Change search
ReferencesLink to record
Permanent link

Direct link
An empirical study of the impact of Opec announcements on stock returns of selected sector indexes of the Stockholm stock market 2005-2007
Södertörn University College, School of Social Sciences.
2011 (English)Independent thesis Basic level (degree of Bachelor), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

This study presents an observation of the impact of Opec announcements on the behavior of sector indexes returns of the Stockholm stock market.

It looks at the effects of the announcements on the stock returns of three sectors indices of theStockholm stock market:

Energy, Telecommunications and Financial using the general market index return (OMX Stockholm 30) as the explanatory variable. The time period analyzed is limited to the years of 2005 to 2007 when markets worldwide were taken by euphoria and panic caused by the anticipation of the upcoming financial crisis given that it has been well proved that such events do cause a substantial effect on stock prices.

In order to estimate the reaction of the sector index returns over Opec announcements, the author uses the event studies and constructs an extended version of the CAPM model by introducing dummy variables for each day of the set of announcements over the event window. It is used stationary time series data and the returns on the three sector indices were subdivided in an event window of 5 days around the announcement dates in continuous intervals of 3 years according to the Stockholm stock market trading days. As to improve the results obtained with the CAPM model, the author uses the Cumulative Abnormal Returns (CAR) which adds all the coefficients of the dummy variables which are the returns in excess of what is expected.

The empirical findings for the event study reveal that none of the dummy variable coefficients were significant which indicate that none of the sector indexes is sensitive to the announcements. For the CAR results, the Telecommunication was the only sector that responded to news. Most likely because the general market index OMXST30 has proved to create extra returns around these dates. That is probably the reason that the three sector indexes could not produce significant additional response.

Place, publisher, year, edition, pages
2011. , 42 p.
Keyword [en]
Stock returns, Opec announcements, event studies, CAPM and CAR
National Category
Economics and Business
URN: urn:nbn:se:sh:diva-11552OAI: diva2:442342
Subject / course
Economics; Economics
2011-06-08, Södertorns Högskola, Alfreds Nobel alle, 7 Fleminsberg, Huddinge, 12:00 (English)
Social and Behavioural Science, Law
Available from: 2011-09-27 Created: 2011-09-21 Last updated: 2011-09-27Bibliographically approved

Open Access in DiVA

fulltext(659 kB)311 downloads
File information
File name FULLTEXT01.pdfFile size 659 kBChecksum SHA-512
Type fulltextMimetype application/pdf

Search in DiVA

By author/editor
Moura, Luciana
By organisation
School of Social Sciences
Economics and Business

Search outside of DiVA

GoogleGoogle Scholar
Total: 311 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

Total: 259 hits
ReferencesLink to record
Permanent link

Direct link