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| Author: | Berg, L. |
| Title: | Deterministic seasonal volatility in a small and integrated stock market: the case of Sweden |
| Journal: | Finnish Economic Papers
2003 : AUTUMN, VOL. 16:2, p. 61-71 |
| Index terms: | Volatility Stock markets Sweden |
| Language: | eng |
| Abstract: | 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 Swdish 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. |
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