An Empirical Analysis of Stock Price Dynamics with          Applications to the Stability and Efficiency of Asset       Markets
{'Code': '04050100', 'Directorate': {'Abbreviation': 'SBE', 'LongName': 'Direct For Social, Behav & Economic Scie'}, 'Division': {'Abbreviation': 'SES', 'LongName': 'Divn Of Social and Economic Sciences'}}
{'SignBlockName': 'Daniel H. Newlon', 'PO_EMAI': None, 'PO_PHON': None}
The purpose of this research is to analyze the behavior of stock market         prices in three phases: (1) An extensive and exhaustive documentation           of the statistical properties of stock returns for all the commonly             used data sets, with particular attention to how the forecastability of         returns differs across sample periods, sampling frequencies, and data           bases: (2) An analysis of the statistical side-effects caused by the            institutional features of the stock market, such as transaction costs           and the existence of bid and offer prices instead of a single price;            (3) An examination of the economic implications from the finding of the         first two phases.  Novel aspects of this research include the                   construction and analysis of a new database consisting of time-stamped          transaction prices for all securities traded on the Toronto Stock               Exchange from 1979 to 1987 which included continuous bid-ask quotes;            the specification and estimation of statistical models that are capable         of fitting stock returns data over many periods; the derivation and             empirical implementation of dynamic portfolio strategies that optimally         exploit the predictability in returns, so as to gauge the economic              importance of forecastable components in stock price changes.  This             project is important because it will shed light on the possible effects         of transaction taxes or other types or forms of governmental regulation         on the behavior of the stock market.
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{'Code': '132000', 'Text': 'Economics'}
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