A study of efficiency in capital markets using stochastic models and simulated trading rules
This work attempts to approach the controversial topic of the efficient capital market hypothesis. The main purpose of this work is to test the validity of this hypothesis using data from the Athens Stock Exchange, as well as from four other stock markets. To this end trading rules as well as trad...
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| Γλώσσα: | English |
| Δημοσίευση: |
2015
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| Διαθέσιμο Online: | https://vsmart.lib.aegean.gr/webopac/FullBB.csp?WebAction=ShowFullBB&EncodedRequest=z*5Eq*CAv*E8*E9*F2*BBT*80*FC*96*83L*C4&Profile=Default&OpacLanguage=gre&NumberToRetrieve=50&StartValue=1&WebPageNr=1&SearchTerm1=2011%20.1.13211&SearchT1=&Index1=Keywordsbib&SearchMethod=Find_1&ItemNr=1 http://hdl.handle.net/11610/12235 |
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| Περίληψη: | This work attempts to approach the controversial topic of the efficient capital market hypothesis. The main purpose of this work is to test the validity of this hypothesis using data from the Athens Stock Exchange, as well as from four other stock markets. To this end trading rules as well as traditional linear time series models will be used. The structure of this work is the following: In the first chapter the relevant theory of the efficient market hypothesis is introduced. Moreover, the tests developed in order to test each form of efficiency, and the results of some significant studies are presented. The second chapter contains some basis of the time series analysis theory and introduces the ARMA and ARIMA models. In the last section of this chapter the Box and Jenkins ARIMA model building procedure is presented, by giving analytically the steps composing it. In chapter three, the five stock exchange indexes which we use for our work are introduced. Primarily, the ARIMA models for them based on the Box and Jenkins ARIMA model building procedure are constructed, as introduced in the previous chapter. After the ARIMA models for the indexes are constructed, an investigation of whether any non-linear phenomena underlie in the original series is attempted. In chapter 4 of this work two different types of trading rules constructed in order to be profitable in the markets introduced above, are presented. A detailed presentation of the trading rules and of all their variations used, is given. Afterwards, the conclusions which come out of the application of the trading rules on the stock exchange indexes are presented. In the last chapter, a cumulative presentation of all the conclusions made in the previous chapters and a short discussion about the results is given. |
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