This study examines the economic impacts of three large-scale terrorist attacks on the Nordic capital markets. Past research has shown evidence of the increasing resilience of the US capital markets towards terrorist attacks. Hereby the Nordic regions capital markets were studied and compared with the US's capital markets, in an intention to find evidence whether or not the same development can be observed in the Nordic countries. The results implied that the Nordic markets did not absorb the shocks as well as the US markets. The analysis was taken into an industry level on the Swedish stock market to get a deeper insight of the impacts of such events. The results indicated the Energy sectors good ability to absorb terrorist attacks in terms of negative abnormal returns and time of recovery. The Financing sector seemed to be the most sensitive sector, since its performance was the weakest in terms of market recovery.

The recent SEC ban on short selling has presented an unrivaled opportunity to explore the effects of short selling constraints on crashes, market efficiency, and volatility. In this paper I carry out two groups of empirical tests on the individual banned stocks and a series of portfolios created from them: the first tests the hypothesis that short sale constraints increase the frequency and magnitude of crashes, by testing Hong & Stein’s (2003) model of market crashes. The second tests the hypothesis that short sale constraints reduce market efficiency, by testing Miller’s (1977) model in which stocks that are hard (or impossible) to short tend to exhibit overpricing. In regards to the first group of tests, the results are ambiguous: the frequency and magnitude of crashes increased during the ban period, while the skewness of the returns distribution of the portfolios became more negative, as expected, but these changes hold for the market as a whole, as well. On the other hand, the skewness of the returns distribution of the individual banned stocks became more positive. The second group of tests provides ample support for Miller’s model, as the results coincide with the models predictions: banning short selling leads to positive abnormal returns (overpricing) in the affected stocks. The ban is also related with a decrease in volatility relative to the market, an important result from a policy perspective.

The financial crisis has made the stock markets a very turbulent place. Investors have therefore begun searching for stable and profitable investments. Nordic real estate has for decades steadily increased in value and the stocks of real estate companies are said to be less risky than the market. This has led to a view of them being a safe haven for risk adverse investors. Very few empirical studies have been done on how these supposedly safe stocks actually behave in the Nordic countries. The purpose of this study is hence to investigate how these real estate companies stocks perform. The method employed is deductive and quantitative.One part of the research is to test whether or not the stocks are more profitable than the overall market. Additionally, motivated by previous research on market efficiency, this paper looks into if any predictable patterns for the real estate stocks returns can be found. In other words, if historical returns can be used to predict future returns. Thirdly this research paper looks into how risky the real estate stocks are compared to the market. For the last part of research, an examination on whether the usage of CAPM as a return calculator is appropriate for real estate stocks in the Nordic countries. The statistical tool SPSS and Microsoft Excel has been used to examine the relationships between the variables. The paper has used time series regression to find beta values and alpha values for risk assessments and tests of CAPM, and autocorrelation tests to determine market efficiency, or more precisely random walk.The research is are done on all real estate stocks on the Swedish, Finnish, Danish and Norwegian markets, a total of 31, over a time period of 10 years, between 2003 and 2013 on daily, weekly and monthly data. The result of the first part was that the real estate stock returns in general were not more profitable than the overall market. This research also found significant predictability of future returns through historical data on a daily basis, and some signs on a weekly basis while no predictability on a monthly basis. The result of the third part of the research is that the risk levels for the real estate stocks are different and in general much lower than the market risk. Lastly the test of CAPM shows no significant difference between the expected returns and the actual observed returns.

In the aftermath of the verdict of acquittal in “Sweden’s largest insider trading case” once again a debate concerning illegal insider trading has arisen and a lot of criticism is directed towards the laws. The purpose of this master´s thesis is to investigate the occurrence of insider trading and whether or not Swedish legislation has decreased the presence of insider trading on the Stockholm Stock Exchange. For this purpose the legal aspects and relevant arguments are presented and discussed. An event study is performed in order to see if profit warnings show evidence of insider trading on the Swedish stock exchange. The event study show statistically significant evidence of illegal insider trading in 21 out of 44 cases on the Stockholm stock exchange. There is no significant difference in insider trading between profit warnings and reversed profit warnings. The regression show evidence of that the law has had a small negative impact on insider trading in the sample which is surprising and that insider trading is industry correlated. The high frequency of insider trading shows evidence of that the laws are inefficient in stopping insider trading. Since it is clear that the law is seriously flawed in stopping insider trading and that insider trading actually may positively affect the market and its participants, it is argued that it is very questionable if the legislation is necessary and if insider trading should be prohibited at all.

This study mainly explores the effect of market states (price and returns) on the relationship between spot and futures oil prices and targets three important issues: long-run cointegration, causalities, and market efficiency. Based on previous studies exhibiting bi-directional causality between spot and futures oil prices, this study employs quantile regressions to examine the possible feedback effect in their long-run cointegration and their causalities. In particular, it allows for exploring the possible asymmetric responses between spot and futures markets. The empirical results herein find that the long-run cointegrated relationship between contemporaneous spot and futures prices is impacted by the states of the spot markets. Similarly, whether futures oil prices lead spot oil prices is relevant with the states of the futures markets. This study also examines the efficiency of crude oil markets and shows that the efficiency is related to the length of futures contracts. These findings offer some implicative suggestions and strategies.

There are gradually prosperous trades in foreign exchange markets, agents could hedge, speculate and arbitrage in markets. Market efficiency therefore is worthy of investigate in international finance. According to simple market efficiency hypothesis, the long-run relationship wound exist between spot exchange rate and forward exchange rate as foreign exchange markets are efficient. In the purpose of this study is to examine the long-run relationship between spot exchange rate and forward exchange rate by cointegration theory. We consider a new method¡Ðpanel cointegration that data sets contain not only time series also corss sections, to re-examine the relationship between spot and forward exchange rates. Conclusively, the results of cointegration relationships exist between spot and forward exchange rates in Taiwan, Singapore, Japanese, and Canada by applying panel cointegration model.

The informational content of implied volatility and its prediction power is evaluated for time horizons of one month. The study covers the period of November 2007 to November 2013 for the two indices S&P500 and OMXS30. The findings are put in relation to the corresponding results for past realized volatility. We find results supporting that implied volatility is an efficient, although biased estimator of realized volatility. Our results support the common notion that implied volatility predicts realized volatility better than past realized volatility, and that it also subsumes most of the informational content of past realized volatility.

Doctor of Philosophy / This dissertation presents the results of three empirical studies on price formation and liquidity in financial futures markets. The research entails three related areas: the effect of taxes on the prices of Australian stock index futures; the efficiency of the information transmission mechanism between the cash and futures markets; and the price and liquidity impact of large trades in interest rate and equity index futures markets. An overview of previous research identifies some important gaps in the existing literature that this dissertation aims to resolve for the benefit of arbitrageurs, investment managers, brokers and regulators.

Diss. Stockholm : Handelshögskolan, 2005.

[pt] A hipótese de eficiência de Mercado é um tema básico e serviu como base para formação de teorias em finanças, sendo, portanto, um dos problemas mais estudados. Relacionadas ao assunto, algumas pesquisas vêm se dedicando especificamente à investigação de fenômenos de underreaction/overreaction, ou seja, de reações excessivas do mercado e incompatíveis com a hipótese de eficiência. Neste contexto, o presente trabalho objetivou aplicar ao mercado acionário brasileiro teste de underreaction/overreaction baseados nas principais metodologias utilizadas em pesquisas internacionais. As principais evidências obtidas indicam a existência destes excessos de reações, contrariando a uma das principais teorias já estudadas. / [en] The hypothesis of market efficiency is a central theme in finance and one of the most studied subjects. Related to the subject, some research has been dedicated specifically to investigating the under reaction / overreaction phenomena, ie, the market over reactions that is incompatible with the hypothesis of efficiency. In this context, this study aimed to apply in the Brazilian stock market tests of under reaction / overreaction based on the main methodologies used in international surveys. The main evidence obtained indicates the existence of these excesses of reactions, contrary to one of the main theories already studied.