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MIsbehaving Months

Hallgren Johansson, Oscar LU (2018) NEKH02 20172
Department of Economics
Abstract
This thesis searches for the presence of seasonal anomalies in monthly returns on the Stockholm Stock Exchange. Three indexes are investigated, one small-cap-index OMXSSCPI, one large-firm-index OMXS30, and one index containing all stocks on the exchange OMXSPI. Econometric regressions and statistical methods are used in order to investigate. Subsample regressions are also used in order to examine the strength and underlying trends of the full time series data of the indices. I find empirical evidence of presence of the January effect in the small cap index and not for the large firm index or for the exchange as a whole. Its also found that September carries a considerably large negative anomaly in the index of the exchange as a whole, and... (More)
This thesis searches for the presence of seasonal anomalies in monthly returns on the Stockholm Stock Exchange. Three indexes are investigated, one small-cap-index OMXSSCPI, one large-firm-index OMXS30, and one index containing all stocks on the exchange OMXSPI. Econometric regressions and statistical methods are used in order to investigate. Subsample regressions are also used in order to examine the strength and underlying trends of the full time series data of the indices. I find empirical evidence of presence of the January effect in the small cap index and not for the large firm index or for the exchange as a whole. Its also found that September carries a considerably large negative anomaly in the index of the exchange as a whole, and even more for the large firms’ index only. Some more anomalies are also found to be present. It is also established how the smaller sized firms has more presence of positive anomaly while the larger firms have more presence of negative anomalies. (Less)
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author
Hallgren Johansson, Oscar LU
supervisor
organization
course
NEKH02 20172
year
type
M2 - Bachelor Degree
subject
keywords
Seasonal Anomaly, Stockholm Stock Exchange, Return Patterns, OMXSPI, OMXS30, OMXSSCPI
language
English
id
8934232
date added to LUP
2018-02-14 18:32:23
date last changed
2018-02-14 18:32:23
@misc{8934232,
  abstract     = {{This thesis searches for the presence of seasonal anomalies in monthly returns on the Stockholm Stock Exchange. Three indexes are investigated, one small-cap-index OMXSSCPI, one large-firm-index OMXS30, and one index containing all stocks on the exchange OMXSPI. Econometric regressions and statistical methods are used in order to investigate. Subsample regressions are also used in order to examine the strength and underlying trends of the full time series data of the indices. I find empirical evidence of presence of the January effect in the small cap index and not for the large firm index or for the exchange as a whole. Its also found that September carries a considerably large negative anomaly in the index of the exchange as a whole, and even more for the large firms’ index only. Some more anomalies are also found to be present. It is also established how the smaller sized firms has more presence of positive anomaly while the larger firms have more presence of negative anomalies.}},
  author       = {{Hallgren Johansson, Oscar}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{MIsbehaving Months}},
  year         = {{2018}},
}