A 21st Century Breakdown? The Development of Capital Market Anomalies and Market Turnover in Finland
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School of Business |
Bachelor's thesis
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Author
Date
2019
Department
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Mcode
Degree programme
Rahoitus
Language
en
Pages
31
Series
Abstract
This thesis studies the existence and development of capital market anomalies in Finland during the 21st century. In theory, factors that reduce trading frictions should lead to more efficient markets and thus attenuating anomaly returns. I study whether the changes in market turnover has the kind of effect on seven capital market anomalies. Three of the seven anomalies are statistically significant during the time period. I do not find evidence of the anomalies decreasing over time. Furthermore, I find that the market turnover in Finland has had a negative trend during the 21st century. I find weak evidence of anomalies having an inverse trend with market turnover and by using the quantile regression method I find more extreme values of the anomalies having a stronger reaction to changes in market turnover.Description
Thesis advisor
Spickers, TheresaKeywords
Market Efficiency, Asset Pricing, Capital Market Anomalies, Market Turnover
