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Stock Market Efficiency: A Test of the Swedish Stock Market in the Weak Form
Linköping University, Department of Management and Economics.
Linköping University, Department of Management and Economics.
2003 (English)Independent thesis Advanced level (degree of Magister)Student thesis
Abstract [en]

Background: A well-known study, similar to ours, was made in 1985 in America, showing that "loser" portfolios outperformed the market while "winner" portfolios earned less return than the market. This finding is not in accordance with the theory of efficient markets. If a market is efficient, there should be no possibility of making sustainable excess returns and prices should follow a random walk.

Purpose: The purpose of this thesis is to study a "winner" portfolio and a "loser" portfolio in order to establish whether the Swedish stock market is efficient in the weak form. We will study the efficiency of the A-list at Stockholm Stock Exchange.

Delimitations: We test efficiency of the Swedish stock market in the weak form. Our investigation comprises stocks registered on the A-list of the Stockholm Stock Exchange. We do not take tax- and transactions costs into consideration in this study.

Methodology: "Winner" and "loser" portfolios are formed for the period 1997- 2002. We keep the portfolios during a test period of one year, i.e. form new portfolios at the end of each year. The first winner and loser portfolios are selected on the last day of trading in 1996 and the last two portfolios are selected on the last day of trading in 2001.

Results: Our result indicates that the Swedish stock market is efficient in the weak form during the period 1997-2002.

Place, publisher, year, edition, pages
Ekonomiska institutionen , 2003. , 45 p.
Series
Master Thesis in Business Administration (Magisteruppsats från Internationella ekonomprogrammet), 2003:08
Keyword [en]
Business and economics, Market efficiency, efficient markets, weak form of efficiency, anomalies, risk and return.
Keyword [sv]
Ekonomi
National Category
Economics and Business
Identifiers
URN: urn:nbn:se:liu:diva-1536OAI: oai:DiVA.org:liu-1536DiVA: diva2:18860
Uppsok
samhälle/juridik
Available from: 2003-01-23 Created: 2003-01-23

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • oxford
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf