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Comovement in the Norwegian Stock Market

Vennerød, Øyvind Emanuel Fryjordet; Solhaug, Svein Oddmund
Master thesis
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URI
http://hdl.handle.net/11250/2625284
Date
2019
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  • Master of Science [1116]
Abstract
We present the first comprehensive study of excess comovement in the Norwegian

stock market, and find that stocks on the OBX index in Norway comove more than

their fundamentals would suggest. The comovement is increasing over time, and of

large economic magnitude after 2009. Between 2009 and 2018, our results indicate

that 14% of the variance of OBX stocks stems from excess comovement. The OBX

bases membership on volume traded, unlike previously researched indexes, which base

membership on market capitalisation. Critics have suggested that index structure is the

cause of previously found excess comovement, but our findings show that excess comovement

exists even on differently structured indexes. Our findings therefore present

new evidence in support of index membership causing excess comovement.
Description
Masteroppgave(MSc) in Master of Science in Finance/Master of Science in Business, finance - QTEM - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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