|dc.description.abstract||In this thesis we investigate whether the Seasonal Affective Disorder (SAD) also known as
Winter depression has an impact on the returns on Oslo Stock Exchange (OSE), and
whether the effect SAD has on returns are influenced by snow cover in the time period 1990-
2019. We measure the effect using the OBX total return index, the OSESX small-cap index
and ten sectorial indices.
To measure the impact of the disorder we use both a method based on sunlight variation
inspired by the paper Winter Blues: A SAD Stock Market Cycle by Kamstra, Kramer and Levi
(American Economic Review, 2003), and a more modern model that is based on human
behavior – the Onset/Recovery model. We find that the SAD have significantly impacted
returns on some specific indices on Oslo Stock Exchange during the time period 1990-2019.
We also find that snow cover seems to significantly reduce the risk aversion associated with
the SAD for three out of the twelve indices we examine, one of them being the OSESX. In
addition, when controlling for the interaction between snow cover and the SAD, as many as
five indices react significantly to the disorder. Though only a few indices are significant, they
react in accordance to the established theory of the SAD, the SAD impacting returns
negatively in the fall and positively in the winter.
The seasonal patterns are not likely to be caused by seasonal variations in turnover, but a
GARCH(1,1) model suggest that time varying volatility could be a potential influence.
Exploring various trading strategies inspired by the SAD, the OBX and OSESX indices
suggests that returns with an excess of the market of around 2.5 percent to 5.6 could be
made, depending on the index.||en_US