Essays in applied finance
Essays in applied finance
In this thesis we explore three issues in financial economics. We address each of the topics using the methodology of Sims (1980). We begin by investigating the relationship between information flowing to the market and volume of trading and finding that it is the information generated inside the market to be the most relevant to explain trading. We then assess if the increased importance of investment vehicles such as unit trusts could inject instability in the market finding that this is not the case. Finally we address the relationship between inflation and stock returns and conclude that the Fisher hypothesis holds.
University of Southampton
Moschetti, Gian Piero Philip
09fb7ae9-5314-45db-9a7f-0a1f91910f94
2000
Moschetti, Gian Piero Philip
09fb7ae9-5314-45db-9a7f-0a1f91910f94
Moschetti, Gian Piero Philip
(2000)
Essays in applied finance.
University of Southampton, Doctoral Thesis.
Record type:
Thesis
(Doctoral)
Abstract
In this thesis we explore three issues in financial economics. We address each of the topics using the methodology of Sims (1980). We begin by investigating the relationship between information flowing to the market and volume of trading and finding that it is the information generated inside the market to be the most relevant to explain trading. We then assess if the increased importance of investment vehicles such as unit trusts could inject instability in the market finding that this is not the case. Finally we address the relationship between inflation and stock returns and conclude that the Fisher hypothesis holds.
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Published date: 2000
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Local EPrints ID: 464153
URI: http://eprints.soton.ac.uk/id/eprint/464153
PURE UUID: 4fca2436-77cd-436a-ab7b-ca084d0b0807
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Date deposited: 04 Jul 2022 21:21
Last modified: 16 Mar 2024 19:18
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Author:
Gian Piero Philip Moschetti
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