Master Thesis Award 2021: Empirical Analysis on the Swedish Stock Market

Mar. 09, 2022

The 2021 Swedish House of Finance Master’s Thesis Award goes to Jesper Andersson and Alexander Hübbert for their joint thesis: “Does the tick size regime on systematic internalisers improve market quality?”

We are thrilled to announce the 2021’s winners of the annual Swedish House of Finance Master’s Thesis Award, contributed by Nasdaq Nordic Foundation. Our warm congratulations to Jesper and Alexander from Stockholm University who co-authored a thesis on the Swedish Stock Market. This is the third year that the prize is awarded since its implementation in 2019. The aim is to stimulate the use of data on Nordic financial markets available at the Swedish House of Finance National Data Center. 

 

Awarded research focuses on the Swedish Stock Market 

The winner master’s thesis examined whether the tick size regime on systematic internalisers (SIs) during 2020 alters the market composition of trading venues and impacts the market quality at Nasdaq Stockholm. The students leveraged from the Swedish House of Finance’s National Data Center to access the Nasdaq HFT and Finbas database. The research results established that striving for an equivalent playing field for trading venues and SIs causes a negative spillover effect. In particular, the study identified that enforcing the MiFID II tick size regime on SIs causes a decrease in market quality for trading venues. 

“We are very honoured to receive the 2021 Swedish House of Finance’s Master Thesis Award. The combination of databases provided us with necessary and valuable data to compute the liquidity measures needed to capture the effects on market quality changes at the Stockholm Stock Exchange for our 45 sample stocks. Big thanks to SHoF and the Nasdaq Nordic Foundation for the recognition of our work”

 

The students were supervised by Björn Hagströmer, Professor of Finance at Stockholm University, and collaborated with Erik Einerth, Senior Expert Capital & Derivatives Markets at Swedish Securities Markets Association. 

 

Highlights from the jury 

The winner thesis was selected by a jury committee formed by representatives from the Nasdaq Nordic Foundation, Stockholm School of Economics’ finance department, and financial firms who have an interest in financial data processing. According to the jury, Jesper’s and Alexander’s thesis study stands out for its level of maturity and potential to be published in an academic journal. The students have successfully developed the research topic into a “workable and testable hypothesis”.

 

“Jesper and Alexander do a fantastic job in “creating” the research idea together with an industry partner. They placed the topic in the correct academic context within relevant literature using appropriate statistical and econometric techniques to formulate and answer the hypothesis of interest.”

 

2021 Runner-up research: “Post-MiFID II: Dark Pool Bans and Regulatory Effects on Lit Market Quality” 

We would like to also announce the runner-up paper for the 2021 Swedish House of Finance Master’s Thesis Award. The paper focus on the impacts of dark pools on lit market characteristics and is co-written by Hugo Hammar and Isak Djudja, from University of Gothenburg. They examined the first market-wide implementation of a dark pool ban on European securities, and used high-frequency data on Nordic equities, provided by the Swedish House of Finance’s National Data Center, to understand how suspending individual securities from dark pool trading affects the quality of its corresponding ‘lit’ markets. 

“The data provided by the Swedish House of Finance has been truly instrumental in our research, forming the foundation of our quantitative analysis, and allowing us to investigate the true effects of dark pool bans on Nordic equity markets. We are genuinely thankful to have been able to explore such an important and interesting topic, which has implications for regulators and practitioners alike."

Hugo and Isak were supervised by Marcin Zamojski, Research Fellow in Financial and Time-Series Econometrics at University of Gothenburg. 

 

About the Swedish House of Finance Master’s Thesis Award 

The Swedish House of Finance Master’s Thesis Award is open for every MSc student at a Swedish college of university who have used Swedish Equity Data* available from the National Data Center of the Swedish House of Finance in their work. The total prize money for the award is SEK 50.000. The prize is awarded annually in order to stimulate students to work on topics related to financial economics by using data on Nordic financial markets.