Article ID: | iaor2006165 |
Country: | Finland |
Volume: | 16 |
Issue: | 2 |
Start Page Number: | 61 |
End Page Number: | 71 |
Publication Date: | Jan 2003 |
Journal: | Finnish Economic Papers |
Authors: | Berg Lennart |
Keywords: | finance & banking |
Using daily data for the Swedish stock market for the last two decades, it appears that no distinct and firm deterministic seasonal pattern for the conditional volatility for the Swedish stock market has been found. The daily turnover in the Swedish stock market has an impact on and to some extent eliminates seasonal patterns in conditional volatility. We can also conclude that a feedback from the US stock market to the conditional volatility in the Swedish market exists. The evidence from a simulation with 400 different trading rules also supports the hypothesis of a weak form of market efficiency.