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Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market

Blomqvist, Kristoffer LU (2013) NEKN01 20131
Department of Economics
Abstract
Using the methodology introduced by Campbell et al. (2001), we decompose and evaluate the historical volatility patterns of the Swedish stock market in the time period 1985 - 2012. The volatility at all component levels, including idiosyncratic risk, appear to be fairly stable throughout the sample, with the exception of temporary dramatic increases during periods of economic distress. As opposed to Campbell et al. (2001), we do not find an upward trend in idiosyncratic volatility in the full sample period. Increased competition or an increased number of listed firms does not appear to cause an increase in idiosyncratic risk in Sweden. A similar approach is used to study the volatility of individual industries. The results are mixed. Six... (More)
Using the methodology introduced by Campbell et al. (2001), we decompose and evaluate the historical volatility patterns of the Swedish stock market in the time period 1985 - 2012. The volatility at all component levels, including idiosyncratic risk, appear to be fairly stable throughout the sample, with the exception of temporary dramatic increases during periods of economic distress. As opposed to Campbell et al. (2001), we do not find an upward trend in idiosyncratic volatility in the full sample period. Increased competition or an increased number of listed firms does not appear to cause an increase in idiosyncratic risk in Sweden. A similar approach is used to study the volatility of individual industries. The results are mixed. Six out of 19 industries exhibit a significant trend in the full sample period, of which four have
negative trend coefficients. (Less)
Please use this url to cite or link to this publication:
author
Blomqvist, Kristoffer LU
supervisor
organization
course
NEKN01 20131
year
type
H1 - Master's Degree (One Year)
subject
keywords
Idiosyncratic volatility, volatility decomposition, stock market volatility, predictive power, industry volatility
language
English
id
4022538
date added to LUP
2013-09-17 16:36:06
date last changed
2013-09-17 16:36:06
@misc{4022538,
  abstract     = {Using the methodology introduced by Campbell et al. (2001), we decompose and evaluate the historical volatility patterns of the Swedish stock market in the time period 1985 - 2012. The volatility at all component levels, including idiosyncratic risk, appear to be fairly stable throughout the sample, with the exception of temporary dramatic increases during periods of economic distress. As opposed to Campbell et al. (2001), we do not find an upward trend in idiosyncratic volatility in the full sample period. Increased competition or an increased number of listed firms does not appear to cause an increase in idiosyncratic risk in Sweden. A similar approach is used to study the volatility of individual industries. The results are mixed. Six out of 19 industries exhibit a significant trend in the full sample period, of which four have 
negative trend coefficients.},
  author       = {Blomqvist, Kristoffer},
  keyword      = {Idiosyncratic volatility,volatility decomposition,stock market volatility,predictive power,industry volatility},
  language     = {eng},
  note         = {Student Paper},
  title        = {Volatility Patterns and Idiosyncratic Risk on the Swedish Stock Market},
  year         = {2013},
}