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Understanding Uncertainties

Male, Eirik Svarverud; Aas, David Fransplass
Master thesis
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URI
http://hdl.handle.net/11250/2578334
Date
2018
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  • Master of Science [1116]
Abstract
This thesis investigates the relationship between macroeconomic uncertainty and

stock market volatility. The study focuses particularly on how uncertainty about the

macroeconomic factor expected future GDP growth influences variation in stock

prices. Our results indicate that increased macroeconomic uncertainty generate

volatility in the stock market for an extended period of time. Furthermore, an

analysis of the volume of trade on the S&P 500 index shows that the market

responds to increased stock market volatility.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
Publisher
Handelshøyskolen BI

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