Several researchers have over the past decades criticised the efficient market hypothesis as several studies have presented evidence of causality and co-integrating relationships in inancial markets. As preference shares have become increasingly popular, in recent years, as a mean of raising capital in the Swedish real estate sector, this study investigates the causal relationships between common shares and their corresponding preference share of nine listed Swedish real estate companies. By using daily closing prices over the period Dec 2014 – April 2016, we find weak support for short-run causalities in five of the nine examined pairs but no long-run cointegrating relationships. Further, we find causality running from the largest five firms to the four smallest in the sample firms. These findings violate the weak form of the efficient market hypothesis, which state that asset price fluctuations are random and not possible to forecast by the use of historical asset prices.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:kth-198692 |
| Date | January 2016 |
| Creators | HELLQVIST, OSKAR, SANDVALL, ANTON |
| Publisher | KTH, Nationalekonomi |
| 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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