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ID 33794
file
title alternative
株式市場の効率性と株価変動
creator
Jose Miguel Duarte Leite Pinto Dos Santos
NDC
Economics
contents
ACKNOWLEDGEMENTS
CHAPTER1 INTRODUCTION / p1
PART I THEORY / p5
 CHAPTER2 STOCK MARKETS AND THE EFFICIENT MARKETS HYPOTHESIS / p6
  1.Definition of market / p6
  2.The role of stock markets / p8
  3.The development of stock markets / p12
  4.Evolution of the concept of efficient markets / p17
  5.Characterization of efficiency / p23
 CHAPTER3 THEORY OF FUNDAMENTALS AND BUBBLES / p29
  1.Introduction / p29
  2.Assumptions of a stock market model / p30
  3.The arbitrage equation / p31
  4.Fundamentals / p33
  5.Fundamentals,efficient markets and stock prices'movements / p35
  6.Bubbles / p44
PART II EVIDENCE / p51
 CHAPTER4 EMPIRICAL TESTS OF THE EFFICIENT MARKETS HYPOTHESIS / p52
  1.Introduction / p52
  2.Definition of random walks,martingales and fair games / p53
  3.The fundamental model and martingales / p55
  4.Statistical tests of weak form efficiency / p58
  5.Weak form efficiency anomalies / p60
  6.Variance Bounds Tests / p63
  7.Orthogonality Tests / p67
 CHAPTER5 TESTING FOR FUNDAMENTALS AND BUBBLES IN JAPANESE STOCK PRICES / p69
  1.Introduction / p69
  2.The data used / p71
  3.Weak form efficiency tests / p72
  4.Volatility in stock prices / p74
  5.Tests for fundaments / p76
  6.More tests for fundamentals: stock prices and profits / p81
  7.Tests for bubbles / p89
 CHAPTER6 BOUNDED TIME HORIZONS AND EFFICIENT MARKETS / p93
  1.Introduction / p93
  2.Changes in the economic structure / p95
  3.Dividends' basic structural model / p97
  4.Fundamental stock prices and the boundeness of the span of time horizons / p98
  5.Empirical results / p104
TABLES / p111
FIGURES / p118
NOTES / p145
BIBLIOGRAPHY / p157
SelfDOI
language
eng
nii type
Thesis or Dissertation
HU type
Doctoral Theses
DCMI type
text
format
application/pdf
text version
ETD
rights
Copyright(c) by Author
grantid
甲第1321号
degreeGrantor
広島大学(Hiroshima University)
degreename Ja
博士(経済学)
degreename En
Economics
degreelevel
doctoral
date of granted
1995-03-24
department
Graduate School of Social Sciences



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