Do macroeconomic factors affect U.S. stock market returns?
Master thesis
Permanent lenke
http://hdl.handle.net/11250/2577810Utgivelsesdato
2018Metadata
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- Master of Science [1613]
Sammendrag
Macroeconomic factors and their influence on stock returns is a widely discussed
topic in both previous and recent academic literature. In this paper, we examine
whether macroeconomic factors affect U.S. stock market returns or their
conditional volatilities. We approach this by estimating an EGARCH model of
monthly stock returns, where returns and their conditional volatilities depend on
different macroeconomic factors` changes. This analysis successfully finds three
candidates (CPI, IP, and M1) affecting the level of returns and two candidates
(GDP and M1) affecting the conditional volatility of those returns. The wellknown
measure for unemployment (UNEMP) is not represented as a potential
candidate.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018