Januarieffekten ineffektivt, vinstmöjlighet eller skröna? : En empirisk studie

Detta är en Kandidat-uppsats från Södertörns högskola/Nationalekonomi; Södertörns högskola/Nationalekonomi

Författare: Amad Habib; Emil Larsson; [2019]

Nyckelord: Finans; Januarieffekten; Anomali;

Sammanfattning: The digitization of the economy of the last 30 years have incited big social and economic changes, but also fundamentally changed the way the global stock trade is conducted. Now ordinary people have the ability to trade in stocks and try to beat the market. This increase in the activity on the stock market has given way to new investments strategies that challenge the theories of old, such as the effective market hypothesis (EMH) and the theory of random walk. These theories state that the way the stock market index moves cannot be predicted with any meaningful degree of success. That is investors should not be able to beat the average rate of return of the average portfolio or in other words accumulate excess return. According to EMH the way the market moves cannot be predicted because the market consists of perfectly rational individuals and perfect information. In extension this would mean that trends or patterns should not reoccur or be identified in the stock market. Despite this it has been shown that this is not the case and that anomalies and calendar effects are present on the stock market. Of all the different anomalies, it is the January effect that is arguably the strongest and most reoccurring phenomenon. The January effect is mainly identified through a dip in the month of December and a strong resurgence in January. This thesis aims to investigate the January effect and if it still exists in the Swedish stock market. The empirical analysis showed that the effect can be observed between the years 1949-2019, but that this relationship does not hold for some subperiods, namely between 1985-2019. These results are not in accordance with previous studies since our results indicate that the January effect cannot be observed since the 1980s. However, we hold that our results are inconclusive and further investigation is needed to be able to confirm or reject the January effect as an economic phenomenon in a modern Swedish context

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