Thesis (Ph. D.)--Cornell University, 1988. / Vita. Includes bibliographical references (leaves 179-186).

The stock market crash of 1929 stands today as the largest decline in market value in the history of the United States. Consequently, the event destroyed the wealth of thousands of American families and institutions. On October 28th and 29th, the United States stock market fell 11.3 percent and 12.4 percent respectively, marking the beginning of a down market that lasted over three years, the time period known today as the Great Depression. This paper empirically analyzes the effects felt by each individual industry sector in the crash of 1929, identifying gross and abnormal returns over three major days in the crash. I then compare my findings to previous literature and economic theories, analyzing which sector returns were expected and which were abnormal.

This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is applied to both the daily and intra-daily pricing relationship between the aforementioned markets. In order to analyse the pricing relationship within days, we develop a new method to remove the effects of nonsynchronous trading from the FTSE 100 Index. We find that on a daily basis the markets generally function effectively, although this does not carryover to the intra-daily pricing relationship. This is especially true during the October 1987 stock market crash, where it is argued that a possible cause of the breakdown lies with the stock market. If this is the case, then any regulation should be aimed at the stock market, not the stock index futures market.

Background: Stock ownership has been increasing in Sweden, with 2,7 million individual owners in 2022, up from 2,1 million in 2018. A trend shows that younger individuals are becoming more involved in stock ownership, while those over 40 are decreasing in numbers. Traditional finance theories, such as neoclassical finance, assume rational decision-making and advocate for diversified portfolios, but behavioral finance acknowledges the impact of psychological factors and biases on investment decisions. Evidence suggests that households tend to reduce diversification levels during stock market crashes, which may be influenced by demographic factors.   Purpose: The aim is to investigate whether the Covid-19 stock market crash influenced the portfolio allocation and asset preferences of Swedish private investors. Specifically, we examine whether there were changes in diversification levels and whether demographic factors such as gender, age, education, and portfolio wealth impacted investment behavior. The research seeks to provide a comprehensive understanding of how Swedish private investors responded to the stock market crash.   Method: We adopt a deductive approach, rooted in the positivistic philosophy. The data for our research was collected through a quantitative survey involving 232 participants. However, only 127 were used for the data analysis. Building upon prior research, seven alternative hypotheses were formulated and examined using the binary logistic model with the statistical tool SPSS and STATA.   Conclusion: Findings from this study show that 30% of participants reported an increased diversification in response to the Covid-19 stock market crash. The only demographic factor that had a significant impact on investors’ likeliness to alter their diversification levels were gender. Women were found to be more likely to increase their diversification levels in response to a stock market crash than men. There has been a shift in asset allocation preferences, with a growing preference for safer options such as mutual funds and ETFs, and a decrease in riskier assets such as stocks. However, we do not find any flight to liquidity.

The 1929 stock market crash on Black Thursday, followed by the subsequent four-year period of extreme economic downturn, signifies an extremely profound piece of U.S. history. During this time, global economic productivity – measured by GDP – decreased while the U.S. unemployment rate increased staggeringly. Leveraging construction permits as a forward-looking measure of economic activity, I empirically evaluate the effect of construction permits – specifically, the lagged growth rate of monthly construction permits – and lagged monthly stock returns on monthly Standard & Poor's 500 (S&P 500) stock returns. Lagged construction permit returns and lagged stock returns provide early indications (i.e., stock returns) of the following Great Depression.

Thesis (M. Com. (Economics)) -- University of Limpopo, 2019 / Financial markets and quite a diverse number of financial instruments have been growing in a controlled manner in recent decades in terms of value and volume. Brazil, Russia, India, China and South Africa (BRICS) are distinguished as having the fast growing markets in the universe compared to other markets of emerging economies, according to their promising economic prospective and demographic power. This study investigated the effects of government stock on investment activity in BRICS countries. This study used panel autoregressive distributed lag model (PARDL), Engel-Granger causality test, impulse response functions (IRF) and variance decomposition tests. Such techniques were applied to the annual data for the periods 2001 to 2016 in order to determine the effects of government stock on investment activity. The variables (government stock on bonds, government stock on mutual banks, government stock on corporations and government stock on liquid assets), including gross fixed capital formation which is a measure of investment activity, were subjected to panel unit root tests and that confirmed different orders of cointegration. The existence of a long run relationship between investment activity and other macroeconomic variables used in this study was determined by means of the panel cointegration tests, where one lag was used. The PARDL showed that in the long run investment activity was positively influenced by government stock on mutual banks and government stock on liquid assets, and negatively related to government stock on bonds and government stock on corporations. The Engel-Granger causality test revealed existence of unidirectional movement between investment activity and government stock on corporations as well as from government stock on bonds to liquid assets. The impulse response function test showed the impulse percentage of fluctuation that the variables did contribute to each other, from various periods both in the short and long run. While the variance decomposition of investment indicated that Investment was shocked by its own innovations throughout all the periods. A critical evaluation is needed to avoid investment shocks, instability of investment activity, instability of financial markets and the economy as a whole.

Ziel des Artikels ist, die Entwicklung der Eurokrise im Spannungsfeld von Institutionen und Handeln zu erklären. Dazu rekonstruieren wir im ersten Schritt die Krise in zwei Perspektiven, zum einen als Verkettung ökonomischer und politischer Funktionszusammenhänge, zum anderen als Arena von Verteilungskonflikten. Darauf aufbauend analysieren wir den Verlauf der Eurokrise, den wir in fünf Phasen unterteilen. Im Zentrum stehen dabei folgende Fragen: 1. Welche Akteure werden jeweils in die Problemkonstellation „Eurokrise“ hineingezogen? 2. Welche Relevanz haben die unterschiedlichen Akteure für das Funktionieren der gemeinsamen Währung und wie setzen sie diese Relevanz in den Verteilungskonflikten, die sich aus der Eurokrise ergeben, ein? Es geht also um die Entwicklung der Akteurskonstellation im Zuge der Eurokrise und um die Funktionsrelevanz dieser Akteure als Handlungsressource in den Konflikten um die Verteilung der Kosten der Krise. Im dritten Schritt der Untersuchung fassen wir unsere empirische Rekonstruktion der Eurokrise zusammen. Unser Fazit ist, dass die Eurokrise die defizitäre Institutionalisierung der gemeinsamen Währung manifest macht. Weiter gehende Regulierung, also zusätzliche Institutionenbildung steht aber vor dem schwierig auflösbaren Widerspruch zwischen funktionalen Erfordernissen und Interessen, bzw. zwischen Erwartungsstabilisierung und Interessenverfolgung.

Wang, Xiaolei. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. / Includes bibliographical references (leaves 34-39). / Abstracts in English and Chinese. / Chapter Chapter 1. --- Introduction --- p.1 / Chapter Chapter 2. --- Identification of Stock Market Crashes --- p.5 / Chapter 2.1 --- Identification Criteria --- p.7 / Chapter 2.2 --- Identification Results --- p.8 / Chapter Chapter 3. --- Data --- p.10 / Chapter 3.1 --- Data Issue for Chapter 4 --- p.10 / Chapter 3.2 --- Data Issue for Chapter 5 --- p.12 / Chapter 3.3 --- Data Issue for Chapter 6 --- p.12 / Chapter Chapter 4. --- Examination of AFE --- p.13 / Chapter 4.1 --- Definition of AFE and MAAFE --- p.13 / Chapter 4.2 --- Examination of MAAFE --- p.14 / Chapter 4.3 --- Examination of AFE by Grouping Duration --- p.15 / Chapter Chapter 5. --- Examination of AFD --- p.18 / Chapter Chapter 6. --- Examination of the Relationship between AFD and ESR --- p.22 / Chapter 6.1 --- Portfolio Strategy - Sorting by Size and Dispersion --- p.23 / Chapter 6.2 --- Portfolio Strategy - Sorting by Size and Book to Market Ratio --- p.26 / Chapter 6.3 --- Fama-French Time Series Regression Test (Three-Factor Model) --- p.28 / Chapter 6.4 --- Fama-French Time Series Regression Test (Three-Factor Model with Dispersion on the Right Hand Side) --- p.30 / Chapter 6.5 --- Introduction of a Nonlinear Form of AFD to the Fama-French Model --- p.31 / Chapter Chapter 7. --- Conclusions --- p.32 / References --- p.34 / Appendix Table I to Table XVI --- p.40-55 / Figure I to Figure VI --- p.56-61

This thesis merges the fields of Heterogeneous Agent Models (HAMs) and Be- havioural Finance in order to bridge the main deficiencies of both approaches and to examine whether they can complement one another. Our approach suggests an alternative tool for examining HAM price dynamics and brings an original way of dealing with problematic empirical validation. First, we present the original model and discuss various extensions and attempts at empirical estimation. Next, we develop a unique benchmark dataset, covering five par- ticularly turbulent U.S. stock market periods, and reveal an interesting pattern in this data. The main body applies a numerical analysis of the HAM extended with the selected Behavioural Finance findings: herding, overconfidence, and market sentiment. Using Wolfram Mathematica we perform Monte Carlo sim- ulations of a developed algorithm. We show that the selected findings can be well modelled via the HAM and that they extend the original HAM consider- ably. Various HAM modifications lead to significantly different results and HAM is also able to partially replicate price behaviour during turbulent stock market periods. Bibliographic Record Kukačka, J. (2011): Behavioural Breaks in the Heterogeneous Agent Model. Master thesis, Charles University in Prague, Faculty of Social Sciences,...

The global pandemic of Covid-19 led to a crisis of not only fatal impact but financially. The stock market experienced one of its biggest market crashes ever and the young investors of our generation experienced something that they could never imagine. Their financial situation and investments suddenly changed and many of them did not know how to act or behave during this difficult period. This paper is based on qualitative research where ten different young investors have been interviewed to determine if they have matured and how their behavior has changed financially. The two research questions for the paper are: Is Covid-19 a blessing in disguise forcing young investors to mature, increasing their financial literacy, and thus change their investment behavior? and how has the Covid-19 pandemic affected young investors decision making on the stock market? The study and research questions were determined using three theories which are the efficient market hypothesis, behavioral finance, and the stages of change model. All three models were used to see how an individual behave during a financial crisis. The efficient market hypothesis basically argues that all relevant information matches the prices of stocks at any given time. Behavioral finance examines how an individual behave in a financial setting such as investment behaviors. Herding behavior and overconfidence are two cognitive biases within behavioral finance that was easily seen in the individuals for this study. The stages of change model states that an individual go through five different stages when a change of behavior is needed. This model could be applied on any individual, but a change of investments behavior should not go through so many stages as the model has so it had some limitations on the individuals in the study. The results and findings of the paper states that young investors have learned a valuable lesson from the Covid-19 pandemic increasing their financial literacy and creating more sustainable strategies for future investments.