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Macroeconomic variables and their impact on the Swedish stock market
Södertörn University, School of Social Sciences.
Södertörn University, School of Social Sciences.
2021 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

The objective of this study is to investigate the impact of a few selected macroeconomic variables on the Swedish stock market index OMXS30. The study uses time series monthly data during the period 2000-2019. To investigate these relationships, the time series are transformed into stationary processes. Then, we construct a Vector autoregressive model (VAR) and conduct Granger causality tests. The results indicated a negative relationship between inflation and the return on stocks, interest rate and the return on stocks, as well as positive relationship between money supply and the return on stocks. The VAR-model and the Granger causality test failed to show any statistically significant relationship between exchange rate and stock prices. The same Granger Causality tests suggests a bidirectional relationship between interest rate and the return of OMXS30, as well as unidirectional relationship between inflation and the stock prices, where inflation Granger causes the return of OMXS30.

Place, publisher, year, edition, pages
2021. , p. 33
Keywords [en]
Macroeconomics, Stocks, Macroeconomic variables, Stock market
National Category
Economics
Identifiers
URN: urn:nbn:se:sh:diva-45896OAI: oai:DiVA.org:sh-45896DiVA, id: diva2:1571625
Subject / course
Economics
Uppsok
Social and Behavioural Science, Law
Supervisors
Examiners
Available from: 2021-06-23 Created: 2021-06-22 Last updated: 2021-06-23Bibliographically approved

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fulltext(922 kB)465 downloads
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Type fulltextMimetype application/pdf

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • harvard-anglia-ruskin-university
  • apa-old-doi-prefix.csl
  • sodertorns-hogskola-harvard.csl
  • sodertorns-hogskola-oxford.csl
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf