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Weak-Form Market Efficiency, Estimation Interval and the Nigerian Stock Exchange: Empirical Evidence
WEAK-FORM MARKET EFFICIENCY, ESTIMATION INTERVAL AND THE NIGERIAN STOCK EXCHANGE: EMPIRICAL EVIDENCE Onyemachi Maxwell Ogbulu, Abia State University Abstract Given the desirability of efficient capital markets in aiding optimal resource mobilization and allocation in the financial system, this paper is an attempt to investigate the efficiency level of the Nigerian Stock Exchange (NSE) across different data estimation intervals with reference to the weak-form variant of the Efficient Market Hypothesis (EMH). The paper employed daily, weekly, monthly and quarterly aggregate stock price data using the NSE All Share Index series from 4th January, 1999 to 31st December, 2013 to test for the weak-form efficiency of the NSE using a combination of seven (7) statistical and parametric tools namely- Autocorrelation tests, the ADF and P-P unit root tests, Variance Ratio tests, the Normality/Random Walk tests, the Granger Causality test, the ARCH-GARCH test and Regression rest. The empirical results of the investigation indicate that on balance the NSE is weak-form inefficient when daily, weekly, monthly and quarterly prices are examined irrespective of the estimation interval and the parametric test employed in the tests. It is to be noted from the findings that the NSE is still weak-form inefficient despite the implementation of various capital market reforms undertaken in the recent past as well as the adoption of automation and ICT in the operations of the Exchange. It is therefore recommended that these salutary reforms and policies should be intensified and sustained to ensure efficiency of the NSE. Keywords: Weak-form efficiency, Efficient Market Hypothesis, Estimation Interval, Parametric Tests. -
On Determination of Market Price of One Ordinary Registered Share of the Moscow Exchange (State Registration Number 1-05-8443-H Dated 16.11.2011)
2, 3-ya ulitsa Yamskogo Polya, bld. 7, office 301, Moscow, 125040 Tel.: +7 (495) 717-01-01 +7 (495) 557-07-97 www.evcons.ru REPORT No. 134/16 dated June 29, 2016 On determination of market price of one ordinary registered share of the Moscow Exchange (state registration number 1-05-8443-H dated 16.11.2011) Customer: Moscow Exchange Contractor: Everest Consulting Moscow 2016 EVEREST Consulting LLC 1 Att: Evgeny Fetisov CFO Moscow Exchange Dear Evgeny, Under Agreement No.134/16 dated 16.06.2016 executed by and between Everest Consulting Limited Liability Company (hereinafter Everest Consulting LLC, the Contractor), and Public Joint-Stock Company Moscow Exchange MICEX-RTS (hereinafter the Moscow Exchange, the Customer), the appraiser employed by the Contractor (hereinafter the Appraiser) carried out valuation of one registered ordinary share of the Moscow Exchange (hereinafter the Object of Valuation). The principle task and intended use of valuation was to measure the market price of the Object of Valuation for the purpose of share buyback from shareholders who voted against the corporate restructuring or failed to participate in voting in pursuance with clause 1 and clause 3 Article 75 of the Federal Law No.208-FZ On Joint-stock Companies dated 26 December 1995. The valuation was done in accordance with the Federal Law No.135-FZ On Valuation Activity in the Russian Federation dated 29 July 1998, Federal Evaluation Standard General Concepts of the Valuation, Approaches and Requirements to Carrying Out the Valuation (FES No.1) approved by the Order of the Ministry of Economy No. -
Msci Index Calculation Methodology
INDEX METHODOLOGY MSCI INDEX CALCULATION METHODOLOGY Index Calculation Methodology for the MSCI Equity Indexes Esquivel, Carlos July 2018 JULY 2018 MSCI INDEX CALCULATION METHODOLOGY | JULY 2018 CONTENTS Introduction ....................................................................................... 4 MSCI Equity Indexes........................................................................... 5 1 MSCI Price Index Methodology ................................................... 6 1.1 Price Index Level ....................................................................................... 6 1.2 Price Index Level (Alternative Calculation Formula – Contribution Method) ............................................................................................................ 10 1.3 Next Day Initial Security Weight ............................................................ 15 1.4 Closing Index Market Capitalization Today USD (Unadjusted Market Cap Today USD) ........................................................................................................ 16 1.5 Security Index Of Price In Local .............................................................. 17 1.6 Note on Index Calculation In Local Currency ......................................... 19 1.7 Conversion of Indexes Into Another Currency ....................................... 19 2 MSCI Daily Total Return (DTR) Index Methodology ................... 21 2.1 Calculation Methodology ....................................................................... 21 2.2 Reinvestment -
FIA Publications Futures Industry Association
06 Media Kit Capco Study Identifies Market Inefficiencies FUTURES THE MAGAZINE OF THE INDUSTRYJULY/AUGUST 2005 Black Box Trading Is this the Future? Futures Markets in Asia: China, India, Japan FUTURES THE MAGAZINE OF THE INDUSTRYMAY/JUNE 2005 FI INTERVIEWSINTERVIEWS JIMJIM ROGERSROGERS Crazy About Commodities markets I intermediaries I washington I technology FUTURES THE MAGAZINE OF THE INDUSTRYNOVEMBER/DECEMBER 2006 outlook 07 Including Expo Show Guide 2006 FIA Regular Members A.G. Edwards & Sons, Inc. ABN AMRO Incorporated ADM Investor Services Banc of America Futures, Incorporated Banc One Capital Markets Barclays Capital Inc. Bear, Stearns & Co. Inc BNP Paribas Commodity Futures, Inc. Calyon Financial Inc. (Formerly Carr Futures Inc.) Cantor Fitzgerald Cargill Investor Services, Inc. Citigroup Global Markets Inc. Country Hedging, Inc. Credit Suisse First Boston Corporation Daiwa Securities America Inc. Deutsche Bank Futures Inc. Fimat USA, Inc. Goldman, Sachs & Co. Hornblower Fischer & Co. HSBC Securities (USA) Inc. Interactive Brokers LLC J.P. Morgan Futures, Inc. Lehman Brothers Inc. Man Financial Inc. McVean Trading and Investments LLC Merrill Lynch Pierce Fenner & Smith Inc. Mid-Co Commodities, Inc. Morgan Stanley Morgan Stanley DW Inc. Nomura Securities International, Inc. Peregrine Financial Group, Inc. Prudential Financial Derivatives LLC Refco LLC Rosenthal Collins Group, L.L.C. Swiss American Securities Inc. Tokyo-Mitsubishi Futures (USA), Inc. TransAct Futures (Formerly York Electronic Services) UBS Vision Limited Partnership FIA Publications FIA publications, FI and Outlook, reach influential professionals in the derivative markets, the fastest- growing segment of the financial services industry. FI is published five times per year and FI Outlook is published in conjunction with Expo. -
Doing Data Differently
General Company Overview Doing data differently V.14.9. Company Overview Helping the global financial community make informed decisions through the provision of fast, accurate, timely and affordable reference data services With more than 20 years of experience, we offer comprehensive and complete securities reference and pricing data for equities, fixed income and derivative instruments around the globe. Our customers can rely on our successful track record to efficiently deliver high quality data sets including: § Worldwide Corporate Actions § Worldwide Fixed Income § Security Reference File § Worldwide End-of-Day Prices Exchange Data International has recently expanded its data coverage to include economic data. Currently it has three products: § African Economic Data www.africadata.com § Economic Indicator Service (EIS) § Global Economic Data Our professional sales, support and data/research teams deliver the lowest cost of ownership whilst at the same time being the most responsive to client requests. As a result of our on-going commitment to providing cost effective and innovative data solutions, whilst at the same time ensuring the highest standards, we have been awarded the internationally recognized symbol of quality ISO 9001. Headquartered in United Kingdom, we have staff in Canada, India, Morocco, South Africa and United States. www.exchange-data.com 2 Company Overview Contents Reference Data ............................................................................................................................................ -
List of Approved Regulated Stock Exchanges
Index Governance LIST OF APPROVED REGULATED STOCK EXCHANGES The following announcement applies to all equity indices calculated and owned by Solactive AG (“Solactive”). With respect to the term “regulated stock exchange” as widely used throughout the guidelines of our Indices, Solactive has decided to apply following definition: A Regulated Stock Exchange must – to be approved by Solactive for the purpose calculation of its indices - fulfil a set of criteria to enable foreign investors to trade listed shares without undue restrictions. Solactive will regularly review and update a list of eligible Regulated Stock Exchanges which at least 1) are Regulated Markets comparable to the definition in Art. 4(1) 21 of Directive 2014/65/EU, except Title III thereof; and 2) provide for an investor registration procedure, if any, not unduly restricting foreign investors. Other factors taken into account are the limits on foreign ownership, if any, imposed by the jurisdiction in which the Regulated Stock Exchange is located and other factors related to market accessibility and investability. Using above definition, Solactive has evaluated the global stock exchanges and decided to include the following in its List of Approved Regulated Stock Exchanges. This List will henceforth be used for calculating all of Solactive’s equity indices and will be reviewed and updated, if necessary, at least annually. List of Approved Regulated Stock Exchanges (February 2017): Argentina Bosnia and Herzegovina Bolsa de Comercio de Buenos Aires Banja Luka Stock Exchange -
Execution Venues Equities and Fixed Income
UBS AG London Branch 5 Broadgate London EC2M 2QS United Kingdom UBS Europe SE OpernTurm Bockenheimer Landstraße 2-4 60306 Frankfurt am Main Germany www.ubs.com/ibterms Execution venues Equities and fixed income Version: December 2020 For information about our investment bank entities, visit www.ubs.com/ibterms Execution venues This is a non-exhaustive list of the main execution venues that we use outside UBS and our own systematic internalisers. We will review and update it from time to time in accordance with our UK and EEA MiFID Order Handling & Execution Policy. We may use other execution venues where appropriate. Equities Cash Equities Direct access Aquis Exchange Europe Aquis Exchange PlcAthens Stock Exchange BATS Europe, a CBOE Company Borsa Italiana CBOE NL CBOE UK Citadel Securities (Europe) Limited SI Deutsche Börse Group - Xetra Euronext Amsterdam Stock Exchange Euronext Brussels Stock Exchange Euronext Lisbon Stock Exchange Euronext Paris Stock Exchange Instinet Blockmatch Euronext DublinITG Posit London Stock Exchange Madrid Stock Exchange Nasdaq Copenhagen Nasdaq Helsinki Nasdaq Stockholm Oslo Bors Sigma X Europe Sigma X MTFTower Research Capital Europe Limited SI Turquoise Europe TurquoiseUBS Investment Bank UBS MTF Vienna Stock Exchange Virtu Financial Ireland Limited Warsaw Stock Exchange Via intermediate broker Budapest Stock Exchange Cairo & Alexandria Stock Exchange Deutsche Börse - Frankfurt Stock Exchange Istanbul Stock Exchange Johannesburg Stock Exchange Moscow Exchange Prague Stock Exchange SIX Swiss Exchange Tel Aviv Stock Exchange Structured Products Direct access Börse Frankfurt (Zertifikate Premium) Börse Stuttgart (EUWAX) Xetra SIX Swiss Exchange SeDeX Milan Euronext Amsterdam London Stock Exchange Madrid Stock Exchange NASDAQ OMX Stockholm JSE Johannesburg Stock Exchange OTC matching CATS-OS Fixed Income Cash bonds Via Bond Port Bloomberg EuroTLX Euronext ICE (KCG) BondPoint Market Axess MOT MTS BondsPro 1 © UBS 2020. -
Report on Trading Halts and Market Closures
Report on Trading Halts and Market Closures Report of the Technical Committee of the International Organization of Securities Commissions October 2002 Report on Trading Halts and Market Closures Table of Contents Executive Summary............................................................................................................ 1 I. Introduction............................................................................................................. 5 II. Types of Trading Interruptions ............................................................................... 7 A. Discretionary Trading Interruptions ....................................................................... 7 1. Dissemination of Information.............................................................................. 8 2. Fraud and Manipulation....................................................................................... 8 3. Issuer’s Failure to Comply With Listing Standards and Disclosure Requirements ....................................................................................................... 9 4. Market Closures................................................................................................... 9 B. Automatic Trading Interruptions .......................................................................... 11 1. Price Limits........................................................................................................ 11 2. Circuit Breakers................................................................................................ -
CQG Delivers the Fastest Order Routing Solutions for Traders at Proprietary Trading Firms, Hedge Funds, Financial Institutions, Ctas, and Fcms
Electronic Trade Routing Advanced Software. Engineered for Speed. CQG delivers the fastest order routing solutions for traders at proprietary trading firms, hedge funds, financial institutions, CTAs, and FCMs. CQG Hosted Exchange Gateways provide cost-effective, secure, and low-latency access to major cash and futures exchanges worldwide. Find Out More About... • Order routing connections to over thirty-five electronic exchanges • The industry’s most advanced front-end trading interfaces • CQG Smart Orders • Consolidated analytics and order routing CQG Trade Routing Solutions Traders require speed of execution. CQG delivers the fastest order routing connections in the industry through our network of Hosted Exchange Gateways. CQG offers unique order routing interfaces and CQG Smart Orders. Exchange Connections Order Routing Connections CQG Smart Orders Australian Securities Exchange Kansas City Board of Trade Today’s trader needs reliable high-speed access to electronic CQG supports both exchange-supported and synthetic orders. BGC US Treasuries Korea Exchange BM&FBOVESPA London Metal Exchange markets. CQG Hosted Exchange Gateways provide our customers Each Smart Order has unique features designed to aid the trader Borsa Italiana Mexican Derivatives Exchange with low-latency connections to over thirty-five major cash and for better order and trade management. Smart Orders include: CBOE Futures Exchange Minneapolis Grain Exchange futures exchanges. CQG manages direct market connections for • DOM-triggered stops/stop limits Chicago Board -
CQG Tradable Symbols Strikethrough Indicates Removal
Symbols in red have been added or updated since the last publication. CQG Tradable Symbols Strikethrough indicates removal. February 17, 2015 ASX 24 ASX 24 (con’t) Symbol Description Instrument Symbol Description Instrument ACMS Australian Canola Calendar spread BV VIC Base Load Electricity Futures AFBS Australian Feed Barley Calendar spread ENS NSW Base Load Month Electricity Futures AFS S&P/ASX 200 Financials-x-A-REIT Index Calendar spread EQ QLD Base Load Month Electricity Futures APS SFE SPI 200 (S&P ASX 200) Index Calendar spread ES SA Base Load Month Electricity Futures ARS S&P/ASX 200 Resources Index Calendar spread EVI VIC Base Load Month Electricity Futures ASMS Australian Sorghum Calendar spread GN NSW Base Load Quart. 300Cap Elec Futures AVIS S&P/ASX 200 VIX Calendar spread GS SA Base Load Quart. 300Cap Elec Futures AWMS Australian Milling Wheat Calendar spread GV VIC Base Load Quart. 300Cap Elec Futures HBSS 90-Day Bank Accept Calendar spread HBS 90-Day Bank Accept Futures HTSS 3-Year Aus Treasury Bond Calendar spread HCX ASX Thermal Coal (FOB Newcastle) Futures HXSS 10-Year Us Treasury Bond Calendar spread HCY ASX Quarterly Thermal Coal Strip Futures HYSS 3-Year Aus Interest Rate Swap Calendar spread HCZ ASX Calendar Year Thermal Coal Futures IBCRS 30-Day Interbank Cash Rate Calendar spread HEO ASX Renewable Energy Certificate Futures NBBS NZ 90-Day Bank Bill Calendar spread HGQ QLD Base Load Quart. 300Cap Elec Futures WAWS Western Australian Wheat Calendar spread HGX Victorian Wholesale Gas Futures XSS 10-Year Aus Interest -
Thomson ONE Exchange List
THOMSON ONE EXCHANGE LIST Nasdaq ADF (including TRFs) D Exchange Codes for North America NASDAQ1 O 1 Bermuda National Stock Exch (formerly Cincinnati) C NYSE1 N Exchange Code NYSE Arca1 P Bermuda Stock Exchange1 HM COMMODITIES EXCHANGE Inc (COMEX) NC New York Commodities Exch - Futures CF Canada New York Commodities Exch - Options CO New York Cotton Exchange1 CT Exchange Code 1 Alpha Trading Systems1 AC New York Futures Exchange Alpha Venture Trading Systems1 AV New York Mercantile Exchange (NYMEX) NM Canadian Mutual Funds 6 One Chicago OC OTC Bulletin Board1 U CanDeal CD OTC Non Bulletin Board1 5 CNQ1 L 1 OVN Future NT Instinet Chi-X Canada IC Philadelphia Stock Exchange1 X Markets, Inc. MK 1 1 Philadelphia Bd of Trade PB Montreal R PBOT Indices1 LS Pure Trading1 PT 1 RTH Future RT TSX (formerly TSE) T 1 1 S&P Fixed Income SF TSX/Forex 1 1 Standard & Poors SP TSX Venture Exchange V Thomson Reuters Internal IL Winnipeg Commodity Exchange WC TradeWeb1 TT Mexico Exchange Code Exchange Codes for Europe Mexican Stock Exchange1 MX Austria United States Exchange Code Exchange Code 1 Vienna Stock Exch - Cash Market VI AMEX - American Stock Exchange A BATS1 I Bulgaria BTDS/TRACE TR Boston Stock Exchange - Options1 B Exchange Code Chicago Board of Options Exch (CBOE) 1 E Bulgarian Stock Exchange - Sofia BG 1 CBOE Electronic Options Exchange C2 Y Croatia CBOE/VIX1 CV Chicago Board of Trade1 CB Exchange Code 1 Chicago Mercantile CM Zagreb Stock Exchange2 ZG 1 Chicago Stock Exchange M Coffee, Sugar & Cocoa Exchange (CSCE) 1 NS Cyprus Dow Jones Global Index DI FTSE 100 Delayed Exchange S Exchange Code Cyprus Stock Exchange2 CP Garban/ICAP GA GovPX/SwapPX PX Czech Republic International Securities Exchange1 8 Kansas City Bd of Trade1 KC Exchange Code Liberty Treasury Bonds G Prague Stock Exchange - Automatic Trades PR Liberty Treasury Bond Quotes Q Prague Stock Exchange - SPAD Trades PRT Merrill TRACKR1 K 1 Denmark Minneapolis Grain MG Euronext Derivatives Y Exchange Code QRG-43 Date of issue: 3 September 2009 © 2009 Thomson Reuters. -
EDI Initial Public Offerings
Worldwide Initial Public Offerings Doing data differently V. 2.8. Company Overview Helping the global financial community make informed decisions through the provision of fast, accurate, timely and affordable reference data services With more than 20 years of experience, we offer comprehensive and complete securities reference and pricing data for equities, fixed income, and derivative instruments around the globe. Our customers can rely on our successful track record to efficiently deliver high-quality data sets including: . Worldwide Corporate Actions . Worldwide Fixed Income . Security Reference File . Worldwide End-of-Day Prices Exchange Data International has recently expanded its data coverage to include economic data. Currently, it has two products: . Economic Indicator Service (EIS) . Global Economic Data Also, EDI has partnered with other specialist data providers to provide certain niche products. All their data is available under the same EDI contract. Our professional sales, support and data/research teams deliver the lowest cost of ownership whilst at the same time being the most responsive to client requests. As a result of our on-going commitment to providing cost-effective and innovative data solutions, while ensuring the highest standards, EDI has achieved the internationally recognized quality and security certifications ISO 9001 and ISO 27001. Headquartered in the United Kingdom, we have staff in Australia, Canada, China, Germany, Hong Kong, India, Malaysia, Morocco, South Africa and the United States. Our Prices Support Team is available on +44 (0) 207 269 8915, 24 hours a day, Monday to Friday and closed on Christmas and New Year’s Day. www.exchange-data.com 1 Worldwide Initial Public Offerings Contents Service Overview ......................................................................................................................................................