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Blankning-en studie av instrumentets effekter på Stockholmsbörsen

Emilson, Henrik and Jansson, Wilhelm (2009)
Department of Economics
Abstract
Purpose: The purpose of this study is to investigate possible links between short selling and the stock market movements using econometric test models. Methodology: A quantitative study carried out on the time series stock lending and OMX Stockholm 30 index. Information is gathered through qualitative interviews with specialists in the field of stock lending, and studies of relevant newspaper articles and reports. Theoretical approach: The theoretical frame of reference is a further consideration of supply and demand theory. The empirical study is implemented by the simple linear regression model and a vector autoregressive model (VAR). Empirical foundation: Based on the theoretical frame of reference, the link between the time series is... (More)
Purpose: The purpose of this study is to investigate possible links between short selling and the stock market movements using econometric test models. Methodology: A quantitative study carried out on the time series stock lending and OMX Stockholm 30 index. Information is gathered through qualitative interviews with specialists in the field of stock lending, and studies of relevant newspaper articles and reports. Theoretical approach: The theoretical frame of reference is a further consideration of supply and demand theory. The empirical study is implemented by the simple linear regression model and a vector autoregressive model (VAR). Empirical foundation: Based on the theoretical frame of reference, the link between the time series is examined by using selected econometric models. Conclusion: The empirical research can only verify linkage between the time series when investigated during uncertain times. Poor evidence of a positive linear linkage can be studied in some parts of the time series. This means that the increased frequency of short selling can be observed during rise of index value. In contrast to the result noted, the outcome of the study demonstrate that short selling do not affect prices of the OMX Stockholm 30 index. (Less)
Please use this url to cite or link to this publication:
@misc{1335225,
  abstract     = {Purpose: The purpose of this study is to investigate possible links between short selling and the stock market movements using econometric test models. Methodology: A quantitative study carried out on the time series stock lending and OMX Stockholm 30 index. Information is gathered through qualitative interviews with specialists in the field of stock lending, and studies of relevant newspaper articles and reports. Theoretical approach: The theoretical frame of reference is a further consideration of supply and demand theory. The empirical study is implemented by the simple linear regression model and a vector autoregressive model (VAR). Empirical foundation: Based on the theoretical frame of reference, the link between the time series is examined by using selected econometric models. Conclusion: The empirical research can only verify linkage between the time series when investigated during uncertain times. Poor evidence of a positive linear linkage can be studied in some parts of the time series. This means that the increased frequency of short selling can be observed during rise of index value. In contrast to the result noted, the outcome of the study demonstrate that short selling do not affect prices of the OMX Stockholm 30 index.},
  author       = {Emilson, Henrik and Jansson, Wilhelm},
  keyword      = {Aktielån,blankning,Tidsserie,OMX Stockholm 30 index,Enkel Regressionsanalys,Vektor Autoregressiv Modell (VAR),det Dynamiska Utbudet,Economics, econometrics, economic theory, economic systems, economic policy,Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik},
  language     = {swe},
  note         = {Student Paper},
  title        = {Blankning-en studie av instrumentets effekter på Stockholmsbörsen},
  year         = {2009},
}