Januarieffekten på Stockholmsbörsen

Abstract

This report aims to investigate whether the January-effect is present at the swedish stock market and if the introduction of the investeringssparkonto has reduced the effect. Previous research on the January-effect is either outdated or conducted on the US or European markets. No research has previously been conducted including the investeringssparkonto. The dataset contains closing prices for three different indexes over the time period 2003–2021 and are retrieved from Nasdaq OMX Nordic. Regressions with dummy variables have been constructed to test whether there is a correlation between higher returns for small stocks and the month of January. The obtained results from the regression model show a negative coefficient for the variable January for OMX30 and OMXSPI, the variable is significant at the 10% level. However, for OMXSSCPI the coefficient for January is positive but no significant result is obtained. Therefore, a January-effect are found on the Swedish stock market for OMX30 and OMXSPI. The coefficient for the variable ISK (investment account) is negative for OMX30 and OMXSPI. The variable is significant for OMX30 at 1% level and OMXSPI at 10% level. Furthermore, the effect of the investment account together with the January-effect show a positive coefficient for OMX30 and is significance at the 10% level. However, for OMXSSCPI and OMXSPI no significant results are obtained. Therefore, the thesis concludes that the investment account had a significant effect on the January-effect for OMX30.