MIsbehaving Months

Abstract: This thesis searches for the presence of seasonal anomalies in monthly returns on the Stockholm Stock Exchange. Three indexes are investigated, one small-cap-index OMXSSCPI, one large-firm-index OMXS30, and one index containing all stocks on the exchange OMXSPI. Econometric regressions and statistical methods are used in order to investigate. Subsample regressions are also used in order to examine the strength and underlying trends of the full time series data of the indices. I find empirical evidence of presence of the January effect in the small cap index and not for the large firm index or for the exchange as a whole. Its also found that September carries a considerably large negative anomaly in the index of the exchange as a whole, and even more for the large firms’ index only. Some more anomalies are also found to be present. It is also established how the smaller sized firms has more presence of positive anomaly while the larger firms have more presence of negative anomalies.