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Långsiktiga samband mellan aktiemarknader: En kointegrationsanalys av den svenska aktiemarknaden och fyra etablerade aktiemarknader
Mid Sweden University, Faculty of Human Sciences, Department of Social Sciences.
2010 (Swedish)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

I denna magisteruppsats undersöks eventuella långsiktiga samband mellan den svenska aktiemarknaden och aktiemarknaderna i Tyskland, Storbritannien, USA och Japan. Detta sker genom en kointegrationsanalys med Engle-Grangers metod. Undersökningen omfattar åren 1992-2010 och resultaten visar inga tecken på att det skulle existera några långsiktiga samband mellan den svenska aktiemarknaden och någon av de utländska aktiemarknaderna. Resultaten ger därmed indikationer om att den svenska aktiemarknaden tillsammans med de utländska aktiemarknaderna i undersökningen är kollektivt effektiva i åtminstone den svaga formen enligt Fama (1970). Då inga långsiktiga samband existerar bör även portföljdiversifiering mellan den svenska aktiemarknaden och de utländska aktiemarknaderna i undersökningen fungera effektivt på lång sikt.

Abstract [en]

In this master thesis the Engle-Granger method for cointegration analysis is used to examine long-term relationships between stock markets. The analysis is applied on Swedish stock market together with the stock markets in Germany, United Kingdom, United States and Japan. The result shows no significant signs of any form of long-term relationships between the Swedish and the foreign stock markets for the time period 1992 to 2010. The result therefore indicates that the Swedish stock market together with the foreign stock markets in the study is collectively efficient in at least the weak form according to Fama (1970). The result also indicates that portfolio diversification through investing in the Swedish stock market together with any of the foreign stock markets should be effective in the long run.

Place, publisher, year, edition, pages
2010. , p. 66
Keywords [en]
cointegration, efficient market hypothesis, modern portfolio theory, stock markets, econometrics.
Keywords [sv]
kointegration, effektiva marknadshypotesen, modern portföljvalsteori, aktiemarknader, ekonometri.
National Category
Business Administration
Identifiers
URN: urn:nbn:se:miun:diva-11807OAI: oai:DiVA.org:miun-11807DiVA, id: diva2:328185
Presentation
2010-06-02, Mittuniversitetet, P3217, Östersund, 19:17 (Swedish)
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2010-07-02 Created: 2010-07-01 Last updated: 2010-07-02Bibliographically approved

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CiteExportLink to record
Permanent link

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Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
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  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
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  • Other locale
More languages
Output format
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  • asciidoc
  • rtf