Essays about: "Co-integration"

Showing result 11 - 15 of 37 essays containing the word Co-integration.

1. 11. Key Economic Sector Nexus and their Granger Causality with Electricity in Tanzania

   University essay from Göteborgs universitet/Graduate School

   Author : Emmanuel Ngereja; [2016-10-05]
   Keywords : multivariate; Augmented Dickey Fuller; Autoregressive Distributive Lag; Tanzania; Vector Error Correction Model; Vector Autoregressive; energy dependency;

   Abstract : This thesis uses annual data from 1970 - 2014 to investigate Granger causality between electricity production and key growth contributors in Tanzania. The multivariate analysis is done using Autoregressive Distributed Lag (ARDL) to check for co-integration; the Vector Error Correction (VEC) and Vector Autoregressive (VAR) models are employed for co-integrated and non-co-integrated variables respectively. READ MORE

3. 12. Preference Shares – A lead lag analysis of the Swedish real estate sector

   University essay from KTH/Nationalekonomi

   Author : OSKAR HELLQVIST; ANTON SANDVALL; [2016]
   Keywords : Preference shares; Common shares; causalities; co-integration; market efficiency; VAR; Vector;

   Abstract : Several researchers have over the past decades criticised the efficient market hypothesis as several studies have presented evidence of causality and co-integrating relationships in  inancial markets. As preference shares have become increasingly popular, in recent years, as a mean of raising capital in the Swedish real estate sector, this study investigates the causal relationships between common shares and their corresponding preference share of nine listed Swedish real estate companies. READ MORE

4. 13. What is driving house prices in Stockholm?

   University essay from Stockholms universitet/Nationalekonomiska institutionen

   Author : Josefin Ångman; [2016]
   Keywords : House prices; Vector error correction; Error correction; co-integration; overvaluation; long run equilibrium;

   Abstract : An increased mortgage cap was introduced in 2010, and as of May 1st 2016 an amortization requirement was introduced in an attempt to slow down house price development in Sweden. Fluctuations in the house prices can significantly influence macroeconomic stability, and with house prices in Stockholm rising even more rapidly than Sweden as a whole makes the understanding of Stockholm’s dynamics very important, especially for policy implications. READ MORE

5. 14. A new approach to Pairs Trading : Using fundamental data to find optimal portfolios

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Erik Jakobsson; [2015]
   Keywords : Pairs Trading; Co-integration; Stock market;

   Abstract : Since its’ invention at Morgan Stanley in 1987 pairs trading has grown to be one of the most common and most researched strategies for market neutral returns. The strategy identifies stocks, or other financial securities, that historically has co-moved and forms a trading pair. READ MORE

6. 15. Macroeconomic and Stock Market Relationships in Sweden During 2000 to 2015

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Niklas Ljungstedt; [2015]
   Keywords : OMXS30; Co-integration analysis; Macroeconomic relationships; Business and Economics;

   Abstract : This thesis investigates the macroeconomic and stock market relationship in Sweden during 2000 – 2015, focusing on the Swedish stock index OMXS30 and the influence from foreign and domestic macroeconomic variables. The analysis covers long-term relationships, causalities and the influence on OMXS30 from short-term shocks in the selected macroeconomic variables. READ MORE