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Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden

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  • Lennart Berg

    ()
    (Department of Economics, Uppsala University, Sweden)

Abstract

Using daily data for the Swedish stock market for the last two decades, it appears that no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and to some extent eliminates seasonal patterns in conditional volatility. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market exists. The evidence from a simulation with 400 different trading rules also supports the hypothesis of a weak form of market efficiency.

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Bibliographic Info

Article provided by Finnish Economic Association in its journal Finnish Economic Papers.

Volume (Year): 16 (2003)
Issue (Month): 2 (Autumn)
Pages: 61-71

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Handle: RePEc:fep:journl:v:16:y:2003:i:2:p:61-71

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  1. Bollerslev, Tim & Engle, Robert F. & Nelson, Daniel B., 1986. "Arch models," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 49, pages 2959-3038 Elsevier.
  2. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  3. Glosten, Lawrence R & Jagannathan, Ravi & Runkle, David E, 1993. " On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks," Journal of Finance, American Finance Association, vol. 48(5), pages 1779-1801, December.
  4. Lamoureux, Christopher G & Lastrapes, William D, 1990. " Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects," Journal of Finance, American Finance Association, vol. 45(1), pages 221-29, March.
  5. Jose Montalvo, 1999. "Volume versus GARCH effects reconsidered: an application to the Spanish Government Bond Futures Market," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 469-475.
  6. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
  7. Berg, Lennart & Lyhagen, Johan, 1996. "Short and Long Run Dependence in Swedish Stock Returns," Working Paper Series 1996:19, Uppsala University, Department of Economics.
  8. Bollerslev, Tim & Ghysels, Eric, 1996. "Periodic Autoregressive Conditional Heteroscedasticity," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(2), pages 139-51, April.
  9. Hansson, Bjorn & Hordahl, Peter, 1997. " Changing Risk Premia: Evidence from a Small Open Economy," Scandinavian Journal of Economics, Wiley Blackwell, vol. 99(2), pages 335-50, June.
  10. Andersen, Torben G, 1996. " Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility," Journal of Finance, American Finance Association, vol. 51(1), pages 169-204, March.
  11. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January.
  12. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  13. Lennart Berg & Johan Lyhagen, 1998. "Short and long-run dependence in Swedish stock returns," Applied Financial Economics, Taylor & Francis Journals, vol. 8(4), pages 435-443.
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