/library/oar/handle/123456789/82266 2025-12-27T13:57:58Z /library/oar/handle/123456789/82864 Title: An analysis of gold as a financial asset : is it an efficient portfolio diversifier? Abstract: Gold is quite a perplexing commodity. It is regarded as an inflation hedge, a safe haven and a strong diversifier by some and is dismissed as something out of a bygone era and a useless investment by others. The media, academic literature and general opinion are all conflicted on the subject. Till this day, almost fifty years after the dissolution of the Bretton Woods system, there is still no concrete conclusion about Gold’s usefulness to the investor and there still remains a relatively constrained amount of literature. What was intended by this study was to provide an in-depth analysis of gold’s diversification benefits in a global setting from different perspectives. Portfolios were constructed to simulate global, American and European scenarios and gold’s effect on those portfolios was tested thoroughly. Portfolios were also tested to distinguish the effects equity dividends had and if they diminished gold’s role in a portfolio in any way. Finally, gold was matched up against two different representatives of equity for the longest time periods possible for the chosen proxies. This study provided positive results for gold, revealing that gold has huge diversification benefits due to its low correlation with traditional assets. Its correlation was even found to sway to the negative in times of crises which deems gold an efficient safe haven asset. Thus, these facts along with the main characteristics of gold such as it being an efficient store of value, having no credit risk and being less risky than traditional assets give gold a place in the modern investor’s portfolio especially if risk aversion is a priority. Description: B.COM.(HONS)BANK.&FIN. 2019-01-01T00:00:00Z /library/oar/handle/123456789/82853 Title: Market efficiency : a comparison between established and emerging markets Abstract: This study examines the market efficiency of stock market indexes. Daily returns for ten established (Australia, Canada, France, Germany, Hong Kong, Israel, Japan, Sweden, UK and the US) and ten emerging markets (Brazil, Chile, China, Greece, India, Malaysia. Mexico, Poland, Russia and South Africa) are analysed for random walks using Runs Tests and VAR Granger-Causality Test. VAR estimations were used to model stock market index returns with the MSCI All Country World Index (ACWI) returns and this relationship was evaluated through Granger-Causality. Results from Granger-Causality suggest that Israel was the only efficient market. While we couldn’t identify whether the remaining markets were efficient or not due to non-synchronous trading and time-zone differences. The VAR models gave us the possibility to compare market efficiency between stock market indexes and the ACWI. Indications suggest that Canada, France Israel, Brazil, China and Greece were the only markets to be considered more efficient than the MSCI ACWI. The Nonparametric Runs Test for randomness was used since the returns of all the 20 stock market indexes didn’t follow the normal distribution. Market inefficiency was only found for Chile, Greece, India, Japan, Malaysia, Mexico and the U.S, The runs test also confirmed that Israel was efficient substantiating the results, we obtained in the VAR Model and Granger Causality Test. Description: B.COM.(HONS)BANK.&FIN. 2019-01-01T00:00:00Z /library/oar/handle/123456789/82846 Title: A study on Maltese investor behaviour : the effect of prospect theory and loss aversion Abstract: With the emergence of Behavioural Finance as a contradiction to Neoclassical Finance, understanding investor behaviour has been a key element for ensuring financial success. This study focuses on the psychological phenomenon of Loss Aversion which is a cornerstone of Prospect Theory created by Daniel Kahneman and Amos Tversky in 1979, as a psychologically more precise description of investor decision making as opposed to the Expected Utility Theory. Prospect Theory illustrates how individuals value differently, potential gains and losses, and leads to Loss Aversion which states that individuals’ sensitivity is greater towards losses, than towards gains. The objective of this study was to establish whether Prospect Theory and Loss Aversion feature within Maltese investor behaviour, and whether such biases affect their decision making. This study also aimed to explore and test the idea that when faced with losses, individuals tend to become risk seeking, in the hope of avoiding such loss. This study started off by examining previous literature on Prospect Theory and Loss Aversion, with the foundation of the study being the theories developed by Kahneman and Tversky and their conclusions on such biases. Research was conducted through quantitative and qualitative methods to be able to analyse investor behaviour from the point of view of investors and from the perspective of experts working in the field and giving the advice. The results confirmed that Prospect Theory and Loss Aversion feature in Maltese investor behaviour. The study also concluded that the theory that investors seek more risk when faced with losses and avoid risk when faced with gains, held true and this was illustrated through statistically significant results. This study further recommends that more education is needed so that Maltese investors understand further the concept of risk and return, rather than solely basing their decision on the value of perceived gains. A greater understanding of investor behaviour would facilitate the establishment of trust and maintain confidence and faith between the financial advisor and the investor. Description: B.COM.(HONS)BANK.&FIN. 2019-01-01T00:00:00Z /library/oar/handle/123456789/82842 Title: Understanding the fluctuations in the foreign exchange market Abstract: Due to a development in technological advances and hence higher market efficiency, there has been the increase interest in connecting economic announcement to fluctuations in the market. This study tests the overall efficiency of macroeconomic announcements on exchange rates, primarily being the EUR/USD rate. Following various researches performed, this model serves as a continuation to where other researchers, concluded, by making use of higher frequency data with the aim to achieve more accurate results. The main objective of this study is to find any existing relationship, if any, between surprises in macroeconomic values in the European and United States markets. This by referring to the corresponding exchange rate by using major economic indicators and 1-minute tick rates. Description: B.COM.(HONS)BANK.&FIN. 2019-01-01T00:00:00Z