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
RETURN PATTERNS PROXIMAL TO CENTRAL BANK RATE DECISION ANNOUNCEMENTS: OMX 30 excess return and monetary policy announcements
Stockholm University, Faculty of Social Sciences, Stockholm Business School, Finance.
2014 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

In this study, it is determined that excess returns on the OMX 30 are confirmed to rise in anticipation of monetary policy decisions made by the central banks of Sweden and The United States of America. Those findings were manifested at a greater magnitude on the first day prior to the announcements and on a statistically significant level one day prior to monetary policy decisions from the Federal Open Market Committee. Moreover, excess returns beyond the average rate were found to be substantially higher on the first and third day prior monetary policy decisions from the Swedish Central bank (Riksbanken) albeit not on a statistically significant level. The results drawn from the data in the study were reinforced by findings in similar tests conducted during times of global recession.  

Place, publisher, year, edition, pages
2014. , 26 p.
Keyword [en]
FOMC announcements; Monetary policy announcement; News shock; Anomaly: Market efficiency; Momentum trading
National Category
Business Administration
Identifiers
URN: urn:nbn:se:su:diva-105824OAI: oai:DiVA.org:su-105824DiVA: diva2:731954
Supervisors
Examiners
Available from: 2014-07-03 Created: 2014-07-02 Last updated: 2014-07-03Bibliographically approved

Open Access in DiVA

BEc_Linus_Akerstrom(349 kB)125 downloads
File information
File name FULLTEXT01.pdfFile size 349 kBChecksum SHA-512
6bc8952b70c5702f9c64688053026887c5d5b63ea461a8a2b6effefc059ac13a109efdd3b16e97f7944bbfa8dbde6786106a8a63d908c093ee50227852023347
Type fulltextMimetype application/pdf

By organisation
Finance
Business Administration

Search outside of DiVA

GoogleGoogle Scholar
Total: 125 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: 767 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