Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden
AbstractUsing 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 InfoArticle provided by Finnish Economic Association in its journal Finnish Economic Papers.
Volume (Year): 16 (2003)
Issue (Month): 2 (Autumn)
Other versions of this item:
- Berg, Lennart, 2000. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Working Paper Series 2000:9, Uppsala University, Department of Economics.
- Berg, L., 2000. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweeden," Papers 2000:9, Uppsala - Working Paper Series.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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