Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Trading Opportunities You Missed on the Swedish Equity Market: An Analysis of the Persistence of Calendar Anomalies
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Business Studies.
2018 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This Study uses a period between 1939-2017 to analyse calendar anomalies on the Swedish equity market. We test whether calendar anomalies’ return deviates from the return of ordinary trading days. Our result shows that the day of the week effect, weekend effect, turn of the year, turn of the month and holiday effect have had an impact on the daily rate of return, both domestic and abroad. Similar to international markets the calendar anomalies in Sweden start to be less prominent during 1980’s. Also, our result displays that, since the 1970’s, UK holidays have had a negative impact on the daily return in Sweden. In contrast, American holidays have since the 2010’s had a positive impact. Turn of the year and turn of the month in Sweden have been more clustered around the first trading day of the year and month, compared to studies on other equity markets. Negative returns on Tuesdays, rather than Mondays, do also distinguish Sweden’s equity market relative to other markets. 

Place, publisher, year, edition, pages
2018. , p. 52
Keywords [en]
Calendar anomalies, Seasonal anomalies, Abnormal return, Sweden, Equity market, Day of the week, Monday effect, Weekend effect, Turn of the year, January effect, Turn of the month, Holiday effect, Holiday effect abroad
National Category
Business Administration
Identifiers
URN: urn:nbn:se:uu:diva-354678OAI: oai:DiVA.org:uu-354678DiVA, id: diva2:1222227
Educational program
Master Programme in Business and Management
Supervisors
Available from: 2018-06-21 Created: 2018-06-21 Last updated: 2018-06-21Bibliographically approved

Open Access in DiVA

fulltext(1787 kB)76 downloads
File information
File name FULLTEXT01.pdfFile size 1787 kBChecksum SHA-512
c883e7e2ef87c3e8fe024dc850ae66f63a35fae2a36a03882a8027fcfb91d3cb8796e55ab33b3a96ad456ff3b0aee390f74e562b534a5834ad28ffbcab633233
Type fulltextMimetype application/pdf

By organisation
Department of Business Studies
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 76 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 120 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf