Marknadskapitalisering i förhållande till BNP & dess effekt på faktormodeller: En jämförande analys av OMX Helsinki & Bolsa de Valores de Colombia 2014–2019
(2021) NEKH03 20202Department of Economics
- Abstract
- This thesis has investigated the relationship between market capitalization to GDP ratio relative to the Capital asset pricing model (CAPM) and Fama French three-factor model (FF3M). More specifically, the applicability and significance of market capitalization to GDP ratio to describe the relationship between excess return and risk. The study was conducted on OMX Helsinki and Bolsa de Valores de Colombia (BVC) separately, then analyzed the differences between the two markets. Finland and Colombia are both representative countries for emerged and emerging markets, with different market capitalization to GDP ratio. For data selection, we included all active companies during and listed before the research period 2014-2019 in the sample due... (More)
- This thesis has investigated the relationship between market capitalization to GDP ratio relative to the Capital asset pricing model (CAPM) and Fama French three-factor model (FF3M). More specifically, the applicability and significance of market capitalization to GDP ratio to describe the relationship between excess return and risk. The study was conducted on OMX Helsinki and Bolsa de Valores de Colombia (BVC) separately, then analyzed the differences between the two markets. Finland and Colombia are both representative countries for emerged and emerging markets, with different market capitalization to GDP ratio. For data selection, we included all active companies during and listed before the research period 2014-2019 in the sample due to the limited market size. Six portfolios were constructed in accordance with Fama and French (1993) for each country, and time series regression models were conducted on CAPM and FF3M. In addition to these two models, a hybrid model was created (HYB). The hybrid model includes market capitalization to GDP ratio as a variable based on the monthly percentage change. In previous studies, market capitalization to GDP ratio has shown to have a significant meaning for describing stock market development, stock market liquidity and development of financial intermediaries. The study concludes that market capitalization to GDP ratio as a variable in the time series regression has non-additional power to explain the systemic risk. In addition to the former statement, this paper concludes that CAPM and FF3M explains the systemic risk and excess return better for OMX Helsinki, Finland, with a higher market capitalization to GDP ratio than Colombia. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9040392
- author
- Wallin, Edvin LU and Klosterborg, Rikard
- supervisor
-
- Simon Reese LU
- organization
- course
- NEKH03 20202
- year
- 2021
- type
- M2 - Bachelor Degree
- subject
- keywords
- CAPM, Fama French three-factor model, Stock Market capitalization to GDP, OMX Helsinki, Colombia stock exchange
- language
- Swedish
- id
- 9040392
- date added to LUP
- 2021-03-11 12:11:10
- date last changed
- 2021-03-11 12:11:10
@misc{9040392, abstract = {{This thesis has investigated the relationship between market capitalization to GDP ratio relative to the Capital asset pricing model (CAPM) and Fama French three-factor model (FF3M). More specifically, the applicability and significance of market capitalization to GDP ratio to describe the relationship between excess return and risk. The study was conducted on OMX Helsinki and Bolsa de Valores de Colombia (BVC) separately, then analyzed the differences between the two markets. Finland and Colombia are both representative countries for emerged and emerging markets, with different market capitalization to GDP ratio. For data selection, we included all active companies during and listed before the research period 2014-2019 in the sample due to the limited market size. Six portfolios were constructed in accordance with Fama and French (1993) for each country, and time series regression models were conducted on CAPM and FF3M. In addition to these two models, a hybrid model was created (HYB). The hybrid model includes market capitalization to GDP ratio as a variable based on the monthly percentage change. In previous studies, market capitalization to GDP ratio has shown to have a significant meaning for describing stock market development, stock market liquidity and development of financial intermediaries. The study concludes that market capitalization to GDP ratio as a variable in the time series regression has non-additional power to explain the systemic risk. In addition to the former statement, this paper concludes that CAPM and FF3M explains the systemic risk and excess return better for OMX Helsinki, Finland, with a higher market capitalization to GDP ratio than Colombia.}}, author = {{Wallin, Edvin and Klosterborg, Rikard}}, language = {{swe}}, note = {{Student Paper}}, title = {{Marknadskapitalisering i förhållande till BNP & dess effekt på faktormodeller: En jämförande analys av OMX Helsinki & Bolsa de Valores de Colombia 2014–2019}}, year = {{2021}}, }