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.
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Showing 1 to 20 of 103 for “"Equity markets"”.
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Intermediation frictions in equity markets
Stocks with similar characteristics but different levels of ownership by financial institutions have returns and risk premia that comove very differently with shocks to the risk bearing capacity of financial intermediaries. After accounting for observable stock characteristics, excess returns on …
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International equity markets and market microstructure
If the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of daily rates of return.
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Comovements of Equity Markets in Emerging Economies
This paper studies the correlations between the equity markets of emerging economies, with a particular focus in the Latin American region. In particular, it offers a cross-regional comparison of the correlations and trends of correlations between the equity markets of the emerging countries in the …
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Statistical arbitrage in South African equity markets
… over historical data for the South African equity market from 2001 to 2013 through backtesting. In addition the strategy is evaluated over data generated from Monte Carlo simulations as well as bootstrapped historical data. The results show that the strategy was able to significantly …
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Value versus growth in the Asian equity markets
… little published research in the Asian markets. It is commonly believed that fundamental stock valuation and style analysis works only in developed markets like the United States and that more qualitative methods should be used in inefficient markets such as Asia (including developed …
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The disposition effect in South African Equity markets
… This behaviour has been observed in financial markets across the world and across all investor classes, albeit to varying degrees. Such trading behaviour has been found not to be profit or utility maximising. I n the absence of rational motives for the disposition effect, it is concluded as …
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Integration, growth and contagion in African equity markets
… liberalised their capital accounts and opened equity markets to foreign investment. The motivation behind these liberalisations was to obtain the promised benefits of increased liquidity and market participation. In the same decade, however, African markets witnessed their more mature emerging …
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The blockchain revolution : new opportunities in equity markets
… technology has the potential to transform equity markets by offering valuable opportunities to create new products to overcome existing inefficiencies and frictions. The blockchain was first introduced as the technology behind the bitcoin cryptocurrency, and is a trustless, decentralized …
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Shipping and the U.S. equity markets : tanker stocks
Thesis (S.M.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2002.
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Institutional segmentation of equity markets: causes and consequences
… three implications of segmentation for the equity market. First, a mass exodus of publicly listed stocks predicted to fall outside institutions' investable universe helps explain the listing puzzle. There has been no comparable exit by institutionally investable stocks. Second, institutional …
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Transition equity markets of Central Europe: volatility, predictability, integration
… thesis is to add evidence from the transition equity markets of Central Europe to the econometric modelling of financial time series by addressing the issues of volatility, predictability and international asset pricing in these markets. In Chapter Two we start from an overview of the …
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Linkages between U.S Cross-border Portfolio Equity Flows and Equity Markets
There is an ongoing debate over the role that equity markets play in determining and influencing international equity flows. The first chapter of this dissertation describes the large portfolio equity flows into China and India, in order to understand the buying behavior of US investors. The rapid …
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The puzzle of long swings in equity markets: Which way forward?
… dataset based on Bloomberg News' end-of-the-day equity market wrap stories. The textual data provides unambiguous support for IKE models over the bubble models. They indicate that fundamental factors are the primary driver of price fluctuations and that this relation changes at times and in ways …
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Connectedness of the African Equity Markets: A Time-Frequency Spillover Analysis
… across the five largest and oldest African equity markets, namely: South Africa, Morocco, Egypt, Nigeria and Tunisia. The time-domain approach of Diebold and Yilmaz (2012) and the frequency-domain approach of Barunik and Khrehlik (2018) are employed to measure the spillovers empirically, in …
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Multi-Factor Dynamic Modelling and Forecasting of Interest Rates and Equity Markets
… both independently and in conjunction with equity markets. The first empirical investigation is motivated by the recent call for richer specifications following the global financial crisis of 2007-2009. In that regard, several existing multi-factor continuous-time models are extended to four …
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Essays on Nature-Related Risk Premia in Equity Markets [before doctoral defense]
… and cannot be diversified away within an equity portfolio. Regulators have started to responded to this problem. For example, the EU Sustainable Finance Disclosure Regu-lation (SFDR) mandates disclosure of biodiversity-related Principal Adverse Impact (PAI) indicators, the Corpo-rate …
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The economic value of the sell-side analyst in UK equity markets
… economic value of the sellside analyst in the UK equity markets. Fundamental to the sell-side analyst's economic value is the concept of market efficiency. If markets are fully efficient in the absence of the analyst then his/her investment recommendations and earnings forecast revisions would not …
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