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Marknadseffektivitet - Undersökning av två branschers effektivitet vid annonsering av reporänteändringar

Hemmesåker, Emilia LU (2017) NEKH02 20162
Department of Economics
Abstract
How financial markets act on various events are important information for those who invest. It is therefore vital to know how efficient the market is. The main focus in this study is therefore to examine the effectiveness of the two industries on the Stockholm Stock Exchange. Based on analysis of the impact that occurs on the day of the announcement of the interest rate change to determine whether a market can be considered effective. Within the two sectors, industry and real estate, six companies has been analysed within the time period from 2006-01-20 to 2016-10-27. The method of an event study is used.

The result contained few significant values, which implicates that it is difficult to demonstrate that the change in the interest... (More)
How financial markets act on various events are important information for those who invest. It is therefore vital to know how efficient the market is. The main focus in this study is therefore to examine the effectiveness of the two industries on the Stockholm Stock Exchange. Based on analysis of the impact that occurs on the day of the announcement of the interest rate change to determine whether a market can be considered effective. Within the two sectors, industry and real estate, six companies has been analysed within the time period from 2006-01-20 to 2016-10-27. The method of an event study is used.

The result contained few significant values, which implicates that it is difficult to demonstrate that the change in the interest rate have had an effect on the market. Even diagrams of the various changes during the time period are included in the analysis. In the graphs you can see to some extent that there are a change from the day before announcement to the announcement day. But since the effect is not significant; it may also mean that there has not been any change.

The conclusion of the study is that it is difficult to demonstrate that the market is efficient since the results contained few significant values. It is also difficult to completely isolate one event and it can therefore also be other events that affect during the event period. Another reason for the few significant values may be that the interest rate change is rarely a big shock, which means that the market can still be effective. Therefore are further studies required to ascertain which level of efficiency that exist. (Less)
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author
Hemmesåker, Emilia LU
supervisor
organization
course
NEKH02 20162
year
type
M2 - Bachelor Degree
subject
keywords
Market efficiency, event study, interest rate
language
Swedish
id
8901959
date added to LUP
2017-02-10 13:45:59
date last changed
2017-02-10 13:45:59
@misc{8901959,
  abstract     = {How financial markets act on various events are important information for those who invest. It is therefore vital to know how efficient the market is. The main focus in this study is therefore to examine the effectiveness of the two industries on the Stockholm Stock Exchange. Based on analysis of the impact that occurs on the day of the announcement of the interest rate change to determine whether a market can be considered effective. Within the two sectors, industry and real estate, six companies has been analysed within the time period from 2006-01-20 to 2016-10-27. The method of an event study is used.

The result contained few significant values, which implicates that it is difficult to demonstrate that the change in the interest rate have had an effect on the market. Even diagrams of the various changes during the time period are included in the analysis. In the graphs you can see to some extent that there are a change from the day before announcement to the announcement day. But since the effect is not significant; it may also mean that there has not been any change.

The conclusion of the study is that it is difficult to demonstrate that the market is efficient since the results contained few significant values. It is also difficult to completely isolate one event and it can therefore also be other events that affect during the event period. Another reason for the few significant values may be that the interest rate change is rarely a big shock, which means that the market can still be effective. Therefore are further studies required to ascertain which level of efficiency that exist.},
  author       = {Hemmesåker, Emilia},
  keyword      = {Market efficiency,event study,interest rate},
  language     = {swe},
  note         = {Student Paper},
  title        = {Marknadseffektivitet - Undersökning av två branschers effektivitet vid annonsering av reporänteändringar},
  year         = {2017},
}