Sector Rotation Strategy Applied on the Swedish Stock Market : Do Swedish sector indices experience momentum effects?

• Main Authors: Larsson, Mattias, Dellgren, Peter
• Format: Others
• Language: English
• Published: Uppsala universitet, Företagsekonomiska institutionen 2009
• Subjects: Sector Rotation Strategy; Momentum effects; Contrarian effects; CAPM; Efficient Market Hypothesis; Exchange Traded Funds; Business studies; Företagsekonomi
• Online Access: http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-101015

This thesis is an empirical analysis on momentum effects on the Swedish stock exchange’s sector indicesduring the period 2001 to 2009. The momentum effect is investigated by buying previous winner andshort selling previous losers with holding and formation periods over an intermediate time period (1-12month period). Our results are not coherent with previous studies conducted on the U.S market or theworld market, instead our results indicate that the Swedish stock exchange’s sector indices experience acontrarian effect over the intermediate time period. The results are adjusted for systematic risk and aresignificant on the 5%-level. Our result show that the weak form of the efficient market hypothesis isviolated and we therefore believe that a demand exists for easy and convenient investment vehicles withsector specific exposure, which could have a positive effect on the efficiency of the market.