponent. This approach, in addition to being related to the fractal dimension, allows us to expand the analysis of the efficient market hypothesis proposed by Eugene Fama in 1970. The calculation of the Hurst exponent is carried out based on the rescaled range method; and its application is extended to a dynamic estimation between the 2006-2021 period. This indicator serves as a market efficiency index and is estimated for the series of daily returns of the MILA securities markets, made up of Chile, Colombia, Mexico, and Peru. The results show that Peru is the least efficient market, and with the highest number of inefficiency cycles for the calculated period. On the other hand, Mexico turns out to be the only MILA market which has been in the efficient region. / Trabajo de investigación

Thesis (M.A. Agricultural Management (Agricultural Economics)) -- University of Limpopo, 2022 / Wheat forms part of the most essential grain crop produced in South Africa after maize. In South Africa, most of the wheat produced is used mainly for human consumption while the remaining is used for animal feed and seed. The wheat industry in South Africa is undergoing severe pressure, with drastic decreases in the area planted to wheat production while imports of wheat continued to increase since the year 1997. This has in return affected the performance and competitiveness of the South African wheat industry at the international stage and its ability to produce enough to meet local demand, hence continuous reliance on imports which later affect domestic wheat prices. Regardless of wheat as one of the most essential grain crop produced in South Africa, very little research is done to evaluate the co-movement, magnitude and speed of price transmission from world to domestic wheat market in South Africa. The study intends to analyse the transmission of world wheat prices to the domestic wheat market in South Africa using average weekly prices for wheat for the period between January 2010 and December 2019. The objectives of the study are to determine the level of cointegration or long run relationship between the world wheat prices and the domestic wheat prices in South Africa, and to assess the degree of world wheat price transmission to the domestic wheat prices in South Africa, with the application of the Error Correction Model. While several authors indicted that long run relationship does exist between spatially separated markets, this study also finds evidence of cointegration or long run relationship between world wheat markets and the domestic wheat market in South Africa. The results confirmed this priori expectation, that in a long run world wheat prices are ultimately transmitted to the domestic market in South Africa. The results further indicate that the speed of corrections or adjustments towards equilibrium conditions were established to be fairly low for domestic wheat prices. The study recommends further research with more emphasis on vertical price transmission from wheat to wheat flour and other wheaten products such as bread and cereals. Further recommendation suggested by the study is that government intervention through implementation of Dollar-Based Reference Price and Variable Tariff Formula for wheat must continue with more caution and improved speed for a quicker response, once there is a newly triggered import duty. / Department of Agriculture, Land Reform and Rural Development

Aktiemarknaden uppfattas som effektiv då aktiepriset faller i paritet med utdelningen på ex-dagen. Tidigare studier ger belägg för att aktiepriset faller med mindre än utdelningen. Att aktiepriset faller med mindre än utdelningsbeloppet på ex-dagen utgör ex-dagseffekten och innebär en avvikande avkastning för aktier kring ex-dagen. Ex-dagseffektens existens har genom historien undersökts och det råder delade meningar kring dess uppkomst och existens. Skattehypotesen, kortsiktiga handelshypotesen, mikrostrukturhypotesen och dispositions-effekten är fyra olika förklaringar till ex-dagseffektens uppkomst som ligger till grund för denna studie. Hypoteserna analyseras i samband med tidigare utförda studier och sedan dras slutsatsen att skattehypotesen är den mest uppmärksammade förklaringen till ex-dagseffekten. / The stock market is perceived as efficient under the presumption that stock prices falls in parity with the dividends on the ex-dividend day. Earlier researches establish that stock prices rather falls with less than the amount of the dividend. The phenomen that the stock prices falls with less than the dividend constitutes the ex-div effect and implicate an abnormal return on the ex-dividend day. The existence of the ex-div effect has been examined through the history and there are shared opinions about its origin and existence. The tax hypothesis, the short-term trading hypothesis, the microstructure hypothesis and the disposition effect are four different explanations of the ex-div effect that forms the basis of this study. The hypotheses are analyzed in conjunction with earlier researches and the conclusion of the study is that the tax hypothesis is the most common explanation for the ex-div effect.

This thesis explores various aspects of long memory behaviour in African stock markets (ASMs). First, we examine long memory in both equity returns and volatility using the weak-form version of the efficient market hypothesis (EMH) as a criterion. The results show that these markets (largely) display a predictable component in returns; while evidence of long memory in volatility is mixed. In general, these findings contradict the precepts of the EMH and a variety of remedial policies are suggested. Next, we re-examine evidence of volatility persistence and long memory in light of the potential existence of neglected breaks in the stock return volatility data. Our results indicate that a failure to account for time-variation in the unconditional mean variance can lead to spurious conclusions. Furthermore, a modification of the GARCH model to allow for mean variation is introduced, which, generates improved volatility forecasts for a selection of ASMs. To further evaluate the quality of volatility forecasts we compare the performance of a number of long memory models against a variety of alternatives. The results generally suggest that over short horizons simple statistical models and the short memory GARCH models provide superior forecasts of volatility; while, at longer horizons, we find some evidence in favour of long memory models. However, the various model rankings are shown to be sensitive to the choice of error statistic used to assess the accuracy of the forecasts. Finally, a wide range of volatility forecasting models are evaluated in order to ascertain which method delivers the most accurate value-at-risk (VaR) estimates in the context of Basle risk framework. The results show that both asymmetric and long memory attributes are important considerations in delivering accurate VaR measures.

På en effektiv marknad ska förändringen i aktiepriset under ex-dagen vara sådan att en investerare är indifferent till att genomföra en transaktion inklusive eller exklusive utdelning. Trots det pekar flertalet empiriska studier på att så inte är fallet. I denna studie använder vi prisfallskvoten enligt Elton och Gruber (1970) för att undersöka kursbildning kring ex-dagen på Stockholmsbörsen åren 2013-16 samt om det finns skillnader i priskorrigering mellan olika grupper av aktier. Vi finner att aktierna på Stockholmsbörsen i genomsnitt föll med 76 % av utdelningsbeloppet och således har det funnits en ex-dagseffekt. Vidare visar studien att ex-dagseffekten är större i bolag med låga utdelningsbelopp och låg direktavkastning. Resultaten i studien visar även en signifikant positiv avvikelseavkastning under ex-dagen men avkastningen anses vara för liten för att motivera systematisk handel.

L’implémentation d’une étude d’événement est confrontée à des choix méthodologiques plus ou moins arbitraires concernant la période de l’étude et l’échantillon sélectionné. Or, ces choix méthodologiques conditionnent les résultats obtenus, aboutissant à des divergences notoires en matière de conclusions. Une démarche par simulations, effectuées sur des données réelles de la Bourse de Tunis, nous a permis de juger de la validité des différentes méthodes à utiliser et des différents tests à mettre en œuvre, puis de déterminer celles et ceux qui sont recommandés en fonction des caractéristiques de l’événement à étudier. Nos résultats sont spécifiquement adaptés aux marchés émergents, souffrant d’un manque de liquidité, d’un manque de transparence…En application des résultats de la méthodologie recommandée, nous avons cherché à analyser l’impact sur le marché boursier tunisien, de changements d’abord microstructurels et ensuite environnementaux de nature institutionnelle. Au plan de la microstructure, les choix organisationnels ont été répartis en trois catégories distinctes : la structure du marché, la transparence et le contrôle de la variation des prix. Au plan institutionnel, nous avons axé notre analyse sur l’infrastructure légale en considérant quatre composantes : la protection des investisseurs externes à l’entreprise, les lois sur les valeurs mobilières, les transactions des initiés et le cadre comptable. / Event studies implementation faces many arbitrary methodological choices concerning the period of the study and the selected sample. Unfortunately, these methodological choices condition the results of the study, leading to important differences in the outcomes. An approach by simulations, carried out on actual data of the Tunis stock exchange, has allowed us to judge the validity of the different methods used and the different tests to be implemented, in order to determine those recommended according to the characteristics of the event being studied. Our results are specifically adapted to the emerging markets, known for their lack of liquidity, lack of transparency…Pursuant to the results of the recommended methodology, we next analyze the impact on the Tunisian stock market, of some micro-structural and institutional changes that have occurred in the last years. In terms of microstructure, we precisely examine the structure of the market, its degree of transparency and the mechanisms of price variations control. In terms of institutional environment, we focus our analysis on the legal infrastructure through the aspects of company’s outsiders’ protection, securities law, insiders’ transactions and accounting framework.

[pt] Como os retornos das carteiras formadas por ações de setores econômicos brasileiros são utilizados pelos investidores? As informações contidas nesses retornos são capazes de explicar os movimentos das ações brasileiras? O objetivo do presente trabalho é ajudar a responder a essas perguntas ao pesquisar se os retornos e a volatilidade dos fatores SMB e HML do modelo de três fatores de Fama e French podem ser previstos pelos retornos passados de 16 carteiras formadas por empresas de um mesmo setor econômico listadas na BM&FBOVESPA no período de 1995 a 2012. A análise revela que 14 de 16 setores preveem o retorno do SMB para um mês à frente. Ademais, os retornos de um número significante de setores preveem a volatilidade do SMB e HML para até três meses adiante. Considerando a capacidade explicativa do modelo de Fama e French para o mercado brasileiro, os resultados desta pesquisa indicam que os retornos setoriais brasileiros contêm informações valiosas para os fatores SMB e HML, demonstrando que os investidores não conseguem absorver todas as informações disponíveis em um tempo hábil, fazendo com que estas se difundam gradualmente no mercado. / [en] How are the brazilian industry returns used by investors? Can the information contained in these returns explain the movements of Brazilian shares? The purpose of this work is to help answer these questions by examining whether the returns and the volatility of SMB and HML factors of Fama-French threefactor model can be predicted by past returns of 16 portfolios formed by companies from the same industry listed on São Paulo Stock Exchange (BM&FBOVESPA) between 1995 and 2012. The analysis reveals that 14 of 16 industries predict the SMB returns one month ahead. Furthermore, the returns of a significant number of industries predict the volatility of SMB and HML factors up to three months ahead of time. Considering the explanatory capability of the Fama-French model for the Brazilian market, the results of this research show that Brazilian industry returns contain valuable information for the SMB and HML factors, demonstrating that investors cannot absorb all the information in a timely manner, resulting in their gradual diffusion throughout the market.

Cette thèse est composée de trois chapitres distincts. Chacun de ces chapitres examine un impact spécifique de la concurrence entre les bourses sur les marchés financiers. Le chapitre 2 propose un modèle théorique afin d’analyser l’effet de la concurrence sur le rôle de certification offert par les bourses. Les résultats montrent que surestimer la qualité d’un projet est un équilibre malgré la présence des coûts de réputation. Le chapitre 3 analyse les effets du phénomène de conversion de structure organisationnelle des bourses de mutuelle-à-cotée sur la performance et sur la qualité de marché. Les résultats suggèrent que, bien que cette conversion améliore la performance financière des bourses, elle peut néanmoins nuire à la qualité de marché. Le chapitre 4 est une étude empirique de l’impact de la période de pré-ouverture sur la découverte des prix et la formation de la liquidité sur le marché primaire et sur les plateformes concurrentes. Les résultats montrent que les prix indicatifs de la période de pré-ouverture participent à la découverte des prix et contiennent également des informations particulièrement au début de la pré-ouverture. / This dissertation is made of three distinct chapters. Each of these chapters investigates a specific impact of the increased competition among stock exchanges in capital markets. Chapter 2 proposes a theoretical model to analyze the effect of competition on the quality of the certification process offered by stock exchanges. The findings show that overestimating the quality of a project is an equilibrium despite the presence of the reputation costs. Chapter 3 analyzes the effects of the mutual-to-stock conversion phenomenon on market performance and on market quality of listed exchanges. The results suggest that while stock exchange ownership conversion enhances the stock exchange financial performance, it may be detrimental to market quality. Chapter 4 empirically examines the impact of the pre-opening period of an incumbent market on price discovery and market liquidity on the primary market and on the competing venues. Results provide evidence that tentative prices during the pre-opening period participate to price discovery and also contain information particularly early during the pre-opening.