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IT-bubblans inverkan på den amerikanska aktiemarknadens volatilitet
Södertörn University, School of Social Sciences.
Södertörn University, School of Social Sciences.
2013 (Swedish)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [sv]

Syfte: Syftet med denna studie var att se hur och varför volatiliteten påverkades i DJIA, S&P 500 och NASDAQ Composite under IT-bubblan.

Metod: Års- och månadsvolatiliteten för DJIA, S&P 500 och NASDAQ Composite har beräknats under 1995-2004 med hjälp av data från Yahoo Finance.

Empiri: Resultatet visar att volatiliteten var väsentligt högre i NASDAQ Composite än vad den var i S&P 500 och DJIA som i sin tur höll en liknande volatilitet i förhållande till varandra.

Analys: I analysen framträdde det att volatiliteten blev väsentligt högre i samband med att bubblan sprack under maj 2000 fram till dess att paniken lade sig kort efter maj 2002. Det fanns en hög överensstämmelse mellan denna rapport och övriga tidigare studier. Teorierna var mestadels väl applicerbara.

Slutsats: Volatiliteten för DJIA, S&P 500 och NASDAQ Composite var som högst mellan 2000 och 2002 under undersökningsperioden 1995-2004. IT-bubblan uppstod samt sprack till följd av irrationellt investeringsbeteende bland investerarna på aktiemarknaden och paniken som uppstod efteråt gjorde att volatiliteten på aktiemarknaden höll sig förhållandevis hög fram tills den lade sig kort efter maj 2002. NASDAQ Composite hade högst volatilitet till följd av IT-bubblan medan DJIA och S&P 500 hade likvärdig volatilitet. Samtliga index följde ett liknande mönster, detta var troligtvis på grund av att företag från NASDAQ Composite kunde återfinnas i S&P 500 samt DJIA.

Abstract [en]

Purpose: The purpose of this thesis is to see how and why the volatility was affected in DJIA, S&P 500 and NASDAQ Composite during the Dot-com bubble.

Method: The yearly and monthly volatility of DJIA, S&P 500 and NASDAQ Composite were computed with data from a period spanning 1995-2004, which were collected from Yahoo Finance.

Empiricism: The results illustrate that the volatility was vastly higher in NASDAQ Composite than in DJIA and S&P 500 which in turn yielded a comparable volatility in relation to each other.

Analysis: The analysis extracted the fact that the volatility rose considerably after the bubble burst during May 2000 and started waning after the panic died out circa May 2002. There were a relatively high harmony between the results of this report and the earlier studies which it was compared to.

Conclusion: The volatility for DJIA, S&P 500 and NASDAQ 500 was higher between 200 and 2002 than during the rest of the observed period. The Dot-com bubble arose due to irrational investment behavior among investors and the panic which arose afterwards contributed to the increasing volatility which maintained a high level until it subsided after May 2002. NASDAQ Composite had the highest volatility during the Dot-com bubble while DJIA and S&P 500 had a similar volatility. All indexes followed a similar pattern, this was probably due to that companies from NASDAQ Composite reasonably should be found in S&P 500 and DJIA.

Place, publisher, year, edition, pages
2013. , 54 p.
Keyword [en]
Volatility, Dot-com bubble, financial crisis, standard deviation
Keyword [sv]
Volatilitet, IT-bubblan, finanskris, standardavvikelse
National Category
Business Administration
Identifiers
URN: urn:nbn:se:sh:diva-22444OAI: oai:DiVA.org:sh-22444DiVA: diva2:698246
Subject / course
Business Studies
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2014-02-24 Created: 2014-02-20 Last updated: 2014-02-24Bibliographically approved

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IT-bubblans inverkan på den amerikanska aktiemarknadens volatilitet(1846 kB)180 downloads
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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
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Language
  • de-DE
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  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
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