Finansiell reglering och marknadsreaktion : En studie om effekterna av MiFID II på den svenska aktiemarknadens volatilitet

Sammanfattning

Authors: David Bakhtiary & Stella Leideman Supervisor: David Andersson Background: MiFID II was introduced to increase transparency and improve the functioning of European securities markets. Previous research has examined the regulation’s impact on market volatility, while evidence from the Swedish market remains limited. Furthermore, existing studies have primarily focused on the implementation of the regulation rather than the market reaction to its adoption. Purpose: The purpose of this study is to replicate Miloș (2021) analysis of how the implementation of MiFID II has affected stock market volatility, in a Swedish market setting. At the same time, the study extends Miloș’s analysis by applying the same empirical model to examine the market reaction associated with the adoption of the directive. Method: The econometric model developed by Miloș (2021) is replicated and applied to the OMXSPI index. To analyse the impact of MiFID II on volatility in the Swedish stock market, two separate event studies are conducted: one focusing on the adoption of the regulation and the other on its implementation. Conclusions: The results indicate that MiFID II is associated with changes in volatility in the Swedish stock market, although the effects differ between the adoption and implementation phases of the regulation. The adoption of MiFID II was associated with a short-term decline in volatility, whereas the implementation was associated with higher volatility. The effects were strongest in the short run, suggesting that market reactions were most pronounced immediately following the events. However, the long-term results should be interpreted with caution, as several event windows overlap with other significant market events. The comparison with Miloș (2021) shows that the Swedish stock market exhibits patterns similar to those observed in developed European markets. Overall, the findings suggest that the impact of MiFID II on volatility should be understood in light of both the adoption and implementation phases of the regulatory process.