Dissertation Information:

Thursday 06.12.2001 at Norwegian School of Economics and Business Administration, Bergen, Norway

Lecture on a given topic:

Does Behavioral Finance add to our understanding of financial markets?

Slides: Prøveforelesning for greaden dr.oecon

Introduction and Motivation for the dissertation:

Slides: Innledning og Motivasjon for dr.oecon

Committee: Professor Ole Gjølberg, Professor Thore Johnsen, Associate Professor Bengt Arne Ødegaard.

Main Opponent for the dissertation: Stephen Taylor, Lancaster University

Official Homepage: Stephen Taylor Official Homepage

Dissertation: Introduction, Papers and Lectures (06.12.2001)

1. Introduction, unifying theme and core hypotheses, methodology

Chapter 1: Introduction to the Thesis: Introduction, Motivation and Conclusions

2. Stylised Facts at Oslo Stock Exchange

Manuscript: Stylised FACTS OSE

Tables: Stylised-Tables-1 Stylised-Tables-2

Stylised-Tables-3 Stylised-Tables-4

3. First published paper of the dissertation:

Stock return Volatility in Thinly traded Markets. An empirical Analysis of trading and non-trading

Processes for Individual Stocks in The Norwegian Thinly Traded Equity Market

Manuscript: Stock Return Volatility Text

Tables: Stock Return Volatility Tables

References:

Solibakke, Per Bjarte, 2000, Stock Return Volatility in Thinly Traded Markets. An Empirical Analysis of

Trading and non-trading processes for Individual Stocks in the Norwegian Thinly Traded Equity market,

Applied Financial Economics, 10(3), pp. 299-310.

4. Second published paper of the dissertation:

Efficient ARMA-GARCH Estimated Trading Volume Characteristics in Thinly Traded Markets

Manuscript: Efficient-Arma_Garch- TEXT

Tables: Efficient-Arma_Garch Tables

Figures: Efficient-Arma_Garch Figures

References:

Solibakke, Per Bjarte, 2001, Efficiently ARMA-GARCH Estimated Trading Volume Characteristics in

Thinly Traded Markets, Applied Financial Economics, 12(1), pp. 452-514.

5. Third published paper of the dissertation:

Nonlinear Dependence in Thinly Traded Markets

Manuscript: Non-linear Dependence TEXT

Tables: Non-Linear Dependence Tables

Figures: Non-Linear Dependence Figures

Reference:

Solibakke, Per Bjarte, 2003, Non-synchronous Trading and Conditional Heteroscedasticity in Stock Returns:

Evidence from the Norwegian Thinly Traded Equity Market, European Journal of Finance, 2003

6. Fourth published paper of the dissertation:

Testing the Univariate Conditional CAPM in Thinly Traded Markets: Controlling for

Non-synchronous Trading and Volatility Clustering

Manuscript: Univariate CAPM TEXT

Tables: Univariate CAPM Tables

Reference:

Solibakke, Per Bjarte, 2003, Testing the Univariate Conditional CAPM:

Evidence from Thinly Traded Equity Markets, Applied Financial Economics, 12, pp. 751-763

7. Fifth published paper of the dissertation:

Testing the Bivariate Conditional CAPM in Thinly Traded Markets: Controlling for

Non-synchronous Trading and Volatility Clustering

Manuscript: Bivariate CAPM TEXT

Tables: Bivariate CAPM Tables Bivariate CAPM Tables-2

Figures: Bivariate CAPM Figures Bivariate CAPM Figures-2

Reference:

Solibakke, Per Bjarte, 2003, Testing the Bivariate Conditional CAPM:

Evidence from Thinly Traded Equity Markets, Working Paper, Forskpub. Molde University College

8. Sixth published paper of the dissertation:

Event Induced Volatility in Thinly Traded Markets: Controlling for

Non-synchronous Trading and Volatility Clustering

Manuscript: Event Induced Volatility TEXT

Tables: Event Induced Volatility Tables Event Induced Volatility Tables-2

Figures: Event Induced Volatility Figures

Reference:

Solibakke, Per Bjarte, 2003, Event Induced Volatility in Thinly Traded Markets:

Controlling for Non-synchronous Trading and Volatility Clustering, Working Paper,

Forskpub. Molde University College

9. Seventh published paper of the dissertation:

Abnormal Returns in Thinly Traded Markets: Controlling for Non-synchronous Trading

and Volatility Clustering

Manuscript: Abnormal Returns Events TEXT

Tables: Abnormal Returns Events Tables

Figures: Abnormal Returns Events Figures

Reference:

Solibakke, Per Bjarte, 2003, Calculating Abnormal Returns in Event Studies: Controlling for

Non-synchronous Trading and Volatility Clustering in Thinly Traded Markets,

Managerial Finance, 28 (8), pp 66-86.

Per Bjarte Solibakke