The research undertaken aims to contribute to the debate about market efficiency and market volatility in an Islamic context. The research relates to the Amman Stock Exchange (ASE) and covers the period 1992 to 2007. It undertakes quantitative analysis involving two key elements: first, testing for random walk and calendar anomaly effects in market returns and, second, modelling volatility in market returns. The thesis applies a series of standard econometric and statistical techniques to this issue. The key ‘novel’ contributions of this study relate to the focus on Islamic religious holiday effects and also the application of behavioural finance theoretical models to explain the findings in terms of the influence of social mood (mood misattribution) effects. These are approaches that have not been previously applied in the literature within an Islamic context. The author argues that the econometric and statistical techniques applied are ‘fit for purpose’. Standard methods are applied; however, these are applied in ‘novel’ ways in parts of the thesis. For example, moving-date calendar effects are modelled for the first time and the modelling of volatility makes use of interaction effects to explore the impact of interactions between different mood-influencing variables. The study begins by identifying that the ASE index returns do not follow a Random Walk. It then goes on to identify day-of-the-week effects. First trading day of the week effects found in relation to the first trading day that follows the Muslim holy day of Friday. Monthly calendar effects were also found. January or turn-of-the-year effects were found in the ASE similar to those found previously in some Western markets. However, the largest monthly effects were found in relation to the holy month of Ramadan. Most significantly, Ramadan was found to be the only month where the average daily returns were both statistically different from the other months in the year and also positive. This, it is argued in the thesis, is due to social mood (or mood misattribution) effects. The research looks beyond informational efficiency and develops a number of ‘novel’ contributions to research in this area in terms of both the empirical findings and the behavioural finance-related interpretation of these findings, as well as the influence of Islamic ethics in Amman’s stock market returns. The thesis also examines the relationship between seven behavioural mood-proxy variables and stock market returns. Fama (1991) argues that efficiency and volatility are unrelated. In this thesis, however, evidence is uncovered which suggests that this may not be the case. High levels of volatility were found at the start and at the end of the Ramadan holy festival; this volatility, it is argued, is related to social mood. This issue is examined further by exploring previously unstudied interactions between mood-related Ramadan effects and mood-related weather and biorhythmic effects. The results of this thesis, the author believes, provide strong evidence for the existence of Muslim religion investment decision biases associated with social mood effects (mood misattribution). It is argued that these social mood effects in the case of Jordan relate mainly to Islamic ethics and cultural issues, as they are found predominantly during the Ramadan religious holiday. Despite the existence of decision biases within the ASE, no profitable trading anomaly opportunities were identified. This may be due, in part, to Jordan having high trading transaction costs. It is possible, however, that profitable trading opportunities related to Islamic holidays may exist in countries that follow stricter religious observance. The author believes that there is an opportunity to extend this research to countries such as Bahrain.

Thesis (MBA (Graduate School of Business))--University of Stellenbosch, 2010. / ENGLISH ABSTRACT: This present study investigates the directional link between stock market development and economic growth in Zambia for the period 2002-2009, using quarterly data. While there is numerous empirical research conducted on this topic, none of it constitutes an in-depth study of the causal relationship of stock market development and economic growth in Zambia. The investigation of the causal relationship is conducted by using two methods: the recent and better Toda and Yamamoto Causality Test, and the older and popular Granger causality test. As highlighted by recent studies, the results of the Toda and Yamamoto Causality Test approach are more reliable than those of the Granger Causality Test approach, and are therefore preferred for this study. The Granger Causality Test is employed in the study for comparison purposes with the new Toda and Yamamoto approach, as well as comparison with the only study done on Zambia on the topic. Results of the Toda and Yamamoto approach support the demand following hypothesis that economic growth causes stock market development. The Granger Causality Test results lend support to the Independent view that stock market development and economic growth are independent of each other. The Granger Causality Test results support the prior study done on Zambia using the same technique but based on panel data instead of time series data as is the case for the present study. However, as the Granger Causality Test approach inherently has a number of problems, its results are unreliable. Based on the result of the Toda Yamamoto approach, the study argues that the Zambian stock exchange could help promote further economic growth in the country and should therefore be integrated in the whole economic system. / AFRIKAANSE OPSOMMING: Hierdie studie ondersoek die ooreenkoms tussen aandeelmarkontwikkeling en ekonomiese groei in Zambia vir die periode 2002-2009 met die gebruik van kwartaallikse data. Die ondersoek om die verhouding te bepaal word deur twee metodes gedoen naamlik die onlangse en beter “Toda and Yamamoto” toets en die ouer en populêre “Granger” toets. Soos onlangs uitgewys is die uitslae van die “Toda and Yamamoto” toets meer akkuraat as die “Granger” toets en word derhalwe verkies vir hierdie studie. Die Granger toets word gebruik vir vergelykings met die “Toda and Yamamoto” benadering asook vergelyking met die enigste studie wat in Zambië gedoen is op hierdie vakgebied. Resultate van die Toda benadering ondersteun die stelling dat ekonomiese groei veroorsaak aandelemarkontwikkeling terwyl die Granger toets die siening dat markontwikkeling en ekonomiese groei onafhanklik van mekaar is ondersteun. Die Granger toets ondersteun die vorige studie op Zambië wat dieselfde metodiek gebruik het maar wat gebaseer is op “panel data” in plaas van tyd series data soos in die huidige studie. Die Granger studie het 'n aantal inherente probleme en die resultate is daarom onbetroubaar. Gebaseer op die Toda benadering word in die studie geargumenteer dat die Zambiese beurs verdere ekonomiese groei kan bevorder en behoort derhalwe geïntegreerd te word in die hele ekonomiese stelsel.

本論文共一冊，約五萬字，分為四，如下： 一、導論：探討以台灣證券市場為一單元的國際證券組合對國內外投資個人，與機構 有何特別涵意。 二、文獻探討：以兩個理論觀點去探討之，其一視國際資本市場為一區隔市場，另一 則認為此一市場為整合市場，且整合趨勢愈來愈明顯。 三、研究方法：（一）從整合模式上去探討台灣證券市場的報酬率與世界資本市場報 酬率的相關性，以試圖驗證「整合論」。 （二） a•從區隔觀點，去分析台灣股價報酬率與世界其它十四個國家的關係。 b•進一步分析是否可用產業而增加此一關係變數的解釋能力。 四、研究結果：根據預測： （一）整合模式之驗證將不明顯。 （二）區隔測試應該顯示出我國股市與美國、日本的相關性為最大。 香港以應名列前矛。這主要是依據我國經貿關係之密切程度而作的推論。

無 / This paper investigates the long term performance of Taiwan stock market from 1967 to 2008. We obtain the total return of Taiwan Stock Exchange Capitalization Weighted Stock Index (“TAIEX”) by adjusting cash dividends. Prior to Dec 31st, 2008, the adjusted TAIEX (AdTAIEX) become 16,088.49 is 3.5 times than 4591.23, the TAIEX it reach. Based on annualized rate of return, AdTAIEX has 13.069% greater than 9.743% of TAIEX. Investors not only care about the rate of return of their portfolio, but the real purchasing power they have. Based on correction of inflation, AdTAIEX only has 8.25% annually, with 4.819% erosion by inflation. TAIEX only has 5.07% annually, with 4.673% erosion by inflation. Also, we create a timing strategy according to the varying of past variance that may help “buy and hold”strategy.

Syftet med studien är att undersöka huruvida det är möjligt att generera högre avkastning genom fundamental analys med fokus på värdeinvestering och Joseph Piotroskis modell (2000) Fundamental Signal Score (F-SCORE). Modellen testas på den svenska aktiemarknaden under perioden 2007-2015. Genom att skapa 27 fiktiva portföljer, beräkna årlig avkastning och jämföra dem mot marknadsindexet SIXRX utvärderas modellens möjligheter att skapa marknadsjusterad avkastning på den svenska aktiemarknaden. Vidare undersöks modellens statistiska samband med avkastning samt kvoten mellan bokfört värde och marknadsvärde (B/M). Studien visar att H_F-portföljen bestående av företag med höga F-SCORES (7-9) gav upphov till bättre marknadsjusterad avkastning än både HBM-portföljen, bestående av företag med höga B/M-tal samt L_F-portföljen med F-SCORES mellan 0-3. Resultatet indikerar att det är möjligt att hitta undervärderade tillgångar och slå marknaden fem av nio gånger genom tillämpning av F-SCORE på den svenska aktiemarknaden. Detta innebär att den effektiva marknadshypotesen (EMH) inte är lika effektiv som teorin antyder. / The aim of this paper is to examine whether it is possible to generate higher returns through the use of fundamental analysis with focus on value investing and Joseph Piotroski’s (2000) model called Fundamental Signal Score (F-SCORE). The model is tested on the Swedish Stock Market during the period 2007-2015. By forming 27 fictive portfolios, calculating yearly returns and comparing them to the SIXRX benchmark, the model’s possibility to generate market-adjusted returns on the Swedish Stock Market is evaluated. Furthermore, the model’s correlation with the returns and book-to-market ratio (B/M) are tested statistically. The study shows that the H_F-portfolio consisting of companies with high F-SCORES (7-9) gave rise to better market-adjusted returns than both the HBM-portfolio, consisting of companies with high book-to-market ratios, and the L_F-portfolio with F-SCORES between 0-3. The results indicate that it is possible to find undervalued assets and beat the market five out of nine times by using the F-SCORE on the Swedish Stock Market. Therefore, the efficient market hypothesis (EMH) is not as efficient as the theory applies.

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.

Studier om oljepriser och finansiella marknader är relativt få i jämförelse med de studier som finns om förhållandet mellan oljepriser och makroekonomiska variabler. Olja betraktas som en av de viktigaste produktionsfaktorerna, vilket innebär att förändringar i oljepriser påverkar företags kostnader och därmed aktiemarknaden. Att studera förhållandet mellan oljepris och aktiemarknader är av vikt för ett flertal intressenter, bland annat investerare, banker ochportföljförvaltare. Investerare får till exempel svårigheter att maximera aktieavkastning om de inte förstår sambandet mellan oljepris och finansiella marknader. I studien analyserades förhållandet mellan oljepris och den svenska aktiemarknaden med koppling till ränta och växelkurs. Studien baserades på en kvantitativ undersökning med deduktiv ansats, utifrån data över tidsperioden 1991 till 2016. De statistiska tester som genomfördes var en korrelationsanalys, en bivariat och en multipel regressionsanalys. Resultaten visade att det finns ett positivt förhållande mellan oljepris och den svenskaaktiemarknaden. Vidare observerades ett negativt förhållande mellan ränta och den svenska aktiemarknaden och ett positivt förhållande mellan växelkurs och den svenska aktiemarknaden. Studiens första hypotes gällande de grundläggande variablerna förkastades eftersom det ursprungliga antagandet var att ett negativt förhållande skulle råda mellan oljepris och aktiemarknaden i Sverige. Däremot visade studien stöd för resterande två hypoteser. Studiens resultat är inte applicerbart på alla aktiemarknader utan kan begränsas tillbörser i oljeimporterande, utvecklade länder med liknande ekonomisk och politisk struktur som i Sverige. Vidare forskning inom området är nödvändig. Framtida studier bör inkludera fler variabler och ha större fokus på de bakomliggande orsakerna till förändringar i oljepris och deras eventuella koppling till aktiemarknader. Det kan även vara av värde att inkluderasocioekonomiska och politiska faktorer och undersöka oljeprisets effekt inom olika branscher och sektorer på aktiemarknaden. / Studies on oil prices and financial markets are relatively few in comparison to the studies on the relationship between oil prices and macroeconomic variables. Oil is considered to be one of the main production factors, which means that changes in oil prices affect corporate costs and thus the stock market. Studies of the relationship between oil price and stock markets areimportant for a number of stakeholders, including investors, banks and portfolio managers. For example, investors get difficulties in maximizing share returns if they do not understand the correlation between oil prices and financial markets.In the study, the relationship between oil prices and the Swedish stock market and its connection with interest rates and exchange rates was analyzed. The study was based on a quantitative survey with a deductive approach, with data over the period 1991 to 2016. The statistical tests conducted were a correlation analysis, a bivariate and a multiple regression analysis. The results showed that there is a positive relationship between oil prices and theSwedish stock market. Furthermore, a negative relationship between interest rates and the Swedish stock market was observed and also a positive relationship between the exchange rate and the Swedish stock market. The study's first hypothesis regarding the basic variables was rejected, since the original assumption was that a negative ratio would prevail between oil prices and the Swedish stock market. On the other hand, the study showed support for the remaining two hypotheses. The study's results are not applicable to all stock markets but can be limited to financial markets in oil importing, developed countries with similar economic and political structure as in Sweden. Further research in the field is necessary. Future studies should include more variables and focus more on the underlying causes of changes in oilprices and their possible links with stock markets. It may also be useful to include socioeconomic and political factors, as well as to investigate the effect of oil prices in different sectors in the stock market.

This work reviews the topic of international financial linkages, including theoretical definitions and the main methodological approaches of the empirical measurement based on vector autoregressive models. One of the approaches, the Spillover Index methodology based on Diebold & Yilmaz (2009), is then used to analyze the developments of financial linkages of the Japanese stock market in the period from 1995 to 2012. The attention is paid both to the relations with western developed economies and within the region of East Asia. The main contribution of this paper is the fact that it comprises a complete review of international relations of Japanese stock market during the era of unprecedented financial liberalization. The results of the empirical study confirm the opening of Japanese stock markets towards foreign influence. Even though USA have been the major driving force behind the movements in East Asian stock markets, Japan has become a significant regional player, whose influence on East Asian countries has been growing. The developments in the Japanese stock market are on the other hand driven solely by the western developed countries, which further supports the view of Japan as the regional financial leader.

Denna studies huvudsakliga syfte var att analysera sambandet mellan den svenska aktiemarknaden och guldpriset. Guldet har en viktig roll i finansmarknaden samtidigt som området saknar forskning i Sverige. Genom detta skapades ett intresse att studera aktiemarknadens samband med guldpriset i Sverige. Forskning kring aktiemarknadens samband till guldpriset är splittrad på global nivå där resultaten både kan vara negativa, positiva och en del där inget samband existerar. Studiens underliggande syfte var att analysera sambandet mellan den svenska aktiemarknaden och ränta, tillväxt och valutakurs.Studien är begränsad till att analysera kvartalsvis data inom 23 år mellan 1995 och 2018 i Sverige. Uppgifterna har sedan analyserats i en korrelationsanalys och en multipel linjär regressionsanalys. Resultaten visar att det finns ett negativt samband mellan guldpriset och aktiemarknaden. Resultatet visar också att det finns ett negativt samband mellan ränta och aktiemarknad. Studiens resultat visar också att det finns ett positivt samband mellan tillväxt och aktiemarknad. Slutligen visar resultatet att det inte finns något signifikant samband mellan valutakurs och aktiemarknad. / The main aim of this study was to analyze the relationship between gold price and the swedish stock market. Since gold has a major role in financial systems, the interest arose because of the lack of research on the gold price relationship to the stock market in Sweden. That as well as divided view of if gold price relationship is negative, positive or not related to the stock market, has created the interest. The underlying aim of the study was to analyze therelationship between interest rate, economic growth and exchange rate with the dependent variable stock market.This study was limited by analyzing quarterly data in 23 years between 1995 and 2018 on the swedish market. Data was collected and analyzed in statistical programs named Apple Numbers and SPSS. Data was analyzed in a correlation analysis and a regression analysis. The result showed that there is a negative relation between gold price and stock market. The result also shows that there is a negative relation between between interest rate and stock market. It also shows that there is a positive relation between economic growth and stockmarket. Lastly the result shows that there is no significant relation between exchange rate and stock market.

1 Abstract In this thesis, we present an empirical analysis of integration between the Baltic and global stock markets during the period between 2000 and 2018. This research is spurred by the fact that all three Baltic countries displaying similar positive economic developments over the studied horizon. Using the theoretical and empirical findings from similar research papers, we ground our work for the analysis. Our methodology is based on three different models: DCC-GARCH, total and frequency connectedness, and the Engle-Granger cointegration test. Using these methods, we are able to determine both short- or long-term relationship dynamics. Based on the results from our empirical analysis we were not able to reject the null hypotheses, that the Baltic states have become more integrated between themselves and the global market. At best, our results would suggest a weak form of integration given that there were indeed some notable dynamic changes. Following these results, we provide insight on interdependencies between the Baltic states and their relationships with the global stock markets. Most notable dynamics are captured by the total connectedness measure, which indicates that the Baltic stock markets show a significantly increased connectedness with the global indices, during turbulent times in the...