Search for dissertations about: "stock market"

Showing result 1 - 5 of 152 swedish dissertations containing the words stock market.

  1. 1. Essays on Stock Market Integration - On Stock Market Efficiency, Price Jumps and Stock Market Correlations

    Author : Yuna Liu; Tomas Sjögren; Jörgen Hellström; Mikael Bask; Umeå universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Time-varying return predictability; Tests for jumps; International financial markets; Market structure; Common trading platform; Integration; Time-varying correlation; C-GARCH; Trust; Portfolio Diversification; Stock Market Participation; nationalekonomi; Economics;

    Abstract : This thesis consists of four self-contained papers related to the change of market structure and the quality of equity market.In Paper [I] we found, by using of a Flexible Dynamic Component Correlations (FDCC) model, that the creation of a common cross-border stock trading platform has increased the long-run trends in conditional correlations between foreign and domestic stock market returns. READ MORE

  2. 2. Essays on Market Design and Market Quality

    Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; Business Administration; företagsekonomi;

    Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

  3. 3. Essays on Financial Market Interdependence

    Author : Lu Liu; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; 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

  4. 4. Access to the stock market : an empirical study of the efficiency of the British and the Swedish primary markets

    Author : Adri De Ridder; Stockholms universitet; []
    Keywords : SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Abstract : .... READ MORE

  5. 5. Essays on Financial Market Volatility

    Author : Ai Jun HOU; Nationalekonomiska institutionen; []
    Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Nonparametric GARCH model; News Impact Curve; Interest rate volatility; MCMC; Markov Switching; Chinese stock markets; EMU stock markets;

    Abstract : This thesis examines the volatility in the equity and short-term interest-rate markets, and the spillover from the short term interest rate market to the equity market. It consists of three papers and focuses on adapting and proposing models for the estimation and forecasting of financial market volatility. READ MORE