En slumpmässig vandring eller genomsnittlig återgång: Råder förutsägbarhet på Stockholmsbörsen?
Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
This study has been conducted in order to determine the existence of predictability for the Stockholm stock exchange. With this purpose the random walk theory has been raised against the theory of mean reversion in order to determine which theory is the most substantial. Data has been collected from Nasdaq OMX Nordic and furtherly been processed using the statistical software EViews. Swedish listed companies’ daily share values between 2000-2014 have been analyzed using two tests; an Augmented Dickey Fuller test and a Variance Ratio test. The results show generally that the null hypothesis - and thus the random walk - is rejected in the short term. This means that both on an aggregated level and on an individual level, the Stockholm stock exchange is predictable in the short term - in the form of mean reversion - and that it is most evident in small cap firms.
Place, publisher, year, edition, pages
2014. , 52 p.
mean reversion random walk Stockholmsbörsen
IdentifiersURN: urn:nbn:se:sh:diva-24069OAI: oai:DiVA.org:sh-24069DiVA: diva2:724435
Subject / course
UppsokSocial and Behavioural Science, Law
Smolander, Maria, Högskolelektor