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Turn-of-the-month effekten på Stockholmsbörsen
Mid Sweden University, Faculty of Human Sciences, Department of Economics, Geography, Law and Tourism.
Mid Sweden University, Faculty of Human Sciences, Department of Economics, Geography, Law and Tourism.
2019 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Denna studie baseras på historiska kursdata för börslistorna Small Cap och Large Cap, hämtade från NASDAQ OMX. Hypoteser formulerades för att analysera Turn-of-the-month effekten samt huruvida det finns en signifikant överavkastning vid månadsskiften och om den ändrats över tid.En regressions- och korrelationsanalys utfördes för att analysera potentiella samband mellan den beroende variabeln och de oberoende variablerna samt att mäta sambandsstyrka. De två första hypoteserna innehöll den beroende variabeln Avkastning index medan de oberoende variablerna var Turn-of-the-month och Turn-of-the-month dag. Genom detta blev det möjligt att analysera periodernas och dagarnas avkastning jämfört med indexet för ovanståendebörslistor. Studiens två andra hypoteser testade effekten över tid. Den beroende variabeln för dessa hypoteser var skillnaden i medelavkastning mellan Avkastning index och Turn-of-themonth medan den oberoende variabeln var tid. Resultatet visade att Turn-of-the-month effekten existerade på Stockholmsbörsens index Small Cap och Large Cap under perioden 2009–2017 vilket är i linje med aktuell forskning från andra länder (Burnett, 2017; Azia och Ansari 2018). Effektens signifikans under perioden påverkades inte av tiden. Därmed förkastades hypoteserna som grundades i den effektiva marknadshypotesen och dess påstående om att anomalier ska försvinna över tid (Fama, 1970).

Abstract [en]

The writers have in this study applied a quantitative method with a deductive approach which will be based on historical share prices for the stock lists Small cap and Large cap taken from NASDAQ OMX. The study focuses on examining the Turn-of-the-month effect and whether there are significant excess returns at the turn of the month on the Stockholm Stock Exchangefor the stock lists Small cap and Large cap. Furthermore, hypotheses were formulated on the basis of previous research with a theoretical framework.A regression- and correlations analyses were used to analyze the potential correlation between the dependent variable and the independent variables. The first two hypotheses contained the dependent variable the dependent variable Return index and the independent variables Return on period and Return on day. This made it possible to examine the returns of the periods and days compared to the striking index. The other two hypotheses in the study tested the effect over time. The dependent variable for these hypotheses was the difference in average return between the Return Index and the Turn-of-the-month while the independent variable was time. The result showed that the turn-of-the-month effect existed on the Stockholm Stock Exchange's Small Cap and Large Cap index during the period 2009-2017, which is also in line with previous research from other countries (Burnett, 2017; Azia and Ansari 2018). The significance of the effect during the period was not affected by time, which rejected the hypotheses based on the effective market hypothesis and its claim that anomalies should disappear over time (Fama, 1970).

Place, publisher, year, edition, pages
2019. , p. 32
Keywords [en]
Turn of the month, Return, Small cap, Large cap, Anomalies, Efficient market hypothesis, Behavioral finance
Keywords [sv]
Turn-of-the-month, Avkastning, Small cap, Large cap, Anomalier, Effektiva marknadshypotesen, Behavioral finance
National Category
Business Administration
Identifiers
URN: urn:nbn:se:miun:diva-38412OAI: oai:DiVA.org:miun-38412DiVA, id: diva2:1392853
Subject / course
Business Administration FE1
Educational program
BSc Programme in Business and Economics SEKOG 180 higher education credits
Supervisors
Examiners
Available from: 2020-02-13 Created: 2020-02-13 Last updated: 2020-02-13Bibliographically approved

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