This thesis provides a contribution in the study of financial markets by facing three different issues. The first chapter focuses on commodity markets. In particular, the long-run equilibrium between oil spot and futures prices is exploited to forecast oil price movements. The second chapter considers the microstructure of sovereign bond markets and investigates the effects of contemporaneous debt issuances on yield spreads. The third chapter stems from the contraposition between the Efficient Market Hypothesis (EMH) and the value added by technical analysis. The Shanghai Stock Exchange efficiency is tested by assessing the profitability of a trading rule which jointly considers the main technical analysis indicators.
Questa tesi fornisce un contributo allo studio dei mercati finanziari affrontando tre diversi argomenti. Il primo capitolo si concentra sul mercato delle commodity. In particolare, l’equilibrio di lungo periodo tra prezzi spot e futures del petrolio viene sfruttato per prevedere l’andamento dei prezzi petroliferi. Il secondo capitolo considera la microstruttura del mercato dei titoli di Stato e studia l’effetto sul rendimento dei titoli determinato da emissioni contemporanee di debito. Il terzo capitolo nasce dalla contrapposizione tra l’ipotesi di efficienza dei mercati ed il valore aggiunto fornito dagli strumenti di analisi tecnica. L’efficienza della Borsa di Shanghai viene testata valutando la redditività di una modello di trading che considera congiuntamente i principali indicatori di analisi tecnica.
Coppola, A. (2008). Essays on financial markets.
Essays on financial markets
COPPOLA, ANDREA
2008-07-07
Abstract
This thesis provides a contribution in the study of financial markets by facing three different issues. The first chapter focuses on commodity markets. In particular, the long-run equilibrium between oil spot and futures prices is exploited to forecast oil price movements. The second chapter considers the microstructure of sovereign bond markets and investigates the effects of contemporaneous debt issuances on yield spreads. The third chapter stems from the contraposition between the Efficient Market Hypothesis (EMH) and the value added by technical analysis. The Shanghai Stock Exchange efficiency is tested by assessing the profitability of a trading rule which jointly considers the main technical analysis indicators.File | Dimensione | Formato | |
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