Effektivitetsparadoxen - En eventstudie av handelsstopp på Stockholmsbörsen mellan 2003 och 2008
Trading haltTrading suspensionStock marketMarket efficiencyEfficient market hypothesisAbnormal returnEvent studyMarket modelT-test
A trading halt is a measure conducted by a securities exchange in order to reduce information imbalances between market participants, thus enabling a higher level of market efficiency. A market is said to be efficient when new information concerning a company is instantly reflected in its stock price, implying that abnormal stock returns cannot be systematically achieved in an efficient market. The purpose of this study is to examine the occurrence of abnormal stock returns following trading halts on the Stockholm Stock Exchange. The study is based on a sample of 64 trading halts executed between January 2003 and February 2008. Historical daily prices for stocks subject to trading halts during the period have been gathered from the Datastream Advance database, while information on date and time of trading halts have been collected from the Stockholm Stock Exchange website. For analysis of abnormal returns, an event study has been carried out using the market model for estimation of expected returns. Furthermore, statistical t-tests have been used in order to evaluate the significance of abnormal returns found in the study. Results indicate that no significant abnormal returns can be verified for stocks subject to initially positive post-event price reaction. Meanwhile, significant abnormal returns occur for stocks subject to negative initial post-event price reaction, consistent with results found by Kryzanowski (1979). Additionally, results indicate that trading halt duration has little impact on the amount of abnormal returns following a halt. We conclude that although significant abnormal returns are indicated for individual days within the event window for a specific part of the sample, not enough evidence has been found in the study to confirm the existence of systematic market inefficiency on the Stockholm Stock Exchange.