During several decades the stock market has been an area of interest forresearchers due to its complexity, noise, uncertainty and nonlinearity of thedata. Most of the studies regarding this area use a classical stochastics method,an example of this is ARIMA which is a standard approach for time seriesprediction. There is however another method for prediction of the stock marketthat is gaining traction in the recent years; Artificial Neural Network (ANN).This method has mostly been used in research on the American and Asian stockmarkets so far. Therefore, the purpose of this essay was to explore if ArtificialNeural Network could be used instead of ARIMA to predict the Swedish stockmarket (OMXS30). The study used data from the Swedish Stock Marketbetween 1991-07-09 to 2018-12-28 for the training of the ARIMA model anda forecast data that ranged between 2019-01-02 to 2019-04-26. The forecastdata of the ANN was composed of 80% of the data between 1991-07-09 to2019-04-26 and the evaluation data was composed of the remaining 20%. TheANN architecture had one input layer with chunks of 20 consecutive days asinput, followed by three Long Short-Term Memory (LSTM) hidden layers with128 neurons in each layer, followed by another hidden layer with RectifiedLinear Unit (ReLU) containing 32 neurons, followed by the output layercontaining 2 neurons with softmax activation. The results showed that theANN, with an accuracy of 0,9892, could be a successful method to forecast theSwedish stock market instead of ARIMA.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / Savings are vital in the functioning of any economy as the level of savings in an economy determines the resources available for investment. If firms plan to invest more than households save in an open economy, resources will have to be borrowed from overseas. Savings flow into the financial system and help provide funds for investment spending by firms. This study draws a comparison between the determinants of household discretionary savings in South Africa and China. This study as well investigates the effect of household savings on the stock market in South Africa and China. Empirical analysis was performed inorder to determine the relationship between household savings and various variables, and the effect of household savings on the stock market. Money and quasi money (M2) is the only significant variable and having a negative relationship with household savings in South Africa yet in China, inertia is present the lagged household saving rate is significant. In-order to figure out the impact of household savings on the stock market, we regressed household savings against stock market capitalization. The regression results revealed significance of the explanatory variable household saving in South Africa and insignificance in China. Household savings have an effect on the level of stock market capitalization in South Africa but not in China.

Thesis (M.M. (Finance & Investment))--University of the Witwatersrand, Faculty of Commerce, Law and Management, Graduate School of Business Administration, 2013. / The evidence put forward by Zhang (2010) indicates that algorithmic trading can potentially generate the momentum effect evident in empirical market research. In addition, upon analysis of the literature, it is apparent that algorithmic traders possess a comparative informational advantage relative to regular traders. Finally, the theoretical model proposed by Wang (1993), indicates that the informational differences between traders fundamentally influences the nature of asset prices, even generating serial return correlations. Thus, applied to the study, the theory holds that algorithmic trading would have a significant effect on security return dynamics, possibly even engendering the momentum effect. This paper tests such implications by proposing a theory to explain the momentum effect based on the hypothesis that algorithmic traders possess Innovative Information about a firm’s future performance. From this perspective, Innovative Information can be defined as the information derived from the ability to accumulate, differentiate, estimate, analyze and utilize colossal quantities of data by means of adept techniques, sophisticated platforms, capabilities and processing power. Accordingly, an algorithmic trader’s access to various complex computational techniques, infrastructure and processing power, together with the constraints to human information processing, allow them to make judgments that are superior to the judgments of other traders. This particular aspect of algorithmic trading remains, to the best of my knowledge, unexplored as an avenue or mechanism, through which algorithmic trading could possibly affect the momentum effect and thus market efficiency. Interestingly, by incorporating this information variable into a simplified representative agent model, we are able to produce return patterns consistent with the momentum effect in its entirety. The general thrust of our results, therefore, is that algorithmic trading can hypothetically generate the return anomaly known as the momentum effect. Our results give credence to the assumption that algorithmic trading is having a detrimental effect on stock market efficiency.

Thesis advisor: Mary Ann Glynn / Institutional Theory has responded to early criticism that actors are characterized as passive "cultural dopes" primarily through work on Institutional Entrepreneurship, which implicitly links actors' agency to institutional change or creation. In this dissertation, I decouple change from agency, examining how actors work to maintain existing institutional arrangements that have come under threat. Through inductive, qualitative analysis of the creation of the Securities Exchange Commission in 1934, focusing primarily on the legislative history, I ground my analysis in the speech events of the actors involved in stabilizing the securities markets as an institution after the Crash begun in 1929, identifying different forms of Institutional Guardianship aimed at preserving different aspects of the institution. I then generalize across actors to present an abstracted model of Institutional Guardianship. / Thesis (PhD) — Boston College, 2010. / Submitted to: Boston College. Carroll School of Management. / Discipline: Organization Studies.

Thesis advisor: Rosemarie Bodenheimer / In the aftermath of England&lsquo;s &ldquo;Railway Mania&ldquo; in the 1840s, it became commonplace to equate stock market speculation with gambling. Yet opinion had changed so dramatically by the end of the century that the <italic>Quarterly Review</italic> could confidently declare, &ldquo;Though speculation may lead to rashness and be censurable, <italic>it is not gambling</italic>.&ldquo; This project considers how and why the discourses of gambling and stock market speculation diverged over the second half of the nineteenth century, and the cultural and historical changes this shift encompasses. My inquiry begins with a brief history of the stock market and of gambling practices in nineteenth-century England, followed by a study of the representations of both spheres of activity in the periodical press from 1850 to 1900. Detailed discussions of three Victorian novels--<italic>Little Dorrit, Middlemarch</italic>, and <italic>The Way We Live Now</italic>--follow. Each of these novels figures the intersection between gambling and the stock market as the site for complex negotiations around changing perceptions of risk, value, and worth in Victorian society. In <italic>Little Dorrit</italic>, Charles Dickens explores issues of culpability and responsibility through the figure of the speculator, Merdle, and his surrogate, Arthur Clennam. By accepting the punishment that Merdle&lsquo;s suicide threatens to forestall, Arthur not only expiates the guilt he feels over his parents&lsquo; rapacious financial practices, he enables speculation to be domesticated and integrated back into the commercial realm. Whereas <italic>Little Dorrit</italic> provides some broad outlines of the &ldquo;speculation plot&ldquo; that gained currency in 1840s and 1850s, my discussion of <italic>Middlemarch</italic> takes a closer look at contemporary gambling rhetoric, particularly as it is employed by George Eliot to convey the general economic instability experienced during the nineteenth century. Finally, I consider Anthony Trollope&lsquo;s engagement with the nineteenth-century debate over limited liability in <italic>The Way We Live Now</italic>. In particular, I examine how Trollope modifies and reworks the conventional rhetoric associated with speculation, adapting it to the changing financial and cultural realities of the late nineteenth century. The resulting text reflects both the extent to which stock investment and speculation had been normalized in mainstream Victorian society and the social convulsions that this integration produced. In each case, I explore how the novel contributed to the acceptance of the stock market as a legitimate social institution in Victorian England, and the ways it betrayed continued ambivalence about both the stock market and its members. / Thesis (PhD) — Boston College, 2009. / Submitted to: Boston College. Graduate School of Arts and Sciences. / Discipline: English.

El presente trabajo tiene la finalidad de analizar las ventajas y desventajas de los sistemas de trading de alta frecuencia frente a los sistemas tradicionales de trading que en la actualidad operan en el mercado de valores internacional. Para desarrollar la investigación, se realizó un proceso de recopilación y cruce de información relacionada, a partir de los mismos se identificó si es o no ético el nivel de optimización en tiempo y recursos, la rentabilidad económica y la liquidez que aportan las operaciones del trading de alta frecuencia en comparación a los sistemas tradicionales de trading. El trading de alta frecuencia en determinados casos puede tener importantes consecuencias en el funcionamiento regular del mercado, pues supone la utilización de algoritmos logrando introducir en el mercado grandes volúmenes de órdenes en función de específicos parámetros de cotización en cuestión de milisegundos. Cabe recalcar que en la actualidad el trading de alta frecuencia carece de una regulación drástica que equilibre las condiciones de juego para todos los traders del mundo. Si bien es cierto, Perú no realiza operaciones de trading de alta frecuencia y es nuevo en este tema, el país cuenta con enormes posibilidades de incorporar dicho sistema; siempre y cuando mejore su liquidez, existan mayores emisores y proveedores de tecnología de punta e infraestructura, se amplíe la capacidad de banda ancha, entre otros aspectos. En ese sentido, si el Perú incorpora y desarrolla el trading de alta frecuencia tendría mayores y mejores posibilidades de lograr competitividad en el mercado de valores internacional. / The purpose of this report is analize the advantages and disadvantages of the high frequency trading process compared to the traditional trading which nowadays operate in the international stock market. To develop this research, a process of gathering and cross-checking related information was carried out, from which it was identified if is ethical or not the level of optimization in terms of time and resources, the economic profitability and the liquidity provided by the high frequency trading operations in contrast with the traditional trading systems. The high frequency trading in certain cases can have relevant consequences in the regular operation of the market, considering the use of algorithms managing to introduce in the market large volumes of orders based on specific quotation parameters in a blink of an eye. It should be noted that currently high-frequency trading lacks a drastic regulation that balances the playing conditions for all traders in the world. It is known, Peru does not carry out high frequency trading operations and is new at it, the country has a lot of possibilities of incorporating this system; provided that its liquidity improves, there are greater issuers and suppliers of innovative technology and infrastructure, broadband capacity is expanded, among other aspects. In that sense, if Peru incorporates and develops the high frequency trading, it would have greater and better chances of achieving competitiveness in the International Stock Market. / Trabajo de Suficiencia Profesional

This study examines the reactions of market makers and investors to large dividend increases to identify the motives for dividend increases. Uniquely, this study simultaneously tests the signaling and agency abatement motivations as explanations of the impact of dividend increases on stock prices and bid-ask spreads. The agency abatement hypothesis argues that increased dividends constrict management's future behavior, abating the agency problem with shareholders. The signaling hypothesis asserts that dividend increases signal that managers expect higher or more stable cash flows in the future. Mean stock price responses to dividend increase announcements during 1995 are examined over both short ( _1, 0) and long ( _1, 504) windows. Changes in bid-ask spreads are examined over a short ( _1, 0) window and an intermediate (81 day) period. This study partitions dividend increases into a sample motivated by agency abatement and a sample motivated by cash flow signaling. Further, this study examines the agency abatement and cash flow signaling explanations of relative bid-ask spread responses to announcements of dividend increases. Estimated generalized least squares models of market reactions to sampled events support the agency abatement hypothesis over the cash flow signaling hypothesis as a motive for large dividend increases as measured by Tobin's Q and changes in the distribution of cash flows.

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.

Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today’s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a simple, usable form. The primary use of the CAPM is to determine minimum required rates of return from investment in risky assets. The variable in the CAPM is called ‘beta’, a statistical measure of risk which has become familiar to all finance professionals. Over the past decade, beta has become the most widely recognised and applied measure of risk in the investment community. The model has been extensively tested in the developed capital markets, mainly in the United States of America. But the model has not been extensively tested in other developed and developing countries, often due to the size of the capital market and the lack of the data in these countries. This study attempts to fill this vacuum and tries to update the earlier tests done on the Stock Exchange of Singapore. On addition, a review of the validity of the CAPM over time, as proxied by the stationarity of the beta, is performed. Also, tests regarding heteroskedasticity and its implications have been undertaken. / Master of Commerce (Hons)

The purpose of this thesis is to investigate the relationship between the annualised volatility and correlation of G7 ten-year bond returns for the period July 1992 to June 1998 and the effects that such a relationship has on portfolio diversification. The stock market crash of 1987 and the growing importance of global equity markets has encouraged a plethora of research into the volatility and correlations between international equity markets. Despite this, very little attention has been paid to the transmission of currency-based bond returns across national boundaries. The findings in this thesis are important because evidence is provided that suggests the benefits of international bond diversification are limited. The evidence provided clearly indicates that because correlations amongst G7 currency-hedged bond returns are high, the relationship between bond volatility and correlation of returns has limited benefits for portfolio managers and traders. As a result, diversification may not significantly reduce portfolio risk. Even during periods of ongoing annualised volatility decreases, the correlation between most markets remains high. Unlike the volatility trends presented in this thesis, there appears to be no trend or consistency amongst the correlation of returns between G7 markets. / Master of Commerce (Hons)