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 149 for “"market efficiency"”.
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Market Efficiency of African Stock Markets
… $54 billion in 2015. Investing on the stock markets is one of such investment opportunities. Stock markets in Africa have realised growth in market capitalization, membership, value and volume traded due to an increase in investments. This level of growth in African stock markets has raised …
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Testing Market Efficiency of MENA Equity Returns
… throughout the years after forming financial markets, the efficacies of these markets remain uncertain. To address this lacuna in the literature, this study explores the market efficiencies of the MENA financial markets by comparing and contrasting the impact of reforms on market efficiencies, …
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Essays On The Mathematics Of Market Efficiency
In 1970, Fama defined an efficient market as one where prices always 'fully reflect' available information, but so far a rigorous definition has been lacking. This thesis addresses this issue by providing a definition based on economic equilibria. Efficiency is then characterized in terms of …
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Three essays on mispricing and market efficiency
… studies the impact of indexing on stock price efficiency. Indexing has experienced substantial growth over the last two decades because it is an effective way of holding a diversified portfolio while minimizing trading costs and taxes. In this paper, we focus on one negative externality of …
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Cryptomarket analysis: optimal liquidation and market efficiency study
Esta tesis doctoral presenta una investigación profunda sobre la liquidación óptima de activos en criptomonedas y el análisis de la dinámica del mercado bajo la Hipótesis de Mercado Eficiente Débil (WEMH) en diversas criptomonedas. El primer artículo de la tesis se centra en la liquidación de …
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Three Essays on Market Efficiency and Limits to Arbitrage
… for low RSI stocks. We examine whether these market inefficiencies can be explained by arbitrage limitations, especially firms' idiosyncratic risk. Consistent with limits to arbitrage hypothesis, we document an abnormal return of -1.74% per month for high RSI stocks (>=95th percentile) with …
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Improving electricity market efficiency : from market monitoring to reserve allocation
… dissertation proposes new methods to improve the efficiency of electricity markets with respect to market monitoring and reserve allocation. We first present new approaches to monitor the level of competition in electricity markets, a critical task for helping the markets function smoothly. The …
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Testing adaptive market efficiency under the assumption of stochastic volatility
This dissertation explores the adaptive market hypothesis (AMH) first proposed by Lo (2004) which incorporates the efficient market hypothesis (EMH) of Malkiel and Fama (1970) and its behavioural exceptions. The AMH differs from the EMH, in that it assumes that the efficiency level of a market can …
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The Korean stock market: structure, behaviour and test of market efficiency
This thesis evaluates the Korean capital market internationalisation and examines the efficiency of the Korean stock market comprehensively. For this purpose this study is concentrated onthree main areas as follows. First, this thesis evaluates the capital market liberalisation by examining the …
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Testing adaptive market efficiency in the presence of non-Gaussian uncertainties
… debates in finance concerns the Efficient Market Hypothesis (EMH)—wherein markets are assumed to be efficient in the absolute sense. However, the possibility of time-varying weak-form market efficiency has received increasing attention in recent years. Under the Adaptive Market Hypothesis …
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A study of market efficiency in the period preceding earnings announcements
The Efficient Market Hypothesis, which has been one of the fundamental propositions of finance for over 30 years, implies that an investor, whether he is an amateur or a professional trader, cannot consistently beat the market. In this study, we examine if this theory holds in the period preceding …
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European betting market efficiency and the frequency of draws in association football
… to investigate and scrutinise the betting market efficiency of the top eleven leagues in Europe for eight respective seasons starting from the campaign of 2005-06 till the season of 2012-13. An analysis of the ‘1X2’ market and the ‘Over/Under 2.5 goals’ market, using the average odds, is …
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Active and passive assets, their returns and the role of market efficiency
… AUM and relative returns are linked, that being market efficiency, is tested. The study employs a Vector Error Correction Model and uses data on the United States market, where the rise of funds under passive investment management has been most notable, over the period 2000 – 2019. A test for a …
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The reaction of stock prices to dividend announcement and market efficiency in Namibia
… information that may be released into the market unexpectedly could cause a reaction in stock prices of firms trading on a stock exchange. This is especially true when such specific information is vital to the economy. When new information is released into the market, economic analysts …
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Essays on the impact of institutional investors on market efficiency and corporate policies
In this dissertation, I explore the determinants and implications of the preferences of institutional investors. First, I examine whether institutional investors' preference for local investments is related to informational advantage. Analyzing the equity holdings of a large sample of actively …
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Market Efficiency and Volatility Spillovers in the Amman Stock Exchange: A Sectoral Analysis
… investigates the weak-form of the Efficient Market Hypothesis (EMH) by examining the behaviour of equity returns in the Amman Stock Exchange (ASE). In particular, the 10 largest sectors in terms of market capitalisation and number of listed companies are considered. According to the weak-form …
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Stock market efficiency in developing countries: a case study of the Nairobi stock exchange.
This study extends evidence on the efficiency of stock markets in developing countries using data from the Nairobi Stock Exchange (NSE). Previous evidence from studies on stock markets in developing countries, and NSE in particular, is inconclusive. In many cases, the findings have not supported …
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