In this paper, we explore whether the adaptive markets hypothesis (AMH) describes the efficiency of the Finnish stock market better than the efficient markets hypothesis (EMH) does. Building on this, we also test how small market size and market liberalisation impact the efficiency of the...

We estimate historical stock returns for Swedish listed companies in a newly constructed data set of daily stock prices. Stock returns exhibit all familiar characteristics. There is little trading in the past, and we examine the effects on return measurement from missing data. Stock selection...

This paper presents a simplified single period asset-pricing model that adjusts for illiquidity and tests for the Finnish stock market. The empirical testing for a small yet developed market is motivated by the increased relevance of the illiquidity effect for illiquid assets/markets vastly...

Stock market indices play a central role in portfolio management and academic research. This paper reviews and discusses the main issues in index construction, especially on thinly traded stock markets and in a historical setting with deficiency of information. The main methods to deal with...

This paper formally proves that Rigobon and Sack (2004)'s approach of identifying monetary policy shocks through heteroscedasticity can be extended to a multimarket and multicountry framework. Applying our multivariate framework allows deriving consistent estimators of monetary policy effects....

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...

This article seeks to find factors that can account for the determinants of common variations in returns for a small open economy where the Swedish stock market serves as an example. The importance of the candidate factors is first analyzed by looking at the standard deviation of their mimicking...