Sökning: "Sebastian Kejlberg"

Hittade 2 uppsatser innehållade orden Sebastian Kejlberg.

1. 1. The Effects of Economic Variables on Swedish Stock Market Volatility A GARCH-MIDAS Approach

   Master-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Sebastian Kejlberg; [2018]
   Nyckelord :GARCH; MIDAS; stock market; volatility; macroeconomic; OMXSB; Sweden; Business and Economics;

   Sammanfattning : This thesis applies the GARCH-MIDAS model to investigate the effects of macroeconomic variables, sentimental indicators, and financial variables on Swedish stock market volatility for the period January 2002 to December 2016. The GARCH-MIDAS framework allows the incorporation of data at different frequencies into the same model and decomposes volatility into two components. LÄS MER

3. 2. Are Pre-Scheduled Macroeconomic News Days Different From Other Days? – A Cross-Sectional Analysis of the Swedish Stock Market

   Kandidat-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Andreas Wendeberg; Sebastian Kejlberg; [2014]
   Nyckelord :the Fama-Macbeth regression; announcement days; CAPM; macroeconomic news; Swedish stock market; Business and Economics;

   Sammanfattning : This thesis has examined if there is any difference in the relationship between different risk factors and the cross-section of assets excess returns on the Swedish stock market between days when macroeconomic news is scheduled to be announced (announcement days) and other days (normal days). The Fama and Macbeth two-pass regression method have been used for investigating the hypothesis that announcement days are different from normal days. LÄS MER