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Effects of changes in the Icelandic capital controls: An event study on the stock price of Össur hf.

Kristinsson, Daníel LU (2015) NEKP01 20151
Department of Economics
Abstract (Swedish)
The aim of the thesis is to examine whether changes in the capital controls affect the
premium of the cross-listed stock of Össur hf., it is listed on the Icelandic and Copenhagen
stock exchange. The price difference is examined with two currency rates, the official rate
as given by the Central bank of Iceland and the offshore rate. The Icelandic market is
bounded within capital controls, while the market in Denmark is not. From the
introduction of the capital controls in 2008, they have been a subject of continuous
change, and this study examines the effects of these changes on the premium between
the Icelandic and Danish Össur stocks. The study uses a market model, adjusted for timevarying
volatility, which contributes more... (More)
The aim of the thesis is to examine whether changes in the capital controls affect the
premium of the cross-listed stock of Össur hf., it is listed on the Icelandic and Copenhagen
stock exchange. The price difference is examined with two currency rates, the official rate
as given by the Central bank of Iceland and the offshore rate. The Icelandic market is
bounded within capital controls, while the market in Denmark is not. From the
introduction of the capital controls in 2008, they have been a subject of continuous
change, and this study examines the effects of these changes on the premium between
the Icelandic and Danish Össur stocks. The study uses a market model, adjusted for timevarying
volatility, which contributes more concrete results. The results from the study
indicate strongly, that the price differential is affected by the changes in the capital
controls. Moreover, how the change is implemented is a key factor in the overall
significance of the change. (Less)
Please use this url to cite or link to this publication:
author
Kristinsson, Daníel LU
supervisor
organization
course
NEKP01 20151
year
type
H2 - Master's Degree (Two Years)
subject
keywords
Capital controls, Cross-listing, GARCH, market model, premium
language
English
id
5467312
date added to LUP
2015-06-30 10:24:26
date last changed
2015-06-30 10:24:26
@misc{5467312,
  abstract     = {The aim of the thesis is to examine whether changes in the capital controls affect the
premium of the cross-listed stock of Össur hf., it is listed on the Icelandic and Copenhagen
stock exchange. The price difference is examined with two currency rates, the official rate
as given by the Central bank of Iceland and the offshore rate. The Icelandic market is
bounded within capital controls, while the market in Denmark is not. From the
introduction of the capital controls in 2008, they have been a subject of continuous
change, and this study examines the effects of these changes on the premium between
the Icelandic and Danish Össur stocks. The study uses a market model, adjusted for timevarying
volatility, which contributes more concrete results. The results from the study
indicate strongly, that the price differential is affected by the changes in the capital
controls. Moreover, how the change is implemented is a key factor in the overall
significance of the change.},
  author       = {Kristinsson, Daníel},
  keyword      = {Capital controls,Cross-listing,GARCH,market model,premium},
  language     = {eng},
  note         = {Student Paper},
  title        = {Effects of changes in the Icelandic capital controls: An event study on the stock price of Össur hf.},
  year         = {2015},
}