This thesis investigates the existence of the turn-of-the-month (ToM) effect on the Swedish stock market and further examines whether this calendar anomaly is persistent but different during the Covid-19 pandemic. The main purpose of this study is to determine if the ToM effect is significant in the Swedish stock market over twelve years, particularly during the Covid-19 pandemic. The major finding is that the ToM effect is statistically significant for all indexes except for the large cap. The ToM window for the mid- and all cap indexes is significant for the last four trading days of the month to the first trading day of the next month. It is also significant for the small cap index during the last four trading days of the month to the first two trading days of the next month. The results of a significant ToM effect are similar to those of prior research, except that the Swedish stock market has an earlier ToM window. The Covid-19 pandemic is divided into three windows – before the virus has reached Sweden, before vaccinations, and after vaccinations. The results indicate that the ToM effect is insignificant when Covid-19 had not yet reached Sweden. Additionally, this study discovers a significant ToM pattern in the small cap and mid cap indexes, but not for the large cap or all cap indexes before vaccinations and after vaccinations. Hence, the ToM effect is persistent but different during a time of a major crisis, which in this paper is the time of the Covid-19 pandemic. The research approach is deductive and quantitative. All data is collected from Nasdaq as observations of the daily adjusted closing prices starting from 1/4/2010 to 4/22/2022, and consists of the indexes: OMXSCAPGI, OMXS30GI, OMXSSCGI, and OMXSMCGI. The daily returns are then regressed on dummy variables for the trading days, by using different ToM windows to find results if these ToM windows are significant or not.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:su-207024 |
| Date | January 2022 |
| Creators | Afshari, Dena, Bergman, Jennifer, Blomberg, Martin |
| Publisher | Stockholms universitet, Företagsekonomiska institutionen |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Student thesis, info:eu-repo/semantics/bachelorThesis, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
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