Search for dissertations about: "financial market"

Showing result 1 - 5 of 375 swedish dissertations containing the words financial market.

2. 1. Essays on systemic risk and financial market volatility

   Author : Dominika Krygier; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; systemic risk; Volatility; Volatility forecasting; Bitcoin; implicit guarantees; Financial stability; Leverage; Value-at-Risk; CoVaR; networks; Centrality; interconnectedness; Financial crisis; Stock market; Banks; Financial Markets;

   Abstract : This doctoral thesis consists of four independent research papers. All papers are empirical and cover the area of financial market risk, with a particular focus on systemic risk and volatility in financial markets. READ MORE

4. 2. Essays on Financial Market Interdependence

   Author : Lu Liu; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Stock markets; commodity futures; extreme downside risk; regime-switching; correlations; diversification; market linkages; heterogeneity; EMU stock markets; dynamic panel data;

   Abstract : This thesis aims at investigating the risk spillover and correlations among national stock markets, and the structure of dependence between stocks and commodity futures. It consists of four chapters. Chapter 1 briefly reviews the literature background of financial market interdependence and summarizes the contribution of the thesis. READ MORE

5. 3. Changing the Rules of the Game : A Market Microstructure Perspective on the Effects of Regulating Financial Markets

   Author : Ester Félez Viñas; Björn Hagströmer; Caihong Xu; Mathijs van Dijk; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market fragmentation; liquidity; resiliency; short selling ban; commonality in liquidity; financial contagion; call auction; market integrity; auction attractiveness; price efficiency; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.Article I studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. READ MORE

6. 4. The theory of Homo comperiens, the firm’s market price, and the implication for a firm’s profitability

   Author : Joachim Landström; Jan-Erik Gröjer; Dag Smith; Frøystein Gjesdal; Uppsala universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Homo Comperiens; Inefficient Markets; Efficient Markets; Arbitrage; No-Arbitrage; Market Price; Market Value; Intrinsic Value; Residual Income; Residual Earnings; Company Valuation; Firm Valuation; Valuation; Accounting; Financial Accounting; Financial Analysis; Residual Rate-of-Return; Residual Rates-of-Returns; Business studies; Företagsekonomi;

   Abstract : This thesis proposes a theory of inefficient markets that uses limited rational choice as a central trait and I call it the theory of Homo comperiens. The theory limits the alternatives and states that the subjects are aware of and only allow them to have rational preference relations on the limited action set and state set, i.e. READ MORE

7. 5. Essays on Financial Markets

   Author : Hans Byström; Nationalekonomiska institutionen; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Electricity Futures; Option Pricing; Compass Rose; Covariance Matrix; Chaos; Stochastic Volatility; Financial Markets; GARCH; Financial science; Finansiering;

   Abstract : This thesis consists of five empirical essays dealing with different issues related to financial markets. Chapter 2 studies a new multivariate technique, Orthogonal GARCH, of forecasting large covariance matrices based on GARCH models. READ MORE