Essays about: "weak form market efficiency"

Showing result 21 - 25 of 33 essays containing the words weak form market efficiency.

1. 21. Efficiency in the Nord Pool Electricity Exchange

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Ola Skånberg; [2012]
   Keywords : Stationarity; Efficient market hypothesis; Arbitrage; Business and Economics;

   Abstract : In recent years criticism of the electricity market has been emerging. Some claim that for Sweden, the deregulation of the power market in 1996 (and consequently Sweden’s involvement in Nord Pool) has been a driving factor of rising electricity prices and a non-efficient market for electricity. READ MORE

3. 22. Hitting a BRIC Wall : MIST countries becoming the new BRICs?

   University essay from Institutionen för samhällsvetenskaper

   Author : Emre Yilmaz; Shakir Husain; [2012]
   Keywords : Efficient Market Hypothesis; The Random Walk Theory; Portfolio Theory; Capital Asset Pricing Model CAPM ; BRIC; Next 11; MIST; Risk; Return; Growth.;

   Abstract : The purpose of this study is to examine a completely new phenomenon called the MIST, by two portfolios: the Goldman Sachs Next 11 equity fund, and the Goldman Sachs BRIC fund, in order to establish whether or not the MIST countries are a better investment decision in terms of risk, return and growth. Furthermore, the study examines in which form these emerging markets lies in terms of market efficiency, and if the random walk theory is present. READ MORE

4. 23. Currency Future Efficiency : Do Currency Futures Predict Future Spot Exchange Rates?

   University essay from Handelshögskolan vid Umeå universitet

   Author : Henrik Mattsson; Jonas Vikström; [2011]
   Keywords : Exchange Rates; Currency Futures; Efficiency; Efficient Market Hypothesis; Random Walk; Arbitrage; Interest Rate Parity; augmented Dickey-Fuller test and Phillips-Ouliaris cointegration test;

   Abstract : This paper has tested the efficiency, weak form according to EMH, of the currency future market. The efficiency test has been incorporated in the research question since the market has to be efficient in order for the future to work as predictor of the future spot rate - Can currency futures be used as a tool for predicting futures spot exchange rate? The two sub questions are - Is the prediction power of currency futures stable over time and is the prediction power of currency futures similar for different currencies?   The main theory in the research is the Efficient Market Hypothesis and the Random Walk Hypothesis. READ MORE

5. 24. Momentum - Trendspotting in the Swedish Stock Market

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Henrik Fulgentiusson; Mykhaylo Kobelyats'Kyy; [2011]
   Keywords : Momentum; Market Efficiency; Fama and French; Carhart.; Business and Economics;

   Abstract : We set out to investigate the presence of momentum in the Swedish stock market in an attempt to distinguish whether the market displays the weak- and the semi-strong form of efficiency. Adopting a strategy similar to that of Jegadeesh and Titman (1993) and (2001), where past winners are bought and past loser are sold, we are able to show that momentum indeed is present, earning approximately 1 percent per month at a medium-term investment horizon. READ MORE

6. 25. Stock market efficiency of Ukraine, China and Russia in comparison to USA.

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Oleksandr Pavlov; Jing Yang; [2010]
   Keywords : Ukraine; Russia; China; USA; Stock market Efficiency; Econometric Methodology.; Business and Economics;

   Abstract : This thesis test weak form efficiency in the stock markets of Ukraine, Russian, and China and compare the efficiency with USA stock market. We employ Distribution test, Unit root test, Runs test, ARMA test and GARCH test to estimate the efficiency of the above four stock markets. READ MORE