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Dancing to the Index Beat - When Stocks Move in Sync

Haqués, Viggo LU ; Korpy, Baback and Öster, Lucas (2025) FEKH89 20242
Department of Business Administration
Abstract
This study investigates the presence of excess comovement in the Swedish stock market by analyzing index events from the OMX Stockholm Benchmark Index. Using univariate regressions with OLS estimation, changes in stock return behavior before and after an index event are examined, while controlling for momentum effects and pre-trading influences. T-tests are conducted to determine the statistical significance of the observed changes.

The theoretical framework is based on prior research on excess comovement, momentum effects, and the efficient market hypothesis. The results indicate no statistically significant evidence of excess comovement in the Swedish stock market. However, the findings suggest that stocks added to the OMXSB index... (More)
This study investigates the presence of excess comovement in the Swedish stock market by analyzing index events from the OMX Stockholm Benchmark Index. Using univariate regressions with OLS estimation, changes in stock return behavior before and after an index event are examined, while controlling for momentum effects and pre-trading influences. T-tests are conducted to determine the statistical significance of the observed changes.

The theoretical framework is based on prior research on excess comovement, momentum effects, and the efficient market hypothesis. The results indicate no statistically significant evidence of excess comovement in the Swedish stock market. However, the findings suggest that stocks added to the OMXSB index experience an increase in fundamental beta, implying that momentum effects may create the illusion of excess comovement during the studied period (2009–2018) (Less)
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author
Haqués, Viggo LU ; Korpy, Baback and Öster, Lucas
supervisor
organization
course
FEKH89 20242
year
type
M2 - Bachelor Degree
subject
keywords
Excess Comovement, Momentum, Efficient market hypothesis, Fundamental factors, Non-fundamental factors
language
English
id
9185019
date added to LUP
2025-03-23 11:57:00
date last changed
2025-03-23 11:57:00
@misc{9185019,
  abstract     = {{This study investigates the presence of excess comovement in the Swedish stock market by analyzing index events from the OMX Stockholm Benchmark Index. Using univariate regressions with OLS estimation, changes in stock return behavior before and after an index event are examined, while controlling for momentum effects and pre-trading influences. T-tests are conducted to determine the statistical significance of the observed changes.

The theoretical framework is based on prior research on excess comovement, momentum effects, and the efficient market hypothesis. The results indicate no statistically significant evidence of excess comovement in the Swedish stock market. However, the findings suggest that stocks added to the OMXSB index experience an increase in fundamental beta, implying that momentum effects may create the illusion of excess comovement during the studied period (2009–2018)}},
  author       = {{Haqués, Viggo and Korpy, Baback and Öster, Lucas}},
  language     = {{eng}},
  note         = {{Student Paper}},
  title        = {{Dancing to the Index Beat - When Stocks Move in Sync}},
  year         = {{2025}},
}