This study examines the relationship between mean reversion and a black swan event on the Swedish stock market. The data is taken from the Mid Cap and the Large Cap and then compared with the OMXS index. The purpose is to try and find evidence of mean reversion on both lists and if a black swan event will interfere with the mean reverting behaviour. The results we could find was that there is mean reversion on the market for our time period 2005-2022. We could also find evidence of mean reversion during the three black swan events, 2008 financial crisis, Brexit, and Covid-19 pandemic.
| Identifer | oai:union.ndltd.org:UPSALLA1/oai:DiVA.org:lnu-113772 |
| Date | January 2022 |
| Creators | Makra, Erik, Snaula, Felix |
| Publisher | Linnéuniversitetet, Institutionen för ekonomistyrning och logistik (ELO) |
| 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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