Over the past decades, people have had an increasing chance to receive eco- nomic information, especially news related to the stock market. This is because the fraction of the U.S. population owning stocks has increased rapidly. However, it does not mean that a majority of news sources have started to deal with financial news more. We do not know how traditional media, such as newspapers, have dealt with financial news during the same period, nor do we know the influence of this environmental change on political attitudes. In this report, I analyze the type of contexts in which the stock market has been described in The New York Times from 1981 to 2011 by Wordfish and the Latent Dirichlet Allocation (LDA) model. I find that a plunge in the stock market and political events affect the amount of political topics in stock market news. In particular, after the financial crisis of 2008–2009, stock market news consisted of economic, political, and social topics. / text

This thesis contributes to our knowledge of the behaviour of the Chinese stock market by offering an empirical investigation into issues such as market segmentation, inter‐relationships between Chinese stock markets and inter‐relationships with foreign stock markets. Basic questions which have been typically analysed for developed stock markets are considered in this thesis. These include an analysis of core concepts such as volatility; causal links with economic variables and the reasons why the theoretical stock price may be different from the actual stock price. Methodological methods include; cointegration, generalised autoregressive heteroscedastic modelling (GARCH), vector autoregressive framework modelling (VAR) and panel data analysis. Both daily and monthly observations are used over a time period from 1996 to 2006. The results indicate that there is a rich set of reasons why we may observe phenomena such as a discount on B shares and a relationship between A shares and B shares. The findings also suggest that China is not isolated from the rest of the world and that there is evidence of inter‐relationships with foreign stock markets and that Chinese stock market prices are close to their fundamental value. This is not generally the finding for developed stock markets. Overall, it appears that the methodological approaches usually associated with developed stock markets can serve us well as useful tools in creating a deeper understanding of the underlying fundamentals describing the Chinese stock market.

Estimation of stochastic volatility (SV) models is a formidable task because the presence of the latent variable makes the likelihood function difficult to construct. The model can be transformed to a linear state space with non-Gaussian disturbances. Durbin and Koopman (1997) have shown that the likelihood function of the general non-Gaussian state space model can be approximated arbitrarily accurately by decomposing it into a Gaussian part (constructed by the Kalman filter) and a remainder function (whose expectation is evaluated by simulation). This general methodology is specialised to the estimation of SV models. A finite sample simulation experiment illustrates that the resulting Monte Carlo likelihood estimator achieves full efficiency with minimal computational effort. Accurate values of the likelihood function allow inference within the model to be performed by means of likelihood ratio tests. This enables tests for the presence of a unit root in the volatility process to be constructed which are shown to be more powerful than the conventional unit root tests. The second part of the thesis consists of two empirical applications of the SV model. First, the informational content of implied volatility is examined. It is shown that the in- sample evolution of DEM/USD exchange rate volatility can be accurately captured by implied volatility of options. However, better forecasts of ex post volatility can be constructed from the basic SV model. This suggests that options implied volatility may not be market's best forecast of the future asset volatility, as is often assumed. Second, the regulatory claim of a destabilising effect of futures market trading on stock market volatility is critically assessed. It is shown how volume-volatility relationships can be accurately modelled in the SV framework. The variables which approximate the activity in the FT100 index futures market are found to have no influence on the volatility of the underlying stock market index.

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This thesis provides a detailed empirical evaluation of the role and function of the FTSE 100 and FTSE Mid 250 index futures contracts, by considering the interrelated issues of hedging effectiveness and pricing efficiency. The aims of the thesis are outlined in chapter one, with chapter two providing a detailed review of the empirical literature relevant to this study. Chapter three investigates the hedging effectiveness of the FTSE 100 and FTSE Mid 250 index futures contracts in both an ex post and ex ante context. Despite relatively thin trading volume, the FTSE Mid 250 contract is shown to be an important hedging instrument. However, the results demonstrate the hedging effectiveness can only truly be examined by using an ex ante strategy in conjunction with spot portfolios that do not replicate market portfolios. Work into hedging effectiveness is further examined in chapter four using hedge ratios generated within the Extended Mean Gini framework. The results indicate that for both contracts the hedge ratio series are characterised by a step function which is strongly related to the hedger's degree of risk aversion. Chapter five examines the pricing efficiency of the FTSE 100 and Mid 250 contracts. While there were many deviations from fair value, both contracts appear to be quite efficiently priced, with opportunity for index arbitrage rare. Research into the economics of arbitrage is extended in chapter six by investigating the potential for intramarket and intermarket spread trading. While the intramarket spread is found to be very efficiently priced, trading well within its no-arbitrage limits, the intermarket is much less efficiently priced frequently violating its no-arbitrage limits. Chapter seven, provides a summary of the thesis and concluding remarks concerning the relevance of the issues investigated are drawn.

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Thesis (Ph. D.)--Ohio State University, 2004. / Title from first page of PDF file. Document formatted into pages; contains x, 112 p.; also includes graphics. Includes bibliographical references (p. 73-77).

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This thesis involved an empirical investigation of the predictability of Australian industrial stock returns using a dynamic state-space framework. The systematic risks of industrial portfolios were examined in a stochastic market- model. The systematic risks of industry portfolios are found to be stochastic processes. Most of the industry groups have time-varying systematic risks that are mean-reverting to their stable or moving long-term mean. However, the investment and financial services, alcohol and tobacco, gold, insurance and media industry groups have rather random systematic risks. The time-varying market model provides a better explanation of the portfolio returns than the single-index model since it captures the stochastic properties of market risk. Further, a Bayesian dynamic-forecasting model was employed to examine the explanatory power of a set of economic and financial variables. The unanticipated components of the term-structure variable, the interest-rate variable and the aggregate-dividend-yield variable were shown to be significant in explaining the industry portfolio excess returns. The comparison between multivariate analysis and univariate analysis strongly indicates that the correlations within industries are critical in the investigation of the predictability of returns. In the out-of-sample analysis, a maximally predicted portfolio (MPP) was constructed based on the updated economic and financial information; however, the predictability of the MPP did not exceed that of a naive forecast. / Furthermore, the market timing ability associated with the predictability of the MPP was insignificant. The industry-group-rotation strategy is able to enhance the industry portfolio performance, but the predictability only contributes a small proportion of the profits. The results indicate that the industry returns contain predictive components; however, investors are less likely to exploit the existing predictability to gain excess profit. The level of predictability discovered here does not contradict market-efficiency theory.

Abstract Due to the arrival of global zoned economy, the fluent fund has promoted the intercommunication of international politics and economy. The multiple investments have become research focus in recent years, leading to the reasons of the relationship and fluctuation in various countries. Thus this research, taking Taiwan as a starting point, analyzes the relationship of stock price with one of our neighbor countries, South Korea, including their deep bid, four major type stocks ( plastics, transportation, steel, electronics), nine major personal shares( Taiwan Plastics and S.K. Chemical Industry, Evergreen Shipping and Han Jin Shipping Co., China Steel Co. and Posco, Taiwan Semiconductor Manufacturing Co. and Samsung Electronics, AUO and Samsung Electronics). By use of E-view software, it analyzes their closing price from June 2001 till June 2005, expecting to improve the investment performances of the government, investors and relevant industries. The study shows that every stock price index has arrays of single root. Going on with Johansen Cointegration relationship with Granger Causality, it can get the following results: I) Only short term relation exists for deep bid, other three major type stocks and nine main industries¡¦ personal shares between S. Korea and Taiwan, except electronic stocks. II) No short term relation exists among deep bid, electronic type stock, Evergreen and Han Chin Shipping Co. personal shares. As for plastics, transportation, steel type stock, China and Posco, Taiwan Electronics and Samsung¡¦s personal shares, S. Korea is a leading indicator as it influences Taiwan¡¦s present situation. On the other hand, Taiwan influences S. Korea as a leading indicator for Taiwan Plastics and S.K. Chemical Industry. These mentioned above are mono-way cause and effect. Finally, research even shows that there¡¦s a mutual cause and effect relation between AUO and Samsung Electronics. III) Taking a general view of weigh value of equity market and short term relation, it can sum up to the following results : 1) The results are the same comparing the leading and backward relation of type stocks to large proportion personal shares. 2) The leading and backward relation of small proportion does not have the same influence as type stocks. 3) The type stocks, that originally do not have cause and effect relation, will appear mutual influence relation if the personal shares take large proportion in type stocks, due to high similarity of production among industries. Key Words: Taiwan stock market , South Korea stock market, Cointegration relationship.