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 15 of 15 for “"market crashes"”.
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Modelling long-term security returns
… risks in retirement planning. It models market crashes and two main financial instruments as independent components to simulate clients’ portfolios. Initially exploring single distributions on mutual funds such as Laplace and t distributions, the research finds limited success. Instead, a …
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Enhancements to the Markowitz mean-variance optimisation process of asset allocation
… much attention, no more so than after the world market crashes (i.e. October 1997) which highlighted the importance of risk management. Consequently there is a need to examine the current tools in current use to create our portfolios and to look at ways in which they could be improved. The …
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Essays on Behavioral Economics and the Utility of Gambling
… inference, this paper examines how stock market crashes affect future return beliefs using Safford et al. (2018) experimental data. Safford et al. (2018), find that experiencing a crash causes a significant difference in the overall belief distributions between individuals who experienced …
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Some Insurance Options on Stochastic Drawdowns
… used by investors to protect themselves from market crashes and significant financial losses. Thanks to its desired features, drawdowns can be a very useful tool in the marketplace, allowing investors to protect against the downside risks which commonly occur in the marketplace. Several …
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Herding behaviour in African stock markets: evidence from South Africa, Nigeria, Egypt & Kenya
… widespread, it can create asset bubbles or market crashes through panic-driven buying and selling. Consequently, comprehending how markets might react during periods of crisis becomes crucial for effectively hedging against artificially inflated asset prices. The objective of this paper is …
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Examining the presence of anchoring and adjustment in stock market investment decisions by Stefan Els.
With three major stock market crashes in less than two decades, understanding the forces at work in the modern stock market is more important than ever before. The anchoring and adjustment heuristic has often been described as one of the psychological forces influencing investment decisions but …
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Towards stable principles of collective intelligence under an environment-dependent framework
… of collective failure have been documented--from market crashes to the spread of false and harmful rumors. To reconcile these results, a major effort in the study of collective decision making has been focused on understanding the role of group composition and communication patterns in promoting …
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Nonlinear Markov switching analysis of economic and stock market dynamics for emerging market economies
… time, for a large and diverse group of emerging market economies to characterize the dynamics of their business and stock market cycles, the dynamic relationships between these cyclical interactions, and how different or similar the business cycles are among individual emerging market economies …
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The impact of political events on the kwacha: a focus on elections
… and changes in government. In emerging markets, political events can affect asset prices because of the impact they can have on foreign sentiment and investor confidence. Elections in particular can cause considerable uncertainty which can lead to herding behavior by investors, if …
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Essays on Corporate Finance Theory and Dynamic Games
… the optimal algorithmic disclosure in a lending market where lenders use a predictive algorithm to mitigate adverse selection. The predictive algorithm is unobservable to borrowers and uses a manipulable borrower feature as input. A regulator maximizes market efficiency by disclosing information …
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Alternative risk management: correlation and complexity
… Systems are characterised by events such as Market Crashes or Seizures, which are associated with periods of hypersynchronisation. In this Thesis, the Risk Characterisation and Reduction of Complex Systems is studied, using the Cross-Correlation matrix to condense the system complexity. The …
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The evolution and dynamics of stocks on the Johannesburg Securities Exchange and their implications for equity investment management
… chapter renders a brief overview of financial markets in general and the Johannesburg Securities Exchange (JSE) in particular. The second chapter employs the fractal analysis technique, a method for estimating the Hurst exponent, to examine the JSE indices. The results suggest that the JSE is …
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Contingent Capital: Valuation and Risk Implications Under Alternative Conversion Mechanisms
… and bail-outs and potential adverse effects on market dynamics. While allowing banks to leverage and gain a higher return on their equity capital during the upturns in financial markets, contingent capital provides an automatic mechanism to reduce debt and raise the loss bearing capital cushion …
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Three essays on commodity markets
… in agricultural commodity futures and cash markets. The first essay uses price discovery measures and intraday data to quantify the proportional contribution of nearby and deferred contracts in price discovery in the corn and live cattle futures markets. On average, nearby contracts reflect …