Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 20 of 25 for “"Efficient Markets"”.
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The impact of monetary disturbances on stock prices
… lack of significance in the expected variable coefficients. This is consistent with the rational expectations (efficient markets) theory that only unexpected changes will have an effect on stock prices. Further evidence is that generally only contemporaneous unexpected money growth is strongly …
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Testing for the Johannesburg stock exchange as an efficient market : contrarian investment strategies and mean reversion on the JSE
… in this dissertation is to test the JSE as an efficient market. The statistical tests will be undertaken with the aim of observing trends in returns to investments on the JSE, whilst investment strategies that are based on assumptions contrary to those of the EMH will be created and their …
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Forecasting Short-Term Stock Returns Using Irregular Pricing Behavior in the Options Market
… underlying. An economic analyis of the options markets' micro-structure is discussed to establish the intuition and the basis behind the relationship. Four seperate models are developed to examine its statistical significance and the ability of options' prices to accurately forecast returns on …
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Performance and performance persistance in South African General Equity unit trusts, a test of South African market efficiency
… due to its inherent implications for the Efficient Markets Hypothesis (EMH). This study employs South African data based on a sample of 35 General Equity unit trusts over the six year period 1st January 1998 to 31 st December 2003. This study discusses both the EMH as well as factors that …
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Essays on international parity conditions
… assumed that exchange rates are determined in efficient markets, an analysis of international parity conditions may help us comment on the efficient markets hypothesis. We define efficiency according to Fama (1970), Where the market is said to be efficient if prices 'fully reflect' all …
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The Effect of 2004 8-K Expansion on Information Asymmetry Among Investors
… field among investors and to maintain fair and efficient markets.</p>
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Impact of investors' mood on European stock markets
… investigates into relationship of mood and stock markets. As proxies for mood we selected Daylight Savings Time changes, Lunar cycles and football results. Any abnormal returns on related days would present a challenge for Efficient Markets Hypothesis. We examine stock returns on corresponding …
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Essays on insurance markets
… chapters on adverse-selection type insurance markets. Chapter 1 develops a model for analyzing non-exclusive insurance markets. It establishes that the "screening" considerations of models following Rothschild and Stiglitz (1976)-long applied for analysis of exclusive-contract insurance …
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An empirical evaluation of the capital asset pricing model in South Africa
… used successfully in testing overseas security markets. An extension to the usual methodology is made by comparing the results obtained using a I published market-index with those obtained using an internally generated index. The historical development and the derivation of the CAPM is discussed …
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Does Pairs trading work on the Johannesburg Stock Exchange?
… which is a direct contradiction of the Efficient Markets Hypothesis (even in its weak form). This study tested Pairs trading on both an unrestricted (any two shares can be paired), as well as a sector-restricted (only pairs within the RESI and the FINDI sectors could be paired), sample …
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The cover story effect : investors’ reactions to cover stories and the impact on share price
… of investment finance are rational behaviour and efficient markets. Both of these concepts were explored to understand why a cover story would have an impact on a company share price. Causal research was conducted to analyse the correlation between a magazine cover story and the featured company’s …
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Finance matters in the Japanese real estate market : interaction between finance and real estate ownership
Finance does not matter in perfect and efficient markets. Based on neoclassical economics, financial capital is always perfectly priced, and all investments are completely valued in frictionless markets. In the real world, however, finance does matter, especially in the real estate market, which is …
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Two essays on the predictability of asset prices: "Benchmarking problems and long horizon abnormal returns" and, "Low R square in the cross section of expected returns"
… These findings are difficult to reconcile in an efficient markets world. I examine the seriousness of potential benchmarking errors on the measurement of abnormal returns. I find that the simpler, more parsimonious models perform better in practice and finds that excess performance is not …
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Investigate and Analyze the Impact of Electronification in Fixed Income Bond Markets and Equity Stock Markets via ARIES Framework
… increase and evolve within and across financial markets globally. This growth is primarily driven by market participants searching for greater transparencies, operational efficiencies, and regulatory compliant trading solutions. Following tremendous growth in the equities domain electronic …
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An econometric model of the world shipping markets
… econometric model of the world shipping markets. The model distinguishes between dry cargo and tankers and also between the a) freight market, b) second hand market for ships, C) shipbuilding market, d) scrap market. Chapters 1,2 of the thesis examine the history of shipping in the last …
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The racetrack : a scientific approach
… market is examined within the framework of the efficient markets hypothesis. Tests of the three well known forms of efficiency are performed. In chapter four, within the framework of the expected utility hypothesis, the behaviour of gamblers is analysed. The investigation concentrates on …
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Barriers to selling livestock in the face of drought in the Omusati Region of North Central Namibia
… lack of institutional support and lack of efficient markets hinder livestock sales. The study suggests that the imminent impact of climate change coupled with the reluctance to sell livestock will threaten food security in the future. The study argues that rural livelihood diversification …
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The Black-Scholes model and the pricing of stock options in South Africa
… Model, the Theory of Capital Structure, and the Efficient Markets Hypothesis, form one of the pillars of modem finance theory. Central to OPT is the Black-Scholes model, the first option pricing model derived within a general equilibrium framework, and therefore consistent with all arbitrage …
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The use and usefulness of managed fund ratings in Australia
… portfolio theory and specifically within the efficient markets paradigm, the value of such information is questionable. No profitable relationship should be able to be demonstrated between a fund rating and its subsequent performance. This thesis investigates the relationship between fund …
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Socio-economic efficacy of Mahila Bazaar
… and abuse in other mixed-gender vendor markets of the city. Male vendors and public officials often cause this harassment. Besides, these markets lack infrastructural facilities such as lack of toilets or access to healthy meals and potable water. These issues add to that abuse making it …
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