Essays about: "Equity indices"

Showing result 11 - 15 of 78 essays containing the words Equity indices.

1. 11. A Non-linear Analysis of Cointegration in South-East Asian Equity Markets

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Massimiliano Severi; [2021]
   Keywords : Cointegration; South-East Asian stock markets; Time series comovements; Markov-switching models; Regime-shifting models;

   Abstract : This paper investigates the presence of cointegration among the main stock markets in South-East Asia, namely those of Hong Kong, Singapore, Malaysia and Thailand. Part 1 of the thesis studies the relationship using Markov-switching models, while Part 2 uses regime-shifting models with one structural break. READ MORE

3. 12. The Rise of Cryptocurrencies as an Investment Hedge. The Shift from Traditional Investment Hedges: Can Cryptocurrencies Replace Bonds as an Investment Hedge?

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Nichawan Thamrongsak; Mia Varis; [2021]
   Keywords : Cryptocurrency; Hedging; DCC-GARCH; US Treasury Yields; S P 500; MSCI World Index; Business and Economics;

   Abstract : This thesis uses a dynamic conditional correlation (DCC) model to investigate the correlation between major cryptocurrencies, US government bonds and the S&P 500 and MSCI World indices in order to establish the hedge, safe haven and diversifier properties of cryptocurrencies. While US Treasuries have exhibited negative correlation and hedging properties against equity risk for decades, recent extreme market conditions have caused investors to look for alternative asset classes for hedging. READ MORE

4. 13. A Wolf In Sheep's Clothing, A study about potential closet indexing in the Swedish equity mutual fund industry.

   University essay from

   Author : Philip Dufwa; Johan Johansson; [2020-08-20]
   Keywords : Active Share; Tracking error; Fund activity; Fees; Mutual funds; Closet indexing; Index hugging;

   Abstract : We measure the activity of Swedish domiciled equity mutual funds with Sweden as geographical investment universe, by calculating their active share with respect to major market indices like OMX30 GI and OMX Small Cap TR and retrieving tracking error and r-squared from Bloomberg. Afterwards we calculate the cost to investors by comparing the cost of investing in comparable explicit index funds and the cost of the closet indexers. READ MORE

5. 14. A Comparative Study on Green Mutual Equity Fund’s Financial Performance : International vs Domestic Fund Composition

   University essay from Umeå universitet/Företagsekonomi

   Author : Janusa Aiyadurai; Mathias Brenckert; [2020]
   Keywords : Risk-adjusted rate of return; mutual fund; performance; green investing; international diversification; Modern Portfolio Theory; Stewardship Theory; Home Bias Theory; Behavioral Finance; Sharpe Index; Jensen Index; Treynor Index;

   Abstract : In this thesis the relationship between regional composition and risk-adjusted performance is evaluated concerning Swedish issued green mutual equity funds. By using three different indices; Sharpe, Jensen and Treynor, a relationship has been able to establish. READ MORE

6. 15. Dependence Structures between Commodity Futures and Corresponding Producer Indices across Varying Market Conditions : A cross-quantilogram approach

   University essay from Linköpings universitet/Nationalekonomi

   Author : Elin Borg; Ilya Kits; [2020]
   Keywords : Commodity futures contracts; Commodity producer index; Cross-quantilogram; Dependence structures; Spillovers; Tail dependence;

   Abstract : This thesis examines the dependence structures between commodity futures and corresponding commodity producer equity indices in bearish, bullish and normal market conditions. We study commodity futures and producer indices in the energy, precious metals, gold and agriculture commodity markets using daily return data that ranges from 16 December 2005 to 28 June 2019. READ MORE