Essays on stock price behaviour in Sweden:
Gespeichert in:
1. Verfasser: | |
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Format: | Abschlussarbeit Buch |
Sprache: | English |
Veröffentlicht: |
Lund
Univ., Dep. of Economics
1994
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Schriftenreihe: | Lund economic studies
55 |
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis |
Beschreibung: | IV, 158 S. graph. Darst. |
Internformat
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100 | 1 | |a Frennberg, Per |e Verfasser |4 aut | |
245 | 1 | 0 | |a Essays on stock price behaviour in Sweden |c Per Frennberg |
264 | 1 | |a Lund |b Univ., Dep. of Economics |c 1994 | |
300 | |a IV, 158 S. |b graph. Darst. | ||
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490 | 1 | |a Lund economic studies |v 55 | |
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Datensatz im Suchindex
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adam_text | Contents
Contents
Preface iii
Introduction and summary 1
Other empirical work on stock price behaviour in Sweden 1
Summary of thesis 4
References 8
Essays:
I. Some distributional properties of monthly stock returns in Sweden 1919 1990 11
1 Introduction 11
2 Common distributional assumptions in finance 11
3 Examining the assumption of normality 14
4 Testing the assumptions of serial independence and non seasonality 19
5 Stable or changing volatility 26
6 Conclusions 30
References 31
II. An evaluation of alternative modeis for predicting stock volatility:
Evidence from a small stock market 35
1 Introduction 35
2 Modelling conditional volatility for stock returns 36
3 Design of the study 37
4 Results 49
5 Summary 54
References 55
III. The economic significance of predictable stock returns and stock volatility 57
1 Introduction 57
2 The modeis to be evaluated 58
3 Empirical strategy 62
4 Results 70
5 Concluding remarks 80
References
IV. Testing the random walk hypothesis on Swedish stock prices 1919 1990 85
1 Introduction 8^
2 Theory and methodology 86
3 Empirical results
4 Summary and concluding notes
References 101
I
Contents
V. Stock prices and large exchange rate adjustments
• Some Swedish experience 103
1 Introduction 103
2 Swedish exchange rate policy 1976 1992 104
3 Exchange rate adjustments and firm value 105
4 Empirical strategy 107
5 Results 111
6 Summary and concluding remarks 122
References 124
Appendix. List of stocks 126
VI. Computation of a monthly index for Swedish stock returns 1919
1989. 131
1 Introduction 131
2 Returns index 133
3 Computation of the returns series 134
4 Some basic results 146
5 Summary 152
Data sources 153
References 155
Appendix 1. Monthly cumulative index of stock returns 1919 1989 157
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physical | IV, 158 S. graph. Darst. |
publishDate | 1994 |
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series | Lund economic studies |
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spelling | Frennberg, Per Verfasser aut Essays on stock price behaviour in Sweden Per Frennberg Lund Univ., Dep. of Economics 1994 IV, 158 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Lund economic studies 55 Zugl.: Lund, Univ., Diss., 1994 Aktiemarknad - Sverige Aktienkurs (DE-588)4141736-7 gnd rswk-swf Schweden (DE-588)4077258-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)4113937-9 Hochschulschrift gnd-content Schweden (DE-588)4077258-5 g Aktienkurs (DE-588)4141736-7 s DE-604 Lund economic studies 55 (DE-604)BV002784143 55 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007151704&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
spellingShingle | Frennberg, Per Essays on stock price behaviour in Sweden Lund economic studies Aktiemarknad - Sverige Aktienkurs (DE-588)4141736-7 gnd |
subject_GND | (DE-588)4141736-7 (DE-588)4077258-5 (DE-588)4143413-4 (DE-588)4113937-9 |
title | Essays on stock price behaviour in Sweden |
title_auth | Essays on stock price behaviour in Sweden |
title_exact_search | Essays on stock price behaviour in Sweden |
title_full | Essays on stock price behaviour in Sweden Per Frennberg |
title_fullStr | Essays on stock price behaviour in Sweden Per Frennberg |
title_full_unstemmed | Essays on stock price behaviour in Sweden Per Frennberg |
title_short | Essays on stock price behaviour in Sweden |
title_sort | essays on stock price behaviour in sweden |
topic | Aktiemarknad - Sverige Aktienkurs (DE-588)4141736-7 gnd |
topic_facet | Aktiemarknad - Sverige Aktienkurs Schweden Aufsatzsammlung Hochschulschrift |
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