Sökning: "Monday effect"

Visar resultat 11 - 14 av 14 uppsatser innehållade orden Monday effect.

  1. 11. Extreme-day return as a measure of stock market volatility : comparative study developed vs. emerging capital markets of the world

    Magister-uppsats, Institutionen för humaniora och samhällsvetenskap

    Författare :Muashab Kabir; Naeem Ahmed; [2010]
    Nyckelord :Volatility; Extreme value; Emerging markets; International diversification;

    Sammanfattning : This paper uses a new measure of volatility based on extreme day return occurrences and examines the relative prevailing volatility among worldwide stock markets during 1997-2009. Using several global stock market indexes of countries categorized as an emerging and developed capital markets are utilized. LÄS MER

  3. 12. Can money be made on Mondays? : An empirical investigation of the efficiency on the OMXS30

    Magister-uppsats, IHH, Företagsekonomi

    Författare :Catrin Jakobsson; Ola Henriksson; [2010]
    Nyckelord :Efficiency; Efficient market theory; Anomaly; Monday effect; Weekend effect; January effect; Day-of-the-week effect; Turn-of-the-year effect; Abnormal returns;

    Sammanfattning : Purpose: The purpose of this thesis is to investigate if abnormal patterns concerning the rates of return during specific weekdays and months are observable for the companies in the OMXS30 during the period 2003-2010. A special focus will be put on the Monday effect anomaly. LÄS MER

  4. 13. Evaluation of single and three factor CAPM based on Monte Carlo Simulation

    Magister-uppsats, Institutionen för teknik och samhälle

    Författare :Tzveta Iordanova; [2007]
    Nyckelord :Single factor CAPM; Fama French CAPM; OLS regression; Monte Carlo Simulation;

    Sammanfattning : The aim of this master thesis was to examine whether the noticed effect of Black Monday October 1987 on stock market volatility has also influenced the predictive power of the single factor CAPM and the Fama French three factor CAPM, in order to conclude whether the models are less effective after the stock market crash. I have used an OLS regression analysis and a Monte Carlo Simulation technique. LÄS MER

  5. 14. Stock Market Anomalies : A Literature Review and Estimation of Calendar affects on the S&P 500 index

    Kandidat-uppsats, Internationella Handelshögskolan

    Författare :Marcus Davidsson; [2006]
    Nyckelord :Anomalies; S P 500; Calendar affects;

    Sammanfattning : This thesis investigates the Day-of-the-week, Month-of-the-year and Quarter-of-the-year effects. Historical data from the S&P 500 index between 1970- 2005 is analyzed. The purpose is to investigate if there is any evidence of increased returns (ROR) pattern related to seasonality during this period. LÄS MER