Background Synergies or rather the absence of synergies has been blamed for many failures in regards to mergers and acquisitions. Still, there are companies using mergers and acquisitions as a natural part of their growth strategy, indicating that these organizations manage to handle synergies efficiently. Purpose The purpose of this study is to analyze synergies in regards to mergers and acquisitions in technical trading companies to learn about success factors. Method Because of synergies’ complexity this study has used a qualitative approach. The empirical findings have been compiled by semi-conducted interviews with company representatives from the organizations regarded in the study. Conclusion The conclusion points at several success factors in regards to synergies and mergers and acquisitions. However, the three most important were found to be; the entrepreneurship and human capital, the corporate head’s knowledge, the experience and selection capability and the inclusion of acquisitions (developed from the urge for growth) in their business models.

這篇文章主要是利用三種交易系統測試 2003 年台灣股價加權指數期 貨的日內資料:移動平均穿越法、賽塔支撐壓力策略、K-D 隨機指標。 站在當沖者的觀點測試歷史資料的表現，並分別建立停損與停利點控 制交易中所發生的損失與利得。研究結果發現，在調整交易成本後， 順勢系統的表現的確可以獲得顯著的利潤且多頭的利潤多於空頭；而 逆勢系統則無法獲得顯著的利潤。 / This paper tests three kinds of trading strategies: two of them are momentum strategies－MA, Support and Resistance and the other is contrarian strategy － Stochastic Indicator by utilizing the futures contracts on Taiwan Stock Exchange Capitalization Weighted Stock Index in 2003. We test their historical performances of these three strategies in view of the day traders who must close out their positions before the closing in every single trading day. In addition, we combine each of these rules with the so called stop-loss-point and take-profit-point to control our gains and loss on the positions. For the momentum strategies, the results suggest that the returns following buy signals are higher than following sell signals. For contrarian strategy, there is no evidence that the returns are positive across all rules. In sum, our results reveal that it still has the possible to gain significant profits in the futures market for the day traders, even after adjusting the transaction costs.

In this research, we review the relevant literatures to discuss the predictability of foreign exchange rates. Besides, we collect literatures to examine the development of the fundamental models, market models, technical analysis and trading rules and compare and evaluate the precision of these models. Moreover, we make a case study of a global leading investment bank to discuss how to use these models in practice. The result shows that fundamental models can help to establish the long-term equilibrium but have some shortcomings and thus we could adopt market models to resolve the shortages and the technical analyses and rules to set the exact price levels for trading purposes.

This thesis consists of three chapters and focuses on the relationship between foreign exchange rates and other areas of Finance. The first chapter is sole-authored and is titled `Foreign Exchange Rate Exposure and Corporate Policies.' The second chapter is coauthored work with Professor Emeritus Paul Weller, Assistant Vice President Chris Neely and Professor David Rapach and is titled `Can Risk Explain the Profitability of Technical Trading in Currency Markets.' The third chapter is titled `Foreign Exchange Movements and Cross-country Fund Allocation Decisions.' In the first chapter, I examine the relationship between foreign exchange rate exposure and corporate policies. Despite the fact that empirical tests estimate foreign exchange rate exposure net of corporate hedging, there are still firms that exhibit significant residual exposures. It is believed that when faced with higher foreign exchange rate exposure, companies are more likely to run into an underinvestment problem. Therefore, in the current study I explore whether foreign exchange rate exposure is reflected in corporate policies beyond hedging. I establish that companies with higher foreign exchange rate exposure tend to hold more cash, have a higher likelihood of accessing capital markets and are less likely to issue dividends. Further, the relationship between foreign exchange rate exposure and these corporate policies is more pronounced for firms for which the underinvestment problem is likely to be more severe, namely firms with higher growth opportunities and firms operating in more competitive industries. Additionally, I find that half of the significant foreign exchange rate exposures in my sample come from firms with only domestic sales. Thus, I believe that foreign exchange rate exposure is relevant not only to the decisions of multinational corporations with international involvement and deserves additional investigation. The second chapter examines the robust finding that technical trading rules applied to foreign exchange markets have earned substantial excess returns over long periods of time. However, the approach to risk adjustment has typically been rather cursory, and has tended to focus on the CAPM. We examine the returns to a set of dynamic trading rules and look at the explanatory power of a wide range of models: CAPM, quadratic CAPM, C-CAPM, Carhart's 4-factor model, an extended C-CAPM with durable consumption, Lustig-Verdelhan (LV) factors, volatility and skewness. Although skewness has some modest explanatory power for the observed excess returns, no model can plausibly account for the very strong evidence in favor of the profitability of technical analysis in the foreign exchange market. We conclude that these findings strengthen the case for considering models incorporating cognitive bias and the processes of learning and adaptation, as exemplified in the Adaptive Markets Hypothesis. The third chapter is motivated by the fact that success of investment in international equity markets is a function of the stock picking ability of the manager within the particular foreign market as well as the (un)favorable foreign exchange rate movements against the domestic currency. Therefore, the objective of this paper is to study in more detail the relationship between currency returns and the cross country equity flows of U.S. international equity mutual funds. We are interested whether mutual funds are able to take advantage of beneficial currency movements and more importantly whether they destroy value through inappropriate currency positions. We establish that funds are better at managing contemporaneous changes in currency movements rather than at predicting future changes. We find that 80% of the funds increase their portfolio exposure to a particular currency (by increasing the relevant country allocation) when it has positive returns and decrease the exposure to that currency when it has negative returns. Further, the average fund does not create or destroy significant value through its country allocation decisions. Moreover, mutual fund managers do not have an advantage in predicting certain currencies over others. Most importantly however, it has to be noted that international mutual funds are not eroding value through their currency management even in the case of the most active funds.

In the last few years, it has been proved that the movements of financial asset have the property of non-linearity and show some tendency within a given period. Increasing evidence that technical trading rules can detect non-linearity in financial time series has renewed interest in technical analysis. This study evaluates the market timing ability of the moving average trading rules in twelve equity markets in the developed markets and the emerging markets from January 1990 through Match 2002. We use traditional test, bootstrap p-value test, Cumby-Modest¡¦s market timing ability test and simulation stock trade to evaluate market timing ability. The overall results indicate that the moving average trading rules have predictive ability with respect to market indices in the Asia emerging stock markets. These findings may provide investors with important asset allocation information.

Over a long period of time, researchers have investigated the efficiency of financial markets. The widely accepted theory of the subject is the Efficient Market Hypothesis, which states that prices of financial assets are set efficiently. A common way to test this hypothesis is to analyze the returns generated by technical trading rules which uses historical prices in an attempt to predict future price development. This is also what this study aims to do. Using adjusted daily closing prices ranging over 2007 to 2019 for 5120 stocks listed on the U.S stock market, this study tests a momentum trading strategy called the stochastic oscillator in an attempt to beat a buy and hold strategy of the Russel 3000 stock market index. The stochastic oscillator is constructed in three different ways, the Fast%K, the Fast%D and the Slow%D, the difference being that a smoothing parameter is used in the Fast%D and Slow%D in an attempt to reduce the number of whiplashes or false trading signals. The mean returns of the technical trading strategies are tested against the mean returns of the buy and hold strategy using a non-parametric bootstrap methodology and also, the risk adjusted returns in terms of Sharpe Ratios are compared for the different strategies. The results find no significance difference between the mean returns of the buy and hold strategy and any of the technical trading strategies. Further, the buy and hold strategy delivers a higher risk adjusted return compared to the technical trading strategies, although, only by a small margin. Regarding the smoothing parameter applied to the strategies, it seems to fulfill its purpose by reducing the number of trades and slightly increasing the mean returns of the technical trading strategies. Finally, for deeper insight in the subject, a reading of "The efficiency of financial markets: A dual momentum trading strategy on the Swedish stock market" by Netzén Örn (2018) is recommended.

Thesis (MBA (Business Management))--University of Stellenbosch, 2009. / ENGLISH ABSTRACT: The purpose of this report is to investigate whether the returns of five different trading systems applied is able to outperform the return of a Buy & Hold (B&H) strategy when applied to the Johannesburg Stock Exchange/Financial Times Stock Exchange (JSE/FTSE) Top 40 Index future contract (ALSI). The study starts with an overview of theoretical and empirical studies regarding technical trading systems as well as the application of these technical trading systems in various strategy formats. Five common trading systems were selected for the test. They include the Volatility Channel, the Bollinger Channel Breakout, the Donchian Channel, the Dual Moving Average and the Triple Moving Average systems. The trading systems were applied in three different types of strategies. In the first test the systems were employed using randomly selected parameters to generate trading signals. In the second test the systems were optimised to select the parameters that would yield the most profitable returns over the test period. Finally in the third test a stop loss was added to the systems to investigate whether it would improve returns. In virtually all tests the systems outperformed the B&H approach. This was primarily due to the collapse of world financial markets in 2008 that caused the systems, which are all trend following by nature, to generate large returns. If it had not been for this event, the trend-following systems would all have underperformed the total return generated by the B&H strategy over the duration of the test period. The tests revealed that the selection of the parameters that generate the trade signals for the trading systems can drastically influence the profitability of a trading system. Furthermore the implementation of stop-loss strategies does not necessarily improve the return or drawdown that a system displays, as several of the systems were negatively influenced by the implementation of the stop-loss strategy. / AFRIKAANSE OPSOMMING: Die doel van hierdie verslag is om te ondersoek of die opbrengs van vyf verskillende verhandelingstelsels die opbrengs van die Koop-en-Hou-strategie kan klop soos toegepas op die JSE/FTSE Top 40 Indeks termynkontrak (ALSI). Die studie begin met ’n oorsig oor teoretiese en empiriese studies oor tegniese verhandelingstelsels, asook die toepassing van hierdie tegniese stelsels in verskeie strategiese formate. Vyf algemene verhandelingstelsels is gekies vir die ondersoek, naamlik die Volatiliteitskanaal (Volatility Channel), die Bollinger Kanaal Uitbreek (Bollinger Channel Breakout), die Donchian Kanaal (Donchian Channel), die Tweeledige Bewegende Gemiddelde (Dual Moving Average) en die Drieledige Bewegende Gemiddelde (Triple Moving Average). Die stelsels is op drie verskillende tipes stategieë toegepas. In die eerste toets was die stelsels geïmplementeer deur lukraak gekose parameters te gebruik om verhandelingseine voort te bring. In die tweede toets was die stelsels geoptimaliseer deur die parameters te kies wat die mees winsgewende opbrengs oor die toetsperiode sou voortbring. In die derde toets was ’n staakverlies (stop loss) geïmplementeer om te ondersoek of dit die opbrengs sou verbeter. Feitlik al die toetse het getoon dat die verhandelingstelsels die Koop-en-Hou-benadering geklop het. Aangesien al die stelsels die algemene tendens in die mark volg, het hulle hoë opbrengste getoon hoofsaaklik as gevolg van die beermark wat die wêreld se finansiële markte in 2008 gekenmerk het. As hierdie gebeurtenis nie plaasgevind het nie, sou hierdie stelsels swakker gevaar het as die Koop-en-Hou-strategie gedurende die tydperk van die toetsperiode. Die toetse het aangedui dat die keuse van die parameters wat verhandelingseine vir die stelsels gegenereer het, die winsgewendheid van ’n verhandelingstelsel drasties kan beïnvloed. Die implementering van ’n staakverlies- (stop-loss) strategie verbeter nie noodwendig die opbrengs van ’n stelsel nie, aangesien verskeie stelsels negatief beïnvloed was deur die staakverlies-strategie.

在使用White的真實性檢定和Stepwise Multiple Test消除資料勘誤的問題之後，有些技術分析確實可以擊敗大盤，在1989到2008，DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX這五個指數中。但是在較不成熟的市場或較過去的時間內，我沒辦法找到任何強烈的關係在這些市場與超額報酬間。還有學習策略通常沒辦法獲得比簡單策略更好的表現，代表使用過去最好的策略來預測未來並不是個好主意。我同時還發現在熊市比穩定的牛市更有可能擊敗買進持有的策略。 / In five indices, DJIA, NASDAQ, S&P 500, NIKKEI 225, TAIEX, from 1989 to 2008, some technical trading rules indeed can defeat the broad market even after using the White reality check and stepwise multiple test to solve the data snooping problem. But in the markets like less mature ones or the one which was in the older period, I can’t find a strong relation between these markets and the excess return in my research. And the learning strategy usually can’t have a better performance than the simple one, means applying the rule which had a best record to forecast the future may not be a good idea. I also found that it is more likely to beat the buy and hold strategy when there is a bear market but not a steady bull market.

The price of stocks, futures, commodities and currency are for ever changing. Anyone interested in financial prices soon discovers that changes in prices are frequently substantial and are always difficult to forecast. This paper describes the behavior of prices from a statistical perspective. Specifically, employ several technical trading rules to uncover the trend of futures price movement and attempt to make profit out of the trend. In this paper, trading of seven technical trading systems is simulated for three futures contracts from September 1998 to March 2005 to test for market disequilibrium. The results differ by trading systems. Four systems produced positive mean net returns and five systems produced positive gross return when optimal parameters were used. These results indicate that, there exist opportunities to design profitable trading systems for futures markets.

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.