Is the Swedish stock market efficient? A quantitative study of weak form market efficiency on sectors and size of the Swedish stock market

Abstract

This thesis studies if the weak form efficient market hypothesis holds in the Swedish stock market. The paper investigates three market capitalization indexes, nine sectoral indexes and a benchmark index of the stock market from January 2007 to December 2023. The hypothesis is tested using both parametric (autocorrelation and unit root test) and nonparametric tests (runs and variance ratio tests) to aim for more robustness in results. The paper finds strong evidence for rejection of weak form efficiency among the market cap indexes (Large, Mid and Small Cap). Among the sectors, seven out of nine were found moreover efficient when all test results are compared. Real Estate stands out as the most inefficient sector in the study while results remain inconclusive on the Healthcare sector. The findings of this paper hold significance for investors seeking an understanding of the efficiency dynamics within the Swedish stock market.