Essays about: "OMXSB"

Found 2 essays containing the word OMXSB.

1. 1. Excess Comovement by Index Events: An Extension to the Swedish Stock Market

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Hampus Adebäck; Eric Schagerlund; [2020]
   Keywords : Excess comovement; Index effect; Momentum; Matching stocks; OMXSB;

   Abstract : Using momentum and fundamental changes as control variables for stocks subject to index events have shown to disprove previous evidence of excess comovement (Chen et al, 2016, Kasch and Sarkar, 2014, Von Drathen, 2014). This thesis examines if the control variables disprove excess comovement, to the same extent, when examining an index on another stock market outside the U. READ MORE

3. 2. The Effects of Economic Variables on Swedish Stock Market Volatility A GARCH-MIDAS Approach

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Sebastian Kejlberg; [2018]
   Keywords : GARCH; MIDAS; stock market; volatility; macroeconomic; OMXSB; Sweden; Business and Economics;

   Abstract : This thesis applies the GARCH-MIDAS model to investigate the effects of macroeconomic variables, sentimental indicators, and financial variables on Swedish stock market volatility for the period January 2002 to December 2016. The GARCH-MIDAS framework allows the incorporation of data at different frequencies into the same model and decomposes volatility into two components. READ MORE