The Effect of Macroeconomic Change on Stockholm Stock Exchange: Which macroeconomic variables affect which sectors in what direction and to what extent?
Independent thesis Advanced level (degree of Master (One Year)), 10 credits / 15 HE creditsStudent thesis
Macroeconomic variables can play an active role in the price determination of stocks. This issue is of great importance for financial decision making and that is the main reason for the study. This paper investigates the relationship between the stock returns of five out of nine sectors within Stockholm Stock Exchange and the predetermined macroeconomic factors including, export, foreign exchange rate, industrial production index, interest rate, import, GDP, oil price and inflation for the period between January 1996 and December 2004. Arbitrage Pricing Theory is implemented to discover the interrelationships between the dependent and the independent variables.
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IdentifiersURN: urn:nbn:se:su:diva-5658OAI: oai:DiVA.org:su-5658DiVA: diva2:195532