Sökning: "granger causality"
Visar resultat 1 - 5 av 150 uppsatser innehållade orden granger causality.
- Magister-uppsats, Karlstads universitet; Karlstads universitet
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
- C-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi
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. 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 DenmarkMaster-uppsats, Örebro universitet/Handelshögskolan vid Örebro Universitet; Örebro universitet/Handelshögskolan vid Örebro Universitet
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. Market efficiency and index fund flow: An empirical study of the relationship between passive investment and broad-market efficiencyMaster-uppsats, Göteborgs universitet/Graduate School
Sammanfattning : MSc in Finance.... LÄS MER
- Kandidat-uppsats, Göteborgs universitet/Institutionen för nationalekonomi med statistik
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