Essays about: "Stock indices"

Showing result 1 - 5 of 114 essays containing the words Stock indices.

  1. 1. Testing the weak form EMH - An empirical study of the Swedish stock market

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Joel Frank; Viktor Öhrström; [2019-07-11]
    Keywords : ;

    Abstract : This thesis investigates whether the Swedish stock market shows signs of weak form efficiency between January 2012 and January 2019. Weekly data is gathered from the OMXSPI and from three indices of different capitalization segments, namely Large cap, Mid cap and Small cap. READ MORE

  2. 2. Volatility forecasting using the GARCH framework on the OMXS30 and MIB30 stock indices

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Volatility forecasting; Random Walk; Moving Average; Exponentially Weighted Moving Average; GARCH; EGARCH; GJR-GARCH; APGARCH; volatility model valuation; regression; information criterion;

    Abstract : There are many models on the market that claim to predict changes in financial assets as stocks on the Stockholm stock exchange (OMXS30) and the Milano stock exchange index (MIB30). Which of these models gives the best forecasts for further risk management purposes for the period 31st of October 2003 to 30th of December 2008? Is the GARCH framework more successful in forecasting volatility than more simple models as the Random Walk, Moving Average or the Exponentially Weighted Moving Average?The purpose of this study is to find and investigate different volatility forecasting models and especially GARCH models that have been developed during the years. READ MORE

  3. 3. Value at Risk and Expected Shortfall risk measures using Extreme Value Theory

    University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Author : Peter Johansson; [2019-01-22]
    Keywords : Extreme Value Theory; Generalized Pareto Distribution; Point-Over-Threshold method; risk measures; Value at Risk; Expected Shortfall;

    Abstract : Calculating risk measures as Value at Risk (VaR) and Expected Shortfall (ES) has become popular for institutions and agents in financial markets. A main drawback with these risk measures is that they traditionally assume a specific distribution, as the Normal distribution or the Student’s t distribution. READ MORE

  4. 4. Portfolio Optimization : A DCC-GARCH forecast with implied volatility

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

    Author : Sam Bigdeli; Filip Bengtsson; [2019]
    Keywords : DCC-GARCH; Portfolio Optimization; Certainty Equivalence Tangency; CET; Global Minimum Variance; GMV; Minimum Conditional Value-at-Risk; MinCVaR; Implied volatility index; VIX;

    Abstract : This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1. READ MORE

  5. 5. There is such a thing as a free lunch, but it will cost you: a study on costly arbitrage and the index effect

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Sandra Andersson; Nicklas Kövamees; [2019]
    Keywords : arbitrage risk; demand curve slopes; index effect; market efficiency; transaction costs;

    Abstract : This thesis examines how stock returns around inclusions into and exclusions from the Swedish OMX Stockholm Benchmark and OMX Stockholm 30 indices are affected by arbitrage risk and transaction costs. We observe that during the 30 trading days preceding the announcement of a stock's inclusion in either index, stocks with high arbitrage risk and high transaction costs experience high positive abnormal returns, and vice versa. READ MORE