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Dynamic relations between the Norwegian stock market and macroeconomic variables

Solberg, Stian; Rongved, Henrik
Master thesis
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2040177.pdf (6.601Mb)
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http://hdl.handle.net/11250/2578636
Utgivelsesdato
2018
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Samlinger
  • Master of Science [1116]
Sammendrag
We investigate the dynamic relations between the Norwegian stock market and

various macroeconomic variables by employing a cointegration test and the vector

error correction model (VECM). The data reveals that Oslo Børs benchmark

Index and the selected macroeconomic variables are cointegrated, confirming that

there exists a long-run equilibrium relationship. Consistent with US, Japanese and

Singaporean discoveries, positive dynamic relations are found between

Norwegian stock market and the variables Deutscher Aktien index and exchange

rate USD/NOK. Negative dynamic relations are found between the stock market

and the variables exchange rate EUR/NOK and unemployment rate. Lastly, a

causality running from the Deutscher Aktien index and unemployment rate to

Oslo Børs benchmark index was found in the analysis. We conclude that the

relationship found in larger market from previous research, are also to some

degree valid in a smaller and open economy like Norway.
Beskrivelse
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2018
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Handelshøyskolen BI

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