Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden
AbstractUsing daily data for the Swedish stock market for almost the last two decades 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 eliminates to some extent seasonal patterns in conditional volatility. The daily turnover is a proxy variable used to test the mixture distribution model. According to this model the conditional variance of returns will display a GARCH-pattern of behaviour if the number of trades on the stock market during a day are serially correlated. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market exists, and trading days particularly after holidays has a positive impact on the conditional volatility. The test of the model’s mean equation indicates that the Swedish stock market seems to become more and more information efficient, at least in its weak form, if the 1990’s are compared with the 1980’s.
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Bibliographic InfoPaper provided by Uppsala University, Department of Economics in its series Working Paper Series with number 2000:9.
Length: 18 pages
Date of creation: 15 Aug 2000
Date of revision:
Publication status: Published in Finnish Economic Papers, 2003, pages 61-71.
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Postal: Department of Economics, Uppsala University, P. O. Box 513, SE-751 20 Uppsala, Sweden
Phone: + 46 18 471 25 00
Fax: + 46 18 471 14 78
Web page: http://www.nek.uu.se/
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Stock market; market efficiency; GARCH modelling; deterministic seasonal volatility;
Other versions of this item:
- Lennart Berg, 2003. "Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden," Finnish Economic Papers, Finnish Economic Association, vol. 16(2), pages 61-71, Autumn.
- 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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