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
Do Correlations Between Macroeconomic Variables and Equity Return Change during Volatile Times?: A statistical Analysis with Focus on the Oil Crisis 2014
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
KTH, School of Engineering Sciences (SCI), Mathematics (Dept.), Mathematical Statistics.
2015 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesisAlternative title
Förändras korrelationer mellan aktiemarknaden och makroekonomiska variabler under volatila tider? : En statistisk analys med fokus på oljekrisen 2014 (Swedish)
Abstract [en]

Every investor place his or her investment with the desire of maximum return with lowest possible risk. To accomplish this desire a good knowledge of how macro variables affect the equity return is important. During the last two decades we have had several crises turning these basics up-side-down.

This thesis aims to examine how macroeconomic variables have affected the equity return during stable times and further analyse what impact the recent oil crisis have had on these correlations. This research is limited to only a few selected counties in Europe, namely Germany, Sweden, France, Norway and United Kingdom. We have analysed this phenomenon using multiple linear regressions with a lagged dependent variable on data from February 2010 to August 2014. The data was gathered from 55 consecutive months before the oil crises and also during the six succeeding months of volatility. The obtained models from tranquil times were then used to predict stock development during times of turmoil. The estimated index values in each country were then compared to the actual outcome. From these comparisons it was possible to determine if the models were accurate even in times of crisis.

Our results confirms many of the known correlations between macro variables and equity prices during stable times, but also produces more unforeseen findings. The results we came across further implies that the models are not suited for predicting the performances in times of uncertainty. This conclusion was drawn by investigating the probabilities of occurrence for the estimated returns, using the obtained models. Germany and Sweden appeared to yield particularly high returns during the time of turmoil while the Norwegian stock market instead decreased in value.

Abstract [sv]

Varje investerare gör sin investering med en önskan om maximal avkastning med lägsta möjliga risk. För att uppfylla denna önskan är det viktigt att förstå hur makroekonomiska faktorer påverkar den potentiella avkastningen. Under de senaste två årtiondena har flertalet kriser vänt upp och ner på många av grunderna.

Denna uppsats ämnar att undersöka hur makroekonomiska variabler påverkar avkastningen under stabila tider och vidare analysera vilken påverkan den senaste oljekrisen har haft på dessa korrelationer. Undersökningen är begränsad till ett fåtal länder i Europa, mer ingående Tyskland, Sverige, Frankrike, Norge, och Storbritannien. Vi har analyserat detta fenomen med hjälp utav multipla linjära regressioner med en laggad beroende variabel på data från february 2010 till augusti 2014. Datan hämtades från 55 månader i följd innan oljekrisen och även under de sex efterföljande volatila månaderna. De erhållna modellerna från stabila tider användes sedan för att skatta indexvärden under tider av turbulens. Skattningarna för varje land jämfördes sedan med det verkliga utfallet. Från jämförelserna var det möjligt att avgöra om modellerna var precisa även under osäkra tider.

Våra resultat bekräftar många av de tidigare kända korrelationerna mellan makroekonomiska variabler och aktiemarknaden under stabila tider, men påvisar också mer oförutsedda utfall. Vidare antyder även resultaten att modellerna inte är lämpade för att skatta prestationer i kristider. Denna slutsats kunde dras genom att studera hur sannolika de skattade värdena var vid användandet av de framtagna modellerna. Tyskland och Sverige verkar ha gett speciellt höga avkastningar under den turbulenta tiden medan den norska börsen snarare tappade i värde.

Place, publisher, year, edition, pages
2015.
Series
TRITA-MAT-K ; 2015:04
National Category
Mathematical Analysis
Identifiers
URN: urn:nbn:se:kth:diva-169865OAI: oai:DiVA.org:kth-169865DiVA, id: diva2:825411
Subject / course
Applied Mathematical Analysis
Educational program
Master of Science in Engineering - Industrial Engineering and Management
Supervisors
Examiners
Available from: 2015-06-23 Created: 2015-06-23 Last updated: 2015-06-28Bibliographically approved

Open Access in DiVA

fulltext(1322 kB)568 downloads
File information
File name FULLTEXT02.pdfFile size 1322 kBChecksum SHA-512
6b04c07dfa0a1763ecff31205373c6bae0a0bde2e410f74319d5826a43371ba6600a51cd72452acc6d7bb16c40e0c8031d45a7abbe8c983af6a6ef769634f926
Type fulltextMimetype application/pdf

By organisation
Mathematical Statistics
Mathematical Analysis

Search outside of DiVA

GoogleGoogle Scholar
Total: 571 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: 1365 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