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| Type | Master's Thesis |
| Scope | Discipline-based scholarship |
| Title | Excess Volatility in Swiss Stock Market from 1988 to 2017 |
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| Institution | University of Zurich |
| Faculty | Faculty of Business, Economics and Informatics |
| Number of Pages | 30 |
| Date | 2021 |
| Abstract Text | Shiller proposed in his paper that there was excess volatility in stock market based on the variance bounds theory deduced from efficient market model. This thesis replicates Shiller’s approach for Swiss market with monthly SMI prices and dividends data from 1988 to 2017. Furthermore, this thesis questions Shiller’s original assumptions and shows that if those assumptions are relaxed one by one, the excess volatility in Swiss share market could be much smaller or even eliminated. |
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