The return on Icelandic shares in the run-up to and the aftermath of the financial crisis

Abstract

A previous study showed that the return on stocks that are listed on the Icelandic stock exchange had a few unusual characteristics in the trading days around the turn--??of--??the--?? month, quarter or year. Stock prices rose on average significantly in the last trading day of the month and then declined again in the first trading day of the month in the period 2000 until 2006. This is a follow--??up study that examines whether the same pattern existed in the years 2007 and 2008, the period leading up to the collapse of the Icelandic banking system, and in the period since the collapse. The data shows that the pattern seems to have continued until the collapse but there are only weak if any signs of the pattern after the collapse. The topic is also analysed using extensive data that has been made public after the collapse on the financing of stock purchases in the Icelandic market and systematic purchases by financial institutions of their own stock and that of related companies.