Utländska börsers inverkan på Stockholmsbörsen
(2014) NEKH01 20132Department of Economics
- Abstract
- Issue: Does a statistical relationship between OMXS30 and S&P500 plus OMXS30 and DAX30 exist after extreme returns? Is it possible to explain the relationship between OMXS30 and S&P500 plus S&P500 and DAX30 with the chosen economic theories?
Purpose: The purpose is to examine the effects on OMXS30 during 6 days after extreme returns on S&P500 or DAX30 are present. These effects will be examined by looking at how the returns differ between the domestic stock index and the foreign stock indices. Subsequently we will try to identify a statistical relation between the various stock indices. The results will finally be evaluated with help of the established Classical Economic Theories and Behavioral Finance theory.
Metod: Both... (More) - Issue: Does a statistical relationship between OMXS30 and S&P500 plus OMXS30 and DAX30 exist after extreme returns? Is it possible to explain the relationship between OMXS30 and S&P500 plus S&P500 and DAX30 with the chosen economic theories?
Purpose: The purpose is to examine the effects on OMXS30 during 6 days after extreme returns on S&P500 or DAX30 are present. These effects will be examined by looking at how the returns differ between the domestic stock index and the foreign stock indices. Subsequently we will try to identify a statistical relation between the various stock indices. The results will finally be evaluated with help of the established Classical Economic Theories and Behavioral Finance theory.
Metod: Both quantitative and statistical methods will be used in the study. We will calculate descriptive statistics with mean, variance, standard deviation, skewness and kurtosis. Correlation- and regressions analysis will be used to identify possible statistical relations between OMXS30 and the foreign stock indices. The method will be applied during the time period 3:d of January 2003 – 3:d of January 2013.
Conclusion: With the statistical methods correlation analysis and regression analysis we could successfully find a statistical linear relation and dependence between OMXS30 and S&P500 respective OMXS30 and DAX30. In our study we could observe that the relationship was most significant during day 1 and 2. By examining various time periods we could also conclude that the linear relationship have increased over time, in most cases. We found that The Efficient Market Hypothesis and Random Walk were to some extent insufficient on explaining the results from our study during day 1 and 2. This led to an argumentation that the market may be ineffective during these periods with extreme returns, which led to alternative theories, which could explain the market anomalies. According to us, theories in Behavioral Finance were better suited on explaining the relations that have been observed on the stock market during the presence of extreme returns. Overreaction and Herd Instinct are, according to us, the best suited theories on explaining the analogous changes in return between OMXS30 and the foreign stock indices during day 1 and 2.We found that the theories Familiarities, Conservatism and Anchoring Effect, were better on explaining the differences between the foreign stock indices impact on OMXS30 during the 6 days after extreme returns. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/4295316
- author
- Pfeffer, Simon LU and Fyhn, Johan LU
- supervisor
-
- Bujar Huskaj LU
- organization
- alternative title
- Foreign stock markets influence on the Stockholm Stock Exchange
- course
- NEKH01 20132
- year
- 2014
- type
- M2 - Bachelor Degree
- subject
- keywords
- ADF, regression, correlation, coefficient of determination, The Efficient Market Hypothesis, extreme returns, Random Walk, Non-Random Walk, Behavioral Finance, Conservatism, Familiarities, OMXS30, S&P500, DAX30.
- language
- Swedish
- id
- 4295316
- date added to LUP
- 2014-02-11 14:09:24
- date last changed
- 2014-02-11 14:09:24
@misc{4295316,
abstract = {{Issue: Does a statistical relationship between OMXS30 and S&P500 plus OMXS30 and DAX30 exist after extreme returns? Is it possible to explain the relationship between OMXS30 and S&P500 plus S&P500 and DAX30 with the chosen economic theories?
Purpose: The purpose is to examine the effects on OMXS30 during 6 days after extreme returns on S&P500 or DAX30 are present. These effects will be examined by looking at how the returns differ between the domestic stock index and the foreign stock indices. Subsequently we will try to identify a statistical relation between the various stock indices. The results will finally be evaluated with help of the established Classical Economic Theories and Behavioral Finance theory.
Metod: Both quantitative and statistical methods will be used in the study. We will calculate descriptive statistics with mean, variance, standard deviation, skewness and kurtosis. Correlation- and regressions analysis will be used to identify possible statistical relations between OMXS30 and the foreign stock indices. The method will be applied during the time period 3:d of January 2003 – 3:d of January 2013.
Conclusion: With the statistical methods correlation analysis and regression analysis we could successfully find a statistical linear relation and dependence between OMXS30 and S&P500 respective OMXS30 and DAX30. In our study we could observe that the relationship was most significant during day 1 and 2. By examining various time periods we could also conclude that the linear relationship have increased over time, in most cases. We found that The Efficient Market Hypothesis and Random Walk were to some extent insufficient on explaining the results from our study during day 1 and 2. This led to an argumentation that the market may be ineffective during these periods with extreme returns, which led to alternative theories, which could explain the market anomalies. According to us, theories in Behavioral Finance were better suited on explaining the relations that have been observed on the stock market during the presence of extreme returns. Overreaction and Herd Instinct are, according to us, the best suited theories on explaining the analogous changes in return between OMXS30 and the foreign stock indices during day 1 and 2.We found that the theories Familiarities, Conservatism and Anchoring Effect, were better on explaining the differences between the foreign stock indices impact on OMXS30 during the 6 days after extreme returns.}},
author = {{Pfeffer, Simon and Fyhn, Johan}},
language = {{swe}},
note = {{Student Paper}},
title = {{Utländska börsers inverkan på Stockholmsbörsen}},
year = {{2014}},
}