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Volatilitet och effektivitet på aktiemarknaden -Har risken i enskilda aktier ökat?
Linköping University, Department of Management and Economics.
2002 (Swedish)Independent thesis Advanced level (degree of Magister)Student thesisAlternative title
Volatility and Efficiency on the Stock Market : Has the Risk in Individual Stocks Risen? (English)
Abstract [sv]

I denna uppsats diskuteras sambandet mellan risk, marknadseffektivitet och volatilitet. En studie görs för att se om volatiliteten (kursrörligheten) har ökat i enskilda aktier under tidsperioden 1988-1999. Vidare behandlas vilka faktorer som kan ge upphov till volatilitetsförändringar, vilka konsekvenser en förändrad volatilitet får för olika typer av investerare samt om utvecklingen är förenlig med EMH (den effektiva marknadshypotesen).Studier av volatilitet är intressanta p g a den risk som uppstår för olika marknadsaktörer vid en ökad volatilitet. Uppstår felvärderingar på aktiemarknaden finns även risk för att kapital fördelas på ett sätt som inte är optimalt. I stora drag kan man definiera begreppet volatilitet som ett mått på hur stor osäkerheten är inför den framtida kursutvecklingen för en aktie. Volatilitet är att betrakta som kortsiktiga rörelser i finansiella priser under loppet av en dag eller från en dag till en annan, men begreppet används också

Abstract [en]

In this paper the relation between risk, market efficiency and volatility is being discussed. A study has been made to see if there has been any change in the volatility for individual stocks during the time period 1988-1999. Further, the factors that contribute to changes in the volatility have been examined and also which the consequences are for various types of investors and whether the developement is consistent with the efficient market hypothesis. The study of volatility is interesting because of the risk that an increased volatility entails for the investors. When mispricing occurs in the stockmarket there is also a risk for a non-optimal allocation of capital. Roughly speaking the definition of volatility is how large the uncertainty is about the future return from an individual stock. Volatility is considered to be short time period movements in financial prices within a day or from one day to another but is also used as a mesaure to describe price

Place, publisher, year, edition, pages
Ekonomiska institutionen , 2002. , 40 p.
Series
Master Thesis in Economics, 2002:10
Keyword [en]
Economics, individual stocks, volatility, efficiency, financial markets
Keyword [sv]
Nationalekonomi
National Category
Economics
Identifiers
URN: urn:nbn:se:liu:diva-1472OAI: oai:DiVA.org:liu-1472DiVA: diva2:18796
Uppsok
samhälle/juridik
Available from: 2002-12-09 Created: 2002-12-09

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CiteExportLink to record
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Citation style
  • apa
  • harvard1
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  • vancouver
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  • Other style
More styles
Language
  • de-DE
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  • en-US
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  • nn-NB
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  • Other locale
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Output format
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