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A Historical Study of the Swedish Stock Market Volatility at Market, Industry and Individual Firm Level
Stockholm University, Faculty of Social Sciences, School of Business.
2003 (English)Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This paper studies the historical behaviour of the volatility time series at the market, industry and firm level over the period from 1979 to 2003 on the Swedish stock market. Volatility time series are constructed of daily data by using a disaggregated approach. The historical development of volatility at all three levels is analyzed by using a set of the regression relationships.

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Business Administration
URN: urn:nbn:se:su:diva-4502OAI: diva2:194044
Available from: 2007-01-05 Created: 2007-01-05

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