Essays about: "Stock indices"

Showing result 41 - 45 of 156 essays containing the words Stock indices.

  1. 41. Coronavirus-Related Sentiment and Stock Prices : Measuring Sentiment Effects on Swedish Stock Indices

    University essay from KTH/Fastigheter och byggande

    Author : Olga Piksina; Patricia Vernholmen; [2020]
    Keywords : market sentiment; behavioural finance; market efficiency; coronavirus; Swedish stock market; text analytics; sentiment analysis; news mining; marknadssentiment; beteendefinans; marknadseffektivitet; coronaviruset; svensk aktiemarknad; textanalys; sentimentanalys; news mining;

    Abstract : This thesis examines the effect of coronavirus-related sentiment on Swedish stock market returns during the coronavirus pandemic. We study returns on the large cap and small cap price indices OMXSLCPI and OMXSSCPI during the period January 2, 2020 – April 30, 2020. READ MORE

  3. 42. Predicting and Assessing Economic Crises

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Maria Engelson; [2020]
    Keywords : Financial Crisis Forecasting; Early Warning Models; Macroeconomic Imbalances; COVID-19; Stock Market Crash;

    Abstract : This document constitutes of two theses to fulfil Stockholm School of Economics requirements for the Double Degree Programme in Finance between Stockholm School of Economics (Home School) and Universita` Commerciale Luigi Bocconi (Host School). The first thesis was written, submitted, and defended at Universita` Commerciale Luigi Bocconi in July 2020. READ MORE

  4. 43. 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

  5. 44. 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

  6. 45. 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