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Macroeconomic and Stock Market Relationships in Sweden During 2000 to 2015

Ljungstedt, Niklas LU (2015) NEKH01 20151
Department of Economics
Abstract
This thesis investigates the macroeconomic and stock market relationship in Sweden during 2000 – 2015, focusing on the Swedish stock index OMXS30 and the influence from foreign and domestic macroeconomic variables. The analysis covers long-term relationships, causalities and the influence on OMXS30 from short-term shocks in the selected macroeconomic variables. The data is analysed with co-integration analysis. What we conclude is that foreign macroeconomic variables in terms of foreign stock prices and exchange rates do influence the OMXS30, both in the long-term and somewhat in the short-term. Foreign stock prices and the domestic yields are also found to Granger cause OMXS30. We further find that the long-term relationships between... (More)
This thesis investigates the macroeconomic and stock market relationship in Sweden during 2000 – 2015, focusing on the Swedish stock index OMXS30 and the influence from foreign and domestic macroeconomic variables. The analysis covers long-term relationships, causalities and the influence on OMXS30 from short-term shocks in the selected macroeconomic variables. The data is analysed with co-integration analysis. What we conclude is that foreign macroeconomic variables in terms of foreign stock prices and exchange rates do influence the OMXS30, both in the long-term and somewhat in the short-term. Foreign stock prices and the domestic yields are also found to Granger cause OMXS30. We further find that the long-term relationships between domestic macroeconomic variables and OMXS30 however have changed to some extent compared to the literature, and that the drivers of the stock market hence might continue changing in the future. (Less)
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author
Ljungstedt, Niklas LU
supervisor
organization
course
NEKH01 20151
year
type
M2 - Bachelor Degree
subject
keywords
OMXS30, Co-integration analysis, Macroeconomic relationships
language
English
id
5471220
date added to LUP
2015-06-30 15:26:15
date last changed
2015-06-30 15:26:15
@misc{5471220,
  abstract     = {This thesis investigates the macroeconomic and stock market relationship in Sweden during 2000 – 2015, focusing on the Swedish stock index OMXS30 and the influence from foreign and domestic macroeconomic variables. The analysis covers long-term relationships, causalities and the influence on OMXS30 from short-term shocks in the selected macroeconomic variables. The data is analysed with co-integration analysis. What we conclude is that foreign macroeconomic variables in terms of foreign stock prices and exchange rates do influence the OMXS30, both in the long-term and somewhat in the short-term. Foreign stock prices and the domestic yields are also found to Granger cause OMXS30. We further find that the long-term relationships between domestic macroeconomic variables and OMXS30 however have changed to some extent compared to the literature, and that the drivers of the stock market hence might continue changing in the future.},
  author       = {Ljungstedt, Niklas},
  keyword      = {OMXS30,Co-integration analysis,Macroeconomic relationships},
  language     = {eng},
  note         = {Student Paper},
  title        = {Macroeconomic and Stock Market Relationships in Sweden During 2000 to 2015},
  year         = {2015},
}