Essays about: "OMXS30"

Showing result 6 - 10 of 167 essays containing the word OMXS30.

  1. 6. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    University essay from KTH/Matematik (Avd.)

    Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
    Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

  3. 7. A Sustainable Pioneer in a House on Fire

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Cindy Tieu; Julia Tran; [2023]
    Keywords : Climate finance; ESG scores; Event study; Paris agreement; Swedish stock market; Business and Economics;

    Abstract : This paper examines the impact of the Paris agreement on firms on the Swedish stock market. Additionally, the firms were also categorized into sustainable and unsustainable firms by their Environmental Pillar Score (which is part of the ESG score) in order to investigate performance differences between the two groups. READ MORE

  4. 8. Does Implied- or Historical Volatility predict Realized Volatility? : An empirical study conducted to find evidence for which out of historical volatility or implied volatility better forecasts the future volatility.

    University essay from Linnéuniversitetet/Institutionen för ekonomistyrning och logistik (ELO)

    Author : Gustav Sjöberg; Gustav Oom; [2023]
    Keywords : Implied volatility; historical volatility; realized volatility;

    Abstract : This study tests if historical volatility- and implied volatility has significant predictive power over future realized volatility and if so which one of the two is the superior predictor. The study is conducted by using historical volatility of the OMXS30 and implied volatility from OMXS30 call options during the period 2012-2023. READ MORE

  5. 9. Following the trend? : Using a time series momentum strategy on the Swedish stock market

    University essay from Umeå universitet/Nationalekonomi

    Author : Markus Haglund; [2023]
    Keywords : ;

    Abstract : The momentum strategy can be divided into two different sections where this study has focused on a time series momentum strategy where assets that in the previous period will continue in the same trend the following period. This theory stands in opposition to the efficient market hypothesis which in its weakest market form says that all previous market data is already incorporated in the price the asset is selling for today, and by that, it cannot be used to make abnormal profits. READ MORE

  6. 10. Option Expiration Day Impact on Underlying Stock Return- A Study on the Swedish Option Market

    University essay from Lunds universitet/Företagsekonomiska institutionen

    Author : Alisa Penkina; Alan Karaduman Sorsenger; Sirwan Kakai; [2023]
    Keywords : Option Market; Open Interest; Stock Return; Delta Hedging; Option Expiration Day; Business and Economics;

    Abstract : Research questions: Is there significant change in the stock return on option expiration dates in the underlying stock? Does the net open interest have an effect on the return of the underlying stock on option expiration day? Purpose: The purpose of the bachelor's thesis is to study whether there is a significant difference in the stock returns on option expiration dates in relation to the net open interest of the underlying stocks within the OMXS30 index. Methodology: A quantitative study using a deductive approach to statistically describe the relationship between the daily stock return with open interest and traded volume. READ MORE