It is well known that the stock market is highly volatile, so stock price prediction is a very challenging task. However, in order to make a profit or to understand the equity market, many investors and researchers use various statistical, econometric, and neural network models to make the best stock price predictions possible. In this thesis the aim is to compare the predictability of two econometric models, the exponential moving average (EMA) and auto regressive integrated moving average (ARIMA) models, and two neural network models, a simple recurrent neural network (RNN) and the long short term memory model (LSTM) model. The comparison is primarily made using the Tesla company as the underlying stock. While using mean square error (MSE) as a measure of performance, the LSTM model consistently outperformed the other three models.

This paper examines the effects of Finansinspektions’ sanctions on the sanctioned companies’ stock price. Previous research shows significant abnormal returns in companies’ stock prices when negative news are announced. In several studies, an overreaction is found, meaning a reaction larger than the monetary sanction imposed on the company. This is called a reputational loss, implying that a company’s reputation worsens when it is sanctioned, leading to a loss of trust from the investors, and therefore a drop in the stock price. The previous research mostly concentrates on the announcement of criminal activity. This thesis focuses on the effects of the regulatory sanctions given out by Finansinspektionen, Sweden’s main regulatory institution on the financial markets. The analysis is done on Nordic companies. The method used is an event study to reveal abnormal returns after a sanction is announced and a regression analysis to analyse which factors affect these abnormal returns. The analysis reveals significant abnormal returns for all the studied samples. For the total sample and companies sanctioned for market information deficiencies, the abnormal returns are limited to the day of the announcement and the next few days after. Financial companies sanctioned for not respecting the capital market regulations show stronger abnormal returns than the rest of the sample for up to a month after the announcement of the sanction. The study finds a statistically significant overreaction for financial companies on the day of the announcement. This analysis indicates that larger fines lead to significantly stronger negative market reactions. Companies that have previously been sanctioned also elicit significantly larger stock market reactions. This shows that companies can benefit their shareholders by implementing compliance programs to reduce the likelihood of sanctions.

This dissertation research addresses the question of whether the issuance of the FASB and SEC proposals had any effect on the common stock values of oil and gas producers. Of primary interest is a determination of the differential impact of these proposals on stock values of full-cost versus successful efforts firms.

The objective of this research is to find how world stock markets correlate with each other and what causes that correlation. Multiple dependent variables that may have a high impact on correlations are tested, with a particular focus on cross-equity holdings. All the variables but one tested significant at the accepted 90% confidence level. The model showed a negative relationship between equity holdings and stock market correlation. The results may inspire further research with more in depth analysis of international equity holdings and investor behavior in world stock markets.

This thesis presents three empirical chapters investigating the informativeness of aggregate insider trading activities in the UK’s stock and option markets. Chapter one examines the relationship between aggregate insider trading and stock market volatility. The results suggest a positive relationship between aggregate insider trading and stock market volatility, confirming the hypothesis that aggregate insider trading increases the rate of flow of information into the stock market which in turn increases stock market volatility. Given that insiders also trade for non-informational reasons, we distinguish between informative and noisy insider trades and examine whether they affect stock market volatility differently. We find that only aggregate insider buy trades and medium sized insider trades affect stock market volatility positively. Chapter two re-examines whether aggregate insider trading can help predict future UK stock market returns. The results suggest that there is information in aggregate insider trading that can help predict future stock market returns. This is due to aggregate insiders’ ability to time the market based on their possession of superior information about unexpected economy-wide changes. We also find that a positive shock in aggregate insider trading causes an increase in future stock market returns two months after the shock. We test whether there is information in medium insider trades that can help predict future stock market returns. The results suggest that medium insider trades, specifically medium insider buy trades can help predict future stock market returns. Lastly, chapter three explores the relationship between aggregate exercise of executive stock options (ESO) and stock market volatility. Insiders in possession of private information may use their informational advantage to trade in the option markets via their exercise of ESOs which may affect stock market volatility. We find that aggregate exercise of ESOs affect stock market volatility positively. This is due to an increase in the rate of flow of information released via private information motivated exercises which cause prices to move as they adjust to the new information thereby increasing volatility. When executives have private information about future stock performance, they are motivated to exercise and sell stocks post exercise to avoid losses. They are also motivated to exercise and sell only a proportion of their stocks, specifically more than 50% of the acquired stocks and they exercise near the money ESOs. We find that for all these private information motivated reasons to exercise ESOs, stock market volatility is positively affected.

<p>Abstract</p><p>Market efficiency is a highly debated topic within the academic research field of finance.</p><p>Several studies have presented that the return on stocks may be predictable by employing the</p><p>momentum investment strategy, which contradicts the Efficient Market Hypothesis in</p><p>exchange market. There is extensive international evidence, on an academic level that the</p><p>momentum investment strategy yields positive abnormal returns when short-term periods are</p><p>considered. This paper examines the profitability of the momentum investment strategy in</p><p>Canadian and Swedish stock markets during January 2000 to December 2006. To investigate</p><p>the strategy, two separate portfolios of winners and losers, each portfolio containing 50</p><p>stocks, are created for each market. Then the momentum strategy, which consists in long</p><p>position in past best performing stocks and short positions in past worst performing stocks, is</p><p>run for each exchange market. Results show that the strategy generates statistical significance</p><p>at the 5% level for Canadian market for 9-month holding period, and with the level of</p><p>significance at the 10% for Swedish market for the 6 and 9-month holding periods after</p><p>excluding the data for the year 2002. Moreover, results show that the strategy is even stronger</p><p>in the level of significance during the bull trend of the markets. The paper confirms the</p><p>existence of the momentum anomaly in TSX and SSE.</p>

The Study discusses the development of the venture capital (VC) industry in China, from its fundraising, investment to post investment, and comparisons on a global scale. We also analyzed the relationship between the innovative industries and economic growth, and discussed the VC’s exit route and stock market in China. The growth of China’s VC industry is still promising but there are still some challenges that it has to overcome. Furthermore, the VC development in China also implies the growth potential of the Chinese stock markets, and suggests that Taiwan should act as an active role and take advantage of its geographical position, strong relationship and regional stability with China to participate in the possible collaboration of the stock markets in the Asia-Pacific region.

Abstract Market efficiency is a highly debated topic within the academic research field of finance. Several studies have presented that the return on stocks may be predictable by employing the momentum investment strategy, which contradicts the Efficient Market Hypothesis in exchange market. There is extensive international evidence, on an academic level that the momentum investment strategy yields positive abnormal returns when short-term periods are considered. This paper examines the profitability of the momentum investment strategy in Canadian and Swedish stock markets during January 2000 to December 2006. To investigate the strategy, two separate portfolios of winners and losers, each portfolio containing 50 stocks, are created for each market. Then the momentum strategy, which consists in long position in past best performing stocks and short positions in past worst performing stocks, is run for each exchange market. Results show that the strategy generates statistical significance at the 5% level for Canadian market for 9-month holding period, and with the level of significance at the 10% for Swedish market for the 6 and 9-month holding periods after excluding the data for the year 2002. Moreover, results show that the strategy is even stronger in the level of significance during the bull trend of the markets. The paper confirms the existence of the momentum anomaly in TSX and SSE.

This thesis examines stock price bubbles in the Stock Exchange of Thailand (SET) from its establishment in April 1975 until December 2012 using regime-switching bubble models, on the main aggregated market index, called the SET Index, and several disaggregated stock indices by industrial sector. The results suggest some evidence of bubble-like behaviour in these indices, most especially when a structural break is included at July 1997, the date when Thailand switched to adopting a managed floating exchange rate system. Given the limitations of published stock price indices in Thailand a new, consistent index was computed the K-NI. The econometric test results using this new index indicate strong evidence of stock price bubbles in several industrial sectors and at least some evidence of bubbles in all industry groups in the SET. Finally, the standard model is extended to study the transmission of bubbles between industry groups. The results indicate some levels of contagion in the Technology sector, as well as, in several other industry groups, while the Resources sector seems to be relatively isolated.

The thesis deals with analysis of performance of the Chinese stock market. The first chapter presents basic general characteristics of the stock market and equity investment. The second chapter focuses on the specifics of Chinese stock market. The third, last, chapter analyzes performance of the Chinese stock market.