Sökning: "granger causality"

Visar resultat 1 - 5 av 150 uppsatser innehållade orden granger causality.

  1. 1. The impact of macroeconomic variables on the Swedish stock market

    Magister-uppsats, Karlstads universitet; Karlstads universitet

    Författare :John Johansson; Anton Rudberg; [2021]
    Nyckelord :Macroeconomic variables; Swedish stock market; Cointegration; Granger causality; Makroekonomiska variabler; Svenska aktiemarknaden; Samintegrering; Granger kausalitet;

    Sammanfattning : The main objective of this thesis is to find information of how, or if, the selected macroeconomic variables consumer price index, interest rate, exchange rate, industrial production, oil price and money supply have affected the Swedish stock market (OMXafgx) during the time-period 1973-2017. Findings in this research proves that all variables are co-integrated with the Swedish stock market, but only one of the variables selected, industrial production, have a short- and a longrun relationship affecting the Swedish stock market. LÄS MER

  2. 2. Hot Commodity? The Commodity Currency Hypothesis and the Financialisation of Commodity Markets

    C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Hannes Ludvigsson; Erik Ekelund; [2021]
    Nyckelord :Commodity Currency Hypothesis; Exchange Rates; Time Series Analysis; Granger-causality;

    Sammanfattning : Movements in the commodity markets can have profound effects on the global economy by affecting the cost of food, metal, and energy goods. As such, the prospect of predicting commodity price fluctuations, thereby allowing for better inflation control, production planning and even humanitarian aid, has long generated great interest. LÄS MER

  3. 3. Is there a long-run relationship between stock prices and economic activity and are stock returns a leading indicator for economic growth? : Evidence from the Scandinavian countries: Sweden, Norway and Denmark

    Master-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet; Örebro universitet/Handelshögskolan vid Örebro Universitet

    Författare :Anna Carlsson; Jonas Holm; [2021]
    Nyckelord :;

    Sammanfattning : The purpose of this paper is twofold. First, the Johansen cointegration framework is applied to analyze the long-run relationship between stock prices and economic activity, using GDP as a proxy. In consideration of a long-run relationship a vector error correction model (VECM) is estimated to analyze the parameters of cointegration. LÄS MER

  4. 4. Market efficiency and index fund flow: An empirical study of the relationship between passive investment and broad-market efficiency

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Erik Larsson; Jacob Wergeland; [2020-07-08]
    Nyckelord :market efficiency; Hurst exponent; mutual fund flow; passive investments;

    Sammanfattning : MSc in Finance.... LÄS MER

  5. 5. Macroeconomic Factors and Stock Returns: Evidence from the Swedish Stock Market

    Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik

    Författare :Sebastian Nordenberg; Sebastian Shaqiri Johansson; [2020-02-18]
    Nyckelord :;

    Sammanfattning : This study investigates the relationship between stock returns and macroeconomic factors in a small, open economy by utilizing a vector autoregression (VAR) approach on Swedish large-cap, mid-cap, and small-cap data from 2003 to 2019. To determine the relationship between the macroeconomic factors and stock market return, Granger causality tests are run on each of the markets. LÄS MER