Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • 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
The Impact of Macroeconomic Variables on Stock Return in Different Industries - A Multiple Linear Regression
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2019 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Makroekonomiska variablers påverkan på aktieavkastning inom olika branscher - En multipel linjär regression (Swedish)
Abstract [en]

Macroeconomics constitute a central part of fundamental analysis of stock markets and consequently the relationship between macroeconomic variables and stock markets is far from questioned. However, there is no general consensus regarding neither the extent of this relationship nor whether the relationship varies amongst industries. The aim of this thesis is therefore to determine the macroeconomic variables most important in explaining variations in stock return within two separate industries and furthermore the share of these variations solely accounted for by macroeconomic variables. To this end, a multiple linear regression approach is used and Nasdaq indexes OMX Stockholm Industrial Goods & Services and OMX Stockholm Banks are used as proxies for the two selected industries.

The final result of this analysis is that the variables repo rate, SEK/EUR exchange rate, consumer expectations, oil price, GDP, money supply and inflation are statistically significant in explaining stock return within industrial goods and services whilst SEK/USD exchange rate, SEK/EUR exchange rate, oil price, GDP, money supply and inflation are statistically significant in explaining stock return within the banking industry. The analysis of the extent of the impact of these variables on stock return is, however, deemed inconclusive due to time dependencies amongst the variables.

Abstract [sv]

Makroekonomi utgör en central del av fundamental analys av aktiemarknaden och följaktligen är förhållandet mellan makroekonomiska variabler och aktiemarknaden snarare väl etablerat än ifrågasatt. Emellertid saknas rådande konsensus om såväl omfattningen av detta förhållande som huruvida förhållandet skiljer sig mellan olika branscher. Syftet med detta kandidatexamensarbete är därför att fastställa de makroekonomiska variabler som är mest avgörande för variationen i aktieavkastning inom två skilda branscher samt andelen av dessa variationer som kan hänföras till just makroekonomiska variabler. I detta syfte tillämpas en multipel linjär regression och två Nasdaqindex - OMX Stockholm Industrial Goods & Services samt OMX Stockholm Banks - tillåts approximera de två utvalda branscherna.

Det slutgiltiga resultatet av denna analys är att variablerna reporänta, växelkurs SEK/EUR, konsumentförväntningar, oljepris, BNP, penningmängd och inflation är statistiskt signifikanta för aktieavkastning inom industrin, medan växelkurs SEK/EUR samt SEK/USD, oljepris, BNP, penningmängd och inflation är statistiskt signifikanta för aktieavkastning inom bankbranschen. Analysen av omfattningen av dessa makroekonomiska variablers påverkan på aktieavkastning når emellertid ingen slutsats, vilket anses kunna hänföras till tidsberoende hos variablerna.

Place, publisher, year, edition, pages
2019.
Series
TRITA-SCI-GRU ; 2019:152
Keywords [en]
Statistics, applied mathematics, regression analysis, macroeconomics, economics, stock market
Keywords [sv]
Statistik, tillämpad matematik, regressionsanalys, makroekonomi, nationalekonomi, aktiemarknad
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:kth:diva-254204OAI: oai:DiVA.org:kth-254204DiVA, id: diva2:1334344
Subject / course
Applied Mathematics and Industrial Economics
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2019-07-02 Created: 2019-07-02 Last updated: 2019-07-02Bibliographically approved

Open Access in DiVA

fulltext(4138 kB)27 downloads
File information
File name FULLTEXT01.pdfFile size 4138 kBChecksum SHA-512
0299cf0e6bcbcf85e05729977c3fa8e06c8afb3d411c73460e476bdac08cef38a83306d13c22a8c8a7d6aeb3a4395e009a74b5825472468a80502c1014372700
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 27 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 131 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • 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