This study examines the frequency of extreme trading days and investment behaviour in Sweden. We show that the frequency, as well as the magnitude of extreme trading days has increased over time. We also show that the frequency of extreme trading days in a year is positively correlated to the frequency the preceding year. Furthermore, we show that aggregate cash flows into equity and bond funds are unrelated to risk measured by standard deviation of return. Our findings show that investors, individuals as well as corporations, use simple passive investment strategies and hence, do not believe in market timing or wish to risk capital on capturing far tail or black swan type returns.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:hgo-370 |
| Date | January 2010 |
| Creators | Burnie, David A., de Ridder, Adri |
| Publisher | Högskolan på Gotland, Avdelningen för Företagsekonomi, Haworth College of Business, Western Michigan University, London : Routledge |
| Source Sets | DiVA Archive at Upsalla University |
| Language | English |
| Detected Language | English |
| Type | Article in journal, info:eu-repo/semantics/article, text |
| Format | application/pdf |
| Rights | info:eu-repo/semantics/openAccess |
| Relation | Applied Financial Economics, 0960-3107, 2010, 20:16, s. 1241-1256 |
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