Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden

Lennart Berg

Finnish Economic Papers, 2003, vol. 16, issue 2, 61-71

Abstract: Using daily data for the Swedish stock market for the last two decades, it appears that no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and to some extent eliminates seasonal patterns in conditional volatility. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market exists. The evidence from a simulation with 400 different trading rules also supports the hypothesis of a weak form of market efficiency.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2003
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Related works:
Working Paper: Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweeden (2000)
Working Paper: Deterministic Seasonal Volatility in a Small and Integrated Stock Market: The Case of Sweden (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fep:journl:v:16:y:2003:i:2:p:61-71

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