Stock market data as a leading indicator of the real economy : a horse race on the Norwegian market with a special focus on liquidity
Master thesis
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http://hdl.handle.net/11250/2484274Utgivelsesdato
2017Metadata
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- Master of Science [1800]
Sammendrag
The aim of this thesis is to investigate whether stock market data, with a special
focus on liquidity, can aid in the forecast of GDP for the Norwegian market.
Included in stock market data, are asset prices and three illiquidity measures; the
Amihud illiquidity ratio, relative quoted spread and Roll implicit spread estimator.
Furthermore, the predictive power of these variables are compared by performing
a horse race. Contributing to this field of research, in-sample and pseudo out-ofsample
analyses of the past 20 years are performed. In-sample, both the superior
illiquidity measure, namely Roll, and asset prices improve the prediction of GDP.
Additionally, we find indications of out-of-sample improvements of GDP
forecasts by including Roll. However, we do not find sufficient evidence to
confirm our hypothesis that stock market data indeed may aid in improvement of
forecasting GDP.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Finance - Handelshøyskolen BI, 2017