Estimering af over-­‐volatilitet på et aktiemarked

Bo Rasmussen

Student thesis: Diploma thesis

Abstract

This paper looks in to the correctness of the efficient market theory’s assumption that a stock market is not affected by psychological factors. For this purpose an excess volatility analysis is preformed using Robert Shillers method on the Danish stock market. This analysis shows that there are time periods where excess volatility is found to occur. These results are compared with the popular models to analyze whether the excess volatility can be seen as due to psychological factors, such as Bubble theory, fashion stocks, overconfidence and the Feedback theory. It is found that the method of Robert Shiller is the right method for indicating when excess volatility occurs, but that the method and the theory of efficient market have some limitation due to their statistical assumptions. Further it is found the excess volatility has occurred on the Danish stock market due to the psychological factors.

EducationsGraduate Diploma in Financial Planning, (Diploma Programme) Final Thesis
LanguageDanish
Publication date2012
Number of pages77